{ "report_sha256": "5a6d0c0d9ec2e3a8becf746821e83f5e5b7b0e0c0fcf1ae783dd1d13cd57e73d", "protocol_commit": "1e137e3", "evaluation_code_commit": "cf1a6bc", "candidate_cases": 3024, "timing_control_cases": 672, "repeated_fixed_control_cases": 1344, "gate": { "windows": [ { "window": "2019_frozen_end", "sources": [ { "source": "reference", "primary_beats_all_three": true, "stress_wins_all_three": 12, "primary_neighbors_beating_all_three": 9, "beats_inverse": true, "at_least_week_old": true, "qualifies": true }, { "source": "binance", "primary_beats_all_three": true, "stress_wins_all_three": 12, "primary_neighbors_beating_all_three": 9, "beats_inverse": true, "at_least_week_old": true, "qualifies": true } ], "qualifies_on_both": true }, { "window": "2023_frozen_end", "sources": [ { "source": "reference", "primary_beats_all_three": false, "stress_wins_all_three": 5, "primary_neighbors_beating_all_three": 2, "beats_inverse": true, "at_least_week_old": true, "qualifies": false }, { "source": "binance", "primary_beats_all_three": false, "stress_wins_all_three": 5, "primary_neighbors_beating_all_three": 2, "beats_inverse": true, "at_least_week_old": true, "qualifies": false } ], "qualifies_on_both": false }, { "window": "recent_June_September", "sources": [ { "source": "reference", "primary_beats_all_three": false, "stress_wins_all_three": 0, "primary_neighbors_beating_all_three": 0, "beats_inverse": true, "at_least_week_old": true, "qualifies": false }, { "source": "binance", "primary_beats_all_three": false, "stress_wins_all_three": 0, "primary_neighbors_beating_all_three": 0, "beats_inverse": false, "at_least_week_old": true, "qualifies": false } ], "qualifies_on_both": false } ], "qualifying_same_windows": 1, "required_windows": 2, "all_central_cases_solvent": true, "passed": false, "meaning": "Historical screen only; no automatic promotion or forward-profitability claim" }, "checks": { "baseline": { "records": 23600, "worst_numeric_difference": 0.0 }, "fixed_control_curves_exact": 1344, "prior_traces_hash_verified": 3363, "frozen_dependencies_verified": 6037, "invariants": [ { "source_input": "old", "models": 15, "future_account_prefix_exact": true, "scale_targets_exact": true, "worst_scaled_account_difference": 0.0, "cutoff_index": 11800 }, { "source_input": "recent", "models": 15, "future_account_prefix_exact": true, "scale_targets_exact": true, "worst_scaled_account_difference": 0.0, "cutoff_index": 24131 }, { "source_input": "binance", "models": 15, "future_account_prefix_exact": true, "scale_targets_exact": true, "worst_scaled_account_difference": 0.0, "cutoff_index": 9908 } ] }, "results": [ { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 74428.82575448777, "return_pct": 644.2882575448776, "cagr_pct": 27.28528275044098, "max_drawdown_pct": 87.35857269818015, "mean_exposure_while_solvent": 1.2103535449312348, "realized_annual_volatility_pct": 78.96836074145247, "trading_costs_quote_units": 1779.5253816407935, "borrowing_costs_quote_units": 3163.6226988569965, "price_pnl_quote_units": 69371.97383498562, "turnover_quote_units": 2965875.6360679916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 73136.345471357, "return_pct": 631.36345471357, "cagr_pct": 27.01755982385198, "max_drawdown_pct": 89.46280099605737, "mean_exposure_while_solvent": 1.2400926645489447, "realized_annual_volatility_pct": 81.15309028389245, "trading_costs_quote_units": 1762.624347946644, "borrowing_costs_quote_units": 3448.1829149854743, "price_pnl_quote_units": 68347.1527342898, "turnover_quote_units": 2937707.2465777397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64107.039068011225, "return_pct": 541.0703906801123, "cagr_pct": 25.02168553810249, "max_drawdown_pct": 89.64943492924235, "mean_exposure_while_solvent": 1.2633341476396436, "realized_annual_volatility_pct": 82.43866747581112, "trading_costs_quote_units": 1642.9525333094734, "borrowing_costs_quote_units": 3590.207381134396, "price_pnl_quote_units": 59340.19898245504, "turnover_quote_units": 2738254.2221824504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 106521.4473990991, "return_pct": 965.2144739909909, "cagr_pct": 32.889885592721136, "max_drawdown_pct": 85.85037707301728, "mean_exposure_while_solvent": 1.184963493045378, "realized_annual_volatility_pct": 77.44750575216133, "trading_costs_quote_units": 2065.816933568464, "borrowing_costs_quote_units": 3968.566664017797, "price_pnl_quote_units": 102555.83099668572, "turnover_quote_units": 3443028.222614106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 93802.00026192227, "return_pct": 838.0200026192227, "cagr_pct": 30.874251324508794, "max_drawdown_pct": 89.2981625287874, "mean_exposure_while_solvent": 1.2097735594922199, "realized_annual_volatility_pct": 79.68775903878088, "trading_costs_quote_units": 1862.2087098969037, "borrowing_costs_quote_units": 3886.1326351004045, "price_pnl_quote_units": 89550.34160692012, "turnover_quote_units": 3103681.183161506, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 95530.81102359327, "return_pct": 855.3081102359326, "cagr_pct": 31.16184407360271, "max_drawdown_pct": 89.48771252388681, "mean_exposure_while_solvent": 1.230687180750885, "realized_annual_volatility_pct": 80.84275046899484, "trading_costs_quote_units": 1915.0359926241722, "borrowing_costs_quote_units": 4435.198899590444, "price_pnl_quote_units": 91881.04591580799, "turnover_quote_units": 3191726.654373619, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 123264.02232126727, "return_pct": 1132.6402232126727, "cagr_pct": 35.242176030570036, "max_drawdown_pct": 83.38913353504776, "mean_exposure_while_solvent": 1.1706137664224467, "realized_annual_volatility_pct": 76.5367366986956, "trading_costs_quote_units": 2274.3298838766295, "borrowing_costs_quote_units": 4249.040755969491, "price_pnl_quote_units": 119787.39296111384, "turnover_quote_units": 3790549.8064610534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 112206.67041804743, "return_pct": 1022.0667041804743, "cagr_pct": 33.722998346575906, "max_drawdown_pct": 87.01287349374078, "mean_exposure_while_solvent": 1.1952619256204324, "realized_annual_volatility_pct": 78.74122381869846, "trading_costs_quote_units": 2118.646298618138, "borrowing_costs_quote_units": 4336.729869275718, "price_pnl_quote_units": 108662.04658594193, "turnover_quote_units": 3531077.1643635645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 114059.21362174107, "return_pct": 1040.5921362174106, "cagr_pct": 33.98645300346537, "max_drawdown_pct": 87.43476799872501, "mean_exposure_while_solvent": 1.2153460295667529, "realized_annual_volatility_pct": 79.81629604340013, "trading_costs_quote_units": 2153.3018545505493, "borrowing_costs_quote_units": 4912.334532052706, "price_pnl_quote_units": 111124.8500083447, "turnover_quote_units": 3588836.424250918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14721.603881851517, "return_pct": 47.21603881851517, "cagr_pct": 4.758006263608045, "max_drawdown_pct": 91.05195034155544, "mean_exposure_while_solvent": 1.2902160786944996, "realized_annual_volatility_pct": 87.92272085762278, "trading_costs_quote_units": 472.4365719165095, "borrowing_costs_quote_units": 1180.6957522715597, "price_pnl_quote_units": 6374.73620603964, "turnover_quote_units": 787394.2865275155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1809, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66325.80534756149, "return_pct": 563.2580534756148, "cagr_pct": 25.534019943406598, "max_drawdown_pct": 92.19410921466273, "mean_exposure_while_solvent": 1.2097045230197074, "realized_annual_volatility_pct": 81.10934260709877, "trading_costs_quote_units": 1483.9910588759224, "borrowing_costs_quote_units": 3118.8617551234497, "price_pnl_quote_units": 60928.65816156075, "turnover_quote_units": 2473318.4314598683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68192.61286277173, "return_pct": 581.9261286277173, "cagr_pct": 25.95353263683216, "max_drawdown_pct": 87.4538707801288, "mean_exposure_while_solvent": 1.2103715489352005, "realized_annual_volatility_pct": 78.97006082546666, "trading_costs_quote_units": 1672.242532189613, "borrowing_costs_quote_units": 5941.693395512204, "price_pnl_quote_units": 65806.54879047362, "turnover_quote_units": 2787070.8869826887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66183.42889969854, "return_pct": 561.8342889969855, "cagr_pct": 25.50160010349532, "max_drawdown_pct": 89.56124355284271, "mean_exposure_while_solvent": 1.2401132098717282, "realized_annual_volatility_pct": 81.15505226272872, "trading_costs_quote_units": 1638.989922599463, "borrowing_costs_quote_units": 6418.5391944372905, "price_pnl_quote_units": 64240.95801673521, "turnover_quote_units": 2731649.870999107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57453.45893997069, "return_pct": 474.5345893997069, "cagr_pct": 23.385852332552417, "max_drawdown_pct": 89.74757660774742, "mean_exposure_while_solvent": 1.2633566858789913, "realized_annual_volatility_pct": 82.44085167013688, "trading_costs_quote_units": 1516.8017348244487, "borrowing_costs_quote_units": 6637.8841798929825, "price_pnl_quote_units": 55608.144854688086, "turnover_quote_units": 2528002.89137408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 98638.11478047635, "return_pct": 886.3811478047635, "cagr_pct": 31.667433064071815, "max_drawdown_pct": 85.91495496320702, "mean_exposure_while_solvent": 1.1849793194298444, "realized_annual_volatility_pct": 77.44881456957798, "trading_costs_quote_units": 1952.9033918414068, "borrowing_costs_quote_units": 7503.889627581533, "price_pnl_quote_units": 98094.90779989988, "turnover_quote_units": 3254838.986402345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 85965.05828408667, "return_pct": 759.6505828408667, "cagr_pct": 29.509026027054475, "max_drawdown_pct": 89.35795553774585, "mean_exposure_while_solvent": 1.2097915064318558, "realized_annual_volatility_pct": 79.68940743350952, "trading_costs_quote_units": 1745.3482971171495, "borrowing_costs_quote_units": 7293.935119041313, "price_pnl_quote_units": 85004.34170024528, "turnover_quote_units": 2908913.8285285784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 86791.61189544028, "return_pct": 767.9161189544027, "cagr_pct": 29.658065967346296, "max_drawdown_pct": 89.54791730810821, "mean_exposure_while_solvent": 1.2307069191696773, "realized_annual_volatility_pct": 80.84454472265215, "trading_costs_quote_units": 1780.6519180871953, "borrowing_costs_quote_units": 8263.941017613728, "price_pnl_quote_units": 86836.20483114019, "turnover_quote_units": 2967753.196811989, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 114827.12486670597, "return_pct": 1048.2712486670596, "cagr_pct": 34.09455710101684, "max_drawdown_pct": 83.43491251605646, "mean_exposure_while_solvent": 1.170628360762585, "realized_annual_volatility_pct": 76.5378541398026, "trading_costs_quote_units": 2158.283401753792, "borrowing_costs_quote_units": 8069.434864120254, "price_pnl_quote_units": 115054.84313258005, "turnover_quote_units": 3597139.0029229866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 103457.44596102173, "return_pct": 934.5744596102173, "cagr_pct": 32.424526837410156, "max_drawdown_pct": 87.06100258000494, "mean_exposure_while_solvent": 1.1952786264257829, "realized_annual_volatility_pct": 78.7426691745424, "trading_costs_quote_units": 1993.3294189940834, "borrowing_costs_quote_units": 8175.633499138827, "price_pnl_quote_units": 103626.40887915442, "turnover_quote_units": 3322215.6983234724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 104290.90137223034, "return_pct": 942.9090137223034, "cagr_pct": 32.55229961232525, "max_drawdown_pct": 87.48227604880712, "mean_exposure_while_solvent": 1.215364450320311, "realized_annual_volatility_pct": 79.81788305512639, "trading_costs_quote_units": 2010.1895532099136, "borrowing_costs_quote_units": 9194.57921373551, "price_pnl_quote_units": 105495.6701391763, "turnover_quote_units": 3350315.9220165233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13043.622448207534, "return_pct": 30.436224482075346, "cagr_pct": 3.2452764087570327, "max_drawdown_pct": 91.3695519851598, "mean_exposure_while_solvent": 1.290240952514656, "realized_annual_volatility_pct": 87.92614833618113, "trading_costs_quote_units": 438.24651088291404, "borrowing_costs_quote_units": 2184.644243855862, "price_pnl_quote_units": 5666.5132029464585, "turnover_quote_units": 730410.8514715221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1809, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60779.80264600601, "return_pct": 507.79802646006004, "cagr_pct": 24.22336341995346, "max_drawdown_pct": 92.24196214980364, "mean_exposure_while_solvent": 1.2097224688426416, "realized_annual_volatility_pct": 81.11127158791635, "trading_costs_quote_units": 1392.3370311864558, "borrowing_costs_quote_units": 5859.6335182877565, "price_pnl_quote_units": 58031.77319547981, "turnover_quote_units": 2320561.7186440965, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57241.09616646738, "return_pct": 472.41096166467383, "cagr_pct": 23.330946542995402, "max_drawdown_pct": 87.64237129148057, "mean_exposure_while_solvent": 1.2104075647550667, "realized_annual_volatility_pct": 78.97348866501078, "trading_costs_quote_units": 1478.730365649041, "borrowing_costs_quote_units": 10491.850664282645, "price_pnl_quote_units": 59211.67719639947, "turnover_quote_units": 2464550.6094150674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54194.6645765702, "return_pct": 441.946645765702, "cagr_pct": 22.522904663151877, "max_drawdown_pct": 89.75543340941582, "mean_exposure_while_solvent": 1.2401543094307885, "realized_annual_volatility_pct": 81.15900398236172, "trading_costs_quote_units": 1419.5564072814323, "borrowing_costs_quote_units": 11137.295079138778, "price_pnl_quote_units": 56751.51606299013, "turnover_quote_units": 2365927.3454690543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46143.444750096285, "return_pct": 361.4344475009628, "cagr_pct": 20.17721649081284, "max_drawdown_pct": 89.94113211687889, "mean_exposure_while_solvent": 1.2634017721383346, "realized_annual_volatility_pct": 82.4452475037276, "trading_costs_quote_units": 1295.4587637990953, "borrowing_costs_quote_units": 11366.682197364587, "price_pnl_quote_units": 48805.58571125967, "turnover_quote_units": 2159097.9396651606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 84574.82214978486, "return_pct": 745.7482214978486, "cagr_pct": 29.25547805305454, "max_drawdown_pct": 86.0432635091206, "mean_exposure_while_solvent": 1.1850109790630579, "realized_annual_volatility_pct": 77.45145890511624, "trading_costs_quote_units": 1746.963126192068, "borrowing_costs_quote_units": 13425.432311200655, "price_pnl_quote_units": 89747.21758717684, "turnover_quote_units": 2911605.2103201156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 72197.15081980878, "return_pct": 621.9715081980878, "cagr_pct": 26.82039213502082, "max_drawdown_pct": 89.47657418374936, "mean_exposure_while_solvent": 1.2098274080948968, "realized_annual_volatility_pct": 79.69273158863544, "trading_costs_quote_units": 1535.0715078050462, "borrowing_costs_quote_units": 12861.938847858812, "price_pnl_quote_units": 76594.1611754723, "turnover_quote_units": 2558452.513008414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 71634.56050418569, "return_pct": 616.3456050418569, "cagr_pct": 26.701202610256708, "max_drawdown_pct": 89.66732764851355, "mean_exposure_while_solvent": 1.2307464045694005, "realized_annual_volatility_pct": 80.8481608211779, "trading_costs_quote_units": 1541.6569272613842, "borrowing_costs_quote_units": 14363.527360556976, "price_pnl_quote_units": 77539.74479200435, "turnover_quote_units": 2569428.2121023075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 99642.19786667172, "return_pct": 896.4219786667172, "cagr_pct": 31.827812928556238, "max_drawdown_pct": 83.53334340340501, "mean_exposure_while_solvent": 1.1706575557700767, "realized_annual_volatility_pct": 76.54011496812949, "trading_costs_quote_units": 1945.2576720897216, "borrowing_costs_quote_units": 14562.333020575628, "price_pnl_quote_units": 106149.78855933688, "turnover_quote_units": 3242096.120149534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 87948.38602192685, "return_pct": 779.4838602192685, "cagr_pct": 29.86456645111576, "max_drawdown_pct": 87.15675314312799, "mean_exposure_while_solvent": 1.1953120352768871, "realized_annual_volatility_pct": 78.74558681846582, "trading_costs_quote_units": 1766.359681870028, "borrowing_costs_quote_units": 14542.21449911223, "price_pnl_quote_units": 94256.96020290835, "turnover_quote_units": 2943932.803116715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 87187.94878872047, "return_pct": 771.8794878872048, "cagr_pct": 29.729088935799137, "max_drawdown_pct": 87.57678042663134, "mean_exposure_while_solvent": 1.2154012998149535, "realized_annual_volatility_pct": 79.82108451508552, "trading_costs_quote_units": 1753.9346714803178, "borrowing_costs_quote_units": 16123.983942075341, "price_pnl_quote_units": 95065.86740227607, "turnover_quote_units": 2923224.452467195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 10238.930801482771, "return_pct": 2.389308014827707, "cagr_pct": 0.2842068282251532, "max_drawdown_pct": 91.97150104180247, "mean_exposure_while_solvent": 1.2902907109718167, "realized_annual_volatility_pct": 87.93302931774566, "trading_costs_quote_units": 378.46319722888757, "borrowing_costs_quote_units": 3751.789414394138, "price_pnl_quote_units": 4369.183413105778, "turnover_quote_units": 630771.9953814788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1809, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51037.70069035349, "return_pct": 410.3770069035349, "cagr_pct": 21.642229540219727, "max_drawdown_pct": 92.33681610585242, "mean_exposure_while_solvent": 1.2097583682737778, "realized_annual_volatility_pct": 81.1151566931678, "trading_costs_quote_units": 1227.232935652895, "borrowing_costs_quote_units": 10353.243574020637, "price_pnl_quote_units": 52618.17720002708, "turnover_quote_units": 2045388.2260881595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 75547.91656076431, "return_pct": 655.4791656076432, "cagr_pct": 27.5138060939353, "max_drawdown_pct": 86.64112555523653, "mean_exposure_while_solvent": 1.2101435072334468, "realized_annual_volatility_pct": 78.97505888319742, "trading_costs_quote_units": 1816.9649095368372, "borrowing_costs_quote_units": 3249.6466960596813, "price_pnl_quote_units": 70614.5281663606, "turnover_quote_units": 3028274.8492280617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73071.6261575667, "return_pct": 630.7162615756671, "cagr_pct": 27.004044798091787, "max_drawdown_pct": 89.7145536948272, "mean_exposure_while_solvent": 1.239910053342545, "realized_annual_volatility_pct": 81.25721325448963, "trading_costs_quote_units": 1738.9574531070855, "borrowing_costs_quote_units": 3400.5043943237224, "price_pnl_quote_units": 68211.08800499688, "turnover_quote_units": 2898262.4218451413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64877.524816776146, "return_pct": 548.7752481677614, "cagr_pct": 25.201341890949198, "max_drawdown_pct": 89.76566935016483, "mean_exposure_while_solvent": 1.2631475623526218, "realized_annual_volatility_pct": 82.56238431781992, "trading_costs_quote_units": 1656.0221643708724, "borrowing_costs_quote_units": 3620.4921617348773, "price_pnl_quote_units": 60154.039142881855, "turnover_quote_units": 2760036.9406181164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 111486.1032300797, "return_pct": 1014.861032300797, "cagr_pct": 33.61949000817436, "max_drawdown_pct": 85.42604859575249, "mean_exposure_while_solvent": 1.184723879099797, "realized_annual_volatility_pct": 77.44198436698161, "trading_costs_quote_units": 2154.0562864000885, "borrowing_costs_quote_units": 4173.059704908781, "price_pnl_quote_units": 107813.2192213887, "turnover_quote_units": 3590093.8106668154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 97729.98253696933, "return_pct": 877.2998253696933, "cagr_pct": 31.521137356712554, "max_drawdown_pct": 89.78888189234016, "mean_exposure_while_solvent": 1.2095715849611592, "realized_annual_volatility_pct": 79.78574230521984, "trading_costs_quote_units": 1902.3082193178477, "borrowing_costs_quote_units": 3968.5714473864373, "price_pnl_quote_units": 93600.86220367359, "turnover_quote_units": 3170513.6988630826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 100290.24617082042, "return_pct": 902.9024617082042, "cagr_pct": 31.930570828108422, "max_drawdown_pct": 89.83962815830826, "mean_exposure_while_solvent": 1.2304772235859611, "realized_annual_volatility_pct": 80.94465127364103, "trading_costs_quote_units": 1983.7984354604582, "borrowing_costs_quote_units": 4599.403630465829, "price_pnl_quote_units": 96873.4482367468, "turnover_quote_units": 3306330.725767429, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 127735.38374703244, "return_pct": 1177.3538374703244, "cagr_pct": 35.82263141565661, "max_drawdown_pct": 83.09547160208173, "mean_exposure_while_solvent": 1.1703652923064167, "realized_annual_volatility_pct": 76.5347671373716, "trading_costs_quote_units": 2338.630951880755, "borrowing_costs_quote_units": 4392.405148181439, "price_pnl_quote_units": 124466.41984709485, "turnover_quote_units": 3897718.2531345934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 118504.69570150648, "return_pct": 1085.046957015065, "cagr_pct": 34.603618989318306, "max_drawdown_pct": 87.4652320397969, "mean_exposure_while_solvent": 1.1950321234018608, "realized_annual_volatility_pct": 78.83943919967481, "trading_costs_quote_units": 2187.6355685666686, "borrowing_costs_quote_units": 4455.868362302584, "price_pnl_quote_units": 115148.19963237619, "turnover_quote_units": 3646059.280944446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 120616.49433751174, "return_pct": 1106.1649433751174, "cagr_pct": 34.889692010865566, "max_drawdown_pct": 87.79982447688735, "mean_exposure_while_solvent": 1.2151084623337371, "realized_annual_volatility_pct": 79.92740757716516, "trading_costs_quote_units": 2241.266659391868, "borrowing_costs_quote_units": 5092.825396541349, "price_pnl_quote_units": 117950.58639344499, "turnover_quote_units": 3735444.4323197766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15796.5728092578, "return_pct": 57.96572809257798, "cagr_pct": 5.649171701729058, "max_drawdown_pct": 89.85777815251694, "mean_exposure_while_solvent": 1.2901925831009677, "realized_annual_volatility_pct": 87.35545973889113, "trading_costs_quote_units": 517.4039500927648, "borrowing_costs_quote_units": 1289.702846949028, "price_pnl_quote_units": 7603.67960629959, "turnover_quote_units": 862339.9168212733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1808, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 74077.8873668498, "return_pct": 640.778873668498, "cagr_pct": 27.21299681908804, "max_drawdown_pct": 91.60528959659469, "mean_exposure_while_solvent": 1.2095636194418944, "realized_annual_volatility_pct": 81.0372990680743, "trading_costs_quote_units": 1685.375268466271, "borrowing_costs_quote_units": 3539.6703666753706, "price_pnl_quote_units": 69302.933001991, "turnover_quote_units": 2808958.7807771154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1320, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69219.50416503794, "return_pct": 592.1950416503794, "cagr_pct": 26.18000821592199, "max_drawdown_pct": 86.73541344909815, "mean_exposure_while_solvent": 1.2101615002509438, "realized_annual_volatility_pct": 78.97650402350602, "trading_costs_quote_units": 1708.360811252466, "borrowing_costs_quote_units": 6106.528212129753, "price_pnl_quote_units": 67034.39318841998, "turnover_quote_units": 2847268.0187541144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66125.96589503816, "return_pct": 561.2596589503815, "cagr_pct": 25.488498103153628, "max_drawdown_pct": 89.81091392278931, "mean_exposure_while_solvent": 1.23993059513521, "realized_annual_volatility_pct": 81.25895626224494, "trading_costs_quote_units": 1617.7078170192228, "borrowing_costs_quote_units": 6331.9270949857855, "price_pnl_quote_units": 64075.60080704347, "turnover_quote_units": 2696179.695032042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58145.16362369471, "return_pct": 481.4516362369471, "cagr_pct": 23.563461071890938, "max_drawdown_pct": 89.86295022599776, "mean_exposure_while_solvent": 1.2631700954556988, "realized_annual_volatility_pct": 82.56431824474144, "trading_costs_quote_units": 1529.46852029959, "borrowing_costs_quote_units": 6696.01087721964, "price_pnl_quote_units": 56370.64302121428, "turnover_quote_units": 2549114.200499318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 103238.3363736206, "return_pct": 932.3833637362059, "cagr_pct": 32.390785960628385, "max_drawdown_pct": 85.49246744666745, "mean_exposure_while_solvent": 1.1847396896011193, "realized_annual_volatility_pct": 77.44307765854596, "trading_costs_quote_units": 2036.5668070755498, "borrowing_costs_quote_units": 7891.529967157488, "price_pnl_quote_units": 103166.43314785378, "turnover_quote_units": 3394278.0117925843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 89567.11574020615, "return_pct": 795.6711574020615, "cagr_pct": 30.149556831576067, "max_drawdown_pct": 89.84625489665741, "mean_exposure_while_solvent": 1.209589524722748, "realized_annual_volatility_pct": 79.78719831096252, "trading_costs_quote_units": 1783.0285305767159, "borrowing_costs_quote_units": 7447.979690821221, "price_pnl_quote_units": 88798.123961604, "turnover_quote_units": 2971714.217627859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 91118.16393215937, "return_pct": 811.1816393215937, "cagr_pct": 30.418411389158724, "max_drawdown_pct": 89.89811071129033, "mean_exposure_while_solvent": 1.230496952301691, "realized_annual_volatility_pct": 80.94622641837199, "trading_costs_quote_units": 1844.6498237210494, "borrowing_costs_quote_units": 8569.247245632276, "price_pnl_quote_units": 91532.06100151314, "turnover_quote_units": 3074416.3728684206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 118995.58843782064, "return_pct": 1089.9558843782063, "cagr_pct": 34.67051512991679, "max_drawdown_pct": 83.14199805023091, "mean_exposure_while_solvent": 1.1703798710303543, "realized_annual_volatility_pct": 76.53569914932376, "trading_costs_quote_units": 2219.5103919596486, "borrowing_costs_quote_units": 8342.340788237405, "price_pnl_quote_units": 119557.43961801777, "turnover_quote_units": 3699183.9865994137, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 109267.41462042664, "return_pct": 992.6741462042663, "cagr_pct": 33.29704033057655, "max_drawdown_pct": 87.51205384435632, "mean_exposure_while_solvent": 1.1950488142905056, "realized_annual_volatility_pct": 78.84071053890672, "trading_costs_quote_units": 2058.3071609465073, "borrowing_costs_quote_units": 8399.275739246494, "price_pnl_quote_units": 109724.9975206195, "turnover_quote_units": 3430511.9349108464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 110289.7992132442, "return_pct": 1002.8979921324421, "cagr_pct": 33.446335812684595, "max_drawdown_pct": 87.84629615264507, "mean_exposure_while_solvent": 1.215126871382676, "realized_annual_volatility_pct": 79.92879957223487, "trading_costs_quote_units": 2092.3296779981238, "borrowing_costs_quote_units": 9531.43909969262, "price_pnl_quote_units": 111913.56799093538, "turnover_quote_units": 3487216.129996874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13996.174487015202, "return_pct": 39.961744870152, "cagr_pct": 4.123670695835179, "max_drawdown_pct": 90.21737946866507, "mean_exposure_while_solvent": 1.290217495771638, "realized_annual_volatility_pct": 87.35840666816586, "trading_costs_quote_units": 479.90393425998565, "borrowing_costs_quote_units": 2386.8358435779064, "price_pnl_quote_units": 6862.914264853172, "turnover_quote_units": 799839.8904333069, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1808, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67886.13416590859, "return_pct": 578.8613416590858, "cagr_pct": 25.88535893818491, "max_drawdown_pct": 91.65684356714063, "mean_exposure_while_solvent": 1.2095815920326825, "realized_annual_volatility_pct": 81.0390013620953, "trading_costs_quote_units": 1581.5035194796706, "borrowing_costs_quote_units": 6651.867180109333, "price_pnl_quote_units": 66119.50486549802, "turnover_quote_units": 2635839.199132788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1320, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58105.65755932851, "return_pct": 481.0565755932851, "cagr_pct": 23.5533673015671, "max_drawdown_pct": 86.92204855734104, "mean_exposure_while_solvent": 1.2101974940935651, "realized_annual_volatility_pct": 78.97942185430192, "trading_costs_quote_units": 1512.4307185636458, "borrowing_costs_quote_units": 10794.784100057055, "price_pnl_quote_units": 60412.87237794952, "turnover_quote_units": 2520717.8642727463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54149.386788128104, "return_pct": 441.49386788128106, "cagr_pct": 22.51059662119013, "max_drawdown_pct": 90.0009865631697, "mean_exposure_while_solvent": 1.2399716876360691, "realized_annual_volatility_pct": 81.26246991148048, "trading_costs_quote_units": 1402.4669446007645, "borrowing_costs_quote_units": 10994.776435994836, "price_pnl_quote_units": 56546.63016872358, "turnover_quote_units": 2337444.9076679363, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 46700.86664562063, "return_pct": 367.00866645620624, "cagr_pct": 20.35078976731167, "max_drawdown_pct": 90.05479918535293, "mean_exposure_while_solvent": 1.2632151714430488, "realized_annual_volatility_pct": 82.56821338685573, "trading_costs_quote_units": 1307.3747420600241, "borrowing_costs_quote_units": 11473.862402411114, "price_pnl_quote_units": 49482.1037900914, "turnover_quote_units": 2178957.9034333774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 88524.2245386859, "return_pct": 785.2422453868589, "cagr_pct": 29.966472342495926, "max_drawdown_pct": 85.62443459987037, "mean_exposure_while_solvent": 1.1847713174603747, "realized_annual_volatility_pct": 77.44529089557079, "trading_costs_quote_units": 1822.3457208696625, "borrowing_costs_quote_units": 14122.453994328886, "price_pnl_quote_units": 94469.02425388456, "turnover_quote_units": 3037242.8681161054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 75226.05142352486, "return_pct": 652.2605142352486, "cagr_pct": 27.448386574003074, "max_drawdown_pct": 89.96006703799561, "mean_exposure_while_solvent": 1.2096254120292118, "realized_annual_volatility_pct": 79.79013760239049, "trading_costs_quote_units": 1568.4444790994214, "borrowing_costs_quote_units": 13131.105881313988, "price_pnl_quote_units": 79925.60178393804, "turnover_quote_units": 2614074.131832371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 75209.64823395878, "return_pct": 652.0964823395877, "cagr_pct": 27.44504601317438, "max_drawdown_pct": 90.0140998805998, "mean_exposure_while_solvent": 1.2305364182927365, "realized_annual_volatility_pct": 80.94940419890011, "trading_costs_quote_units": 1597.228678770893, "borrowing_costs_quote_units": 14891.844377000707, "price_pnl_quote_units": 81698.72128973015, "turnover_quote_units": 2662047.7979514888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 103264.77103751843, "return_pct": 932.6477103751844, "cagr_pct": 32.39485999778312, "max_drawdown_pct": 83.23469252756287, "mean_exposure_while_solvent": 1.1704090347988474, "realized_annual_volatility_pct": 76.537589117944, "trading_costs_quote_units": 2000.9566352279826, "borrowing_costs_quote_units": 15057.133777506191, "price_pnl_quote_units": 110322.861450253, "turnover_quote_units": 3334927.725379972, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 92892.46176076573, "return_pct": 828.9246176076572, "cagr_pct": 30.72106981198909, "max_drawdown_pct": 87.60519920356633, "mean_exposure_while_solvent": 1.1950822033066721, "realized_annual_volatility_pct": 78.8432801178166, "trading_costs_quote_units": 1824.158030414861, "borrowing_costs_quote_units": 14936.574596822344, "price_pnl_quote_units": 99653.19438800192, "turnover_quote_units": 3040263.3840247737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 92208.3468502799, "return_pct": 822.083468502799, "cagr_pct": 30.604981435340527, "max_drawdown_pct": 87.93873472784533, "mean_exposure_while_solvent": 1.2151636974651434, "realized_annual_volatility_pct": 79.9316109533925, "trading_costs_quote_units": 1825.738131966489, "borrowing_costs_quote_units": 16711.275687745514, "price_pnl_quote_units": 100745.36066999193, "turnover_quote_units": 3042896.8866108144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 10986.838308824745, "return_pct": 9.868383088247445, "cagr_pct": 1.1376046501816157, "max_drawdown_pct": 90.89896973246621, "mean_exposure_while_solvent": 1.2902673319766214, "realized_annual_volatility_pct": 87.36432633666578, "trading_costs_quote_units": 414.31661873537587, "borrowing_costs_quote_units": 4100.68397457034, "price_pnl_quote_units": 5501.838902130462, "turnover_quote_units": 690527.6978922928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1808, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57009.09965403394, "return_pct": 470.0909965403394, "cagr_pct": 23.270759291558658, "max_drawdown_pct": 91.75903255177386, "mean_exposure_while_solvent": 1.209617545044375, "realized_annual_volatility_pct": 81.04243290910594, "trading_costs_quote_units": 1394.3702720021713, "borrowing_costs_quote_units": 11758.767703619305, "price_pnl_quote_units": 60162.23762965542, "turnover_quote_units": 2323950.453336955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1320, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60731.90782381577, "return_pct": 507.31907823815766, "cagr_pct": 24.211593689923763, "max_drawdown_pct": 87.65874689212684, "mean_exposure_while_solvent": 1.2103535449312348, "realized_annual_volatility_pct": 78.96993186380276, "trading_costs_quote_units": 7690.156793800899, "borrowing_costs_quote_units": 2729.407963586062, "price_pnl_quote_units": 61151.4725812029, "turnover_quote_units": 2563385.5979336346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60224.232743345165, "return_pct": 502.2423274334517, "cagr_pct": 24.08633240168891, "max_drawdown_pct": 89.73087326068384, "mean_exposure_while_solvent": 1.2400926645489447, "realized_annual_volatility_pct": 81.15688872054379, "trading_costs_quote_units": 7676.774417533517, "borrowing_costs_quote_units": 3008.8287140815687, "price_pnl_quote_units": 60909.835874960125, "turnover_quote_units": 2558924.8058444997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 53100.23309879626, "return_pct": 431.00233098796264, "cagr_pct": 22.222834486772065, "max_drawdown_pct": 89.91406812806339, "mean_exposure_while_solvent": 1.2633341476396436, "realized_annual_volatility_pct": 82.44317664088415, "trading_costs_quote_units": 7193.5436473545815, "borrowing_costs_quote_units": 3151.310342543924, "price_pnl_quote_units": 53445.08708869474, "turnover_quote_units": 2397847.8824515245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 90012.2285556322, "return_pct": 800.122285556322, "cagr_pct": 30.227127945787736, "max_drawdown_pct": 86.07280401417387, "mean_exposure_while_solvent": 1.184963493045378, "realized_annual_volatility_pct": 77.4481369087821, "trading_costs_quote_units": 9121.7865674995, "borrowing_costs_quote_units": 3504.5542518543225, "price_pnl_quote_units": 92638.5693749867, "turnover_quote_units": 3040595.52249983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 79670.5271441726, "return_pct": 696.7052714417262, "cagr_pct": 28.33074424938204, "max_drawdown_pct": 89.49262500383097, "mean_exposure_while_solvent": 1.2097735594922199, "realized_annual_volatility_pct": 79.69089358579053, "trading_costs_quote_units": 8268.174815804192, "borrowing_costs_quote_units": 3458.999551735787, "price_pnl_quote_units": 81397.70151171248, "turnover_quote_units": 2756058.271934732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 81674.22057492015, "return_pct": 716.7422057492015, "cagr_pct": 28.714443780375433, "max_drawdown_pct": 89.68007007270532, "mean_exposure_while_solvent": 1.230687180750885, "realized_annual_volatility_pct": 80.84640145866437, "trading_costs_quote_units": 8537.601579846892, "borrowing_costs_quote_units": 3967.7173909900885, "price_pnl_quote_units": 84179.53954575742, "turnover_quote_units": 2845867.193282299, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 105562.18369970433, "return_pct": 955.6218369970433, "cagr_pct": 32.745473684724175, "max_drawdown_pct": 83.62193095737153, "mean_exposure_while_solvent": 1.1706137664224467, "realized_annual_volatility_pct": 76.53549144303811, "trading_costs_quote_units": 10143.164365568287, "borrowing_costs_quote_units": 3794.216071431906, "price_pnl_quote_units": 109499.56413670506, "turnover_quote_units": 3381054.7885227622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 96597.26258069952, "return_pct": 865.9726258069952, "cagr_pct": 31.336976029918397, "max_drawdown_pct": 87.16320416501439, "mean_exposure_while_solvent": 1.1952619256204324, "realized_annual_volatility_pct": 78.74254343645363, "trading_costs_quote_units": 9501.114265939825, "borrowing_costs_quote_units": 3903.096503624887, "price_pnl_quote_units": 100001.47335026509, "turnover_quote_units": 3167038.088646606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 98853.5328696889, "return_pct": 888.535328696889, "cagr_pct": 31.701961925272403, "max_drawdown_pct": 87.5825021614695, "mean_exposure_while_solvent": 1.2153460295667529, "realized_annual_volatility_pct": 79.81974545836019, "trading_costs_quote_units": 9695.502222128069, "borrowing_costs_quote_units": 4442.537998563309, "price_pnl_quote_units": 102991.5730903798, "turnover_quote_units": 3231834.0740426905, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12282.618757085289, "return_pct": 22.826187570852884, "cagr_pct": 2.5019795679207526, "max_drawdown_pct": 91.51588930191306, "mean_exposure_while_solvent": 1.2902160786944996, "realized_annual_volatility_pct": 87.92524936664786, "trading_costs_quote_units": 2106.6372109893496, "borrowing_costs_quote_units": 1048.7687026816766, "price_pnl_quote_units": 5438.024670756352, "turnover_quote_units": 702212.4036631149, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1809, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56322.92555655041, "return_pct": 463.22925556550416, "cagr_pct": 23.091474118016496, "max_drawdown_pct": 92.34471910732586, "mean_exposure_while_solvent": 1.2097045230197074, "realized_annual_volatility_pct": 81.11358003907829, "trading_costs_quote_units": 6604.073100714771, "borrowing_costs_quote_units": 2782.5453887897056, "price_pnl_quote_units": 55709.54404605451, "turnover_quote_units": 2201357.7002382595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55642.842448442985, "return_pct": 456.42842448442985, "cagr_pct": 22.91187411088918, "max_drawdown_pct": 87.75181644467692, "mean_exposure_while_solvent": 1.2103715489352005, "realized_annual_volatility_pct": 78.97166588585308, "trading_costs_quote_units": 7234.02754255146, "borrowing_costs_quote_units": 5130.843289382582, "price_pnl_quote_units": 58007.7132803767, "turnover_quote_units": 2411342.514183821, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 54498.28327633143, "return_pct": 444.9828327633143, "cagr_pct": 22.605205589243862, "max_drawdown_pct": 89.82685022557251, "mean_exposure_while_solvent": 1.2401132098717282, "realized_annual_volatility_pct": 81.1588871123972, "trading_costs_quote_units": 7146.143710383479, "borrowing_costs_quote_units": 5606.4327106971, "price_pnl_quote_units": 57250.85969741199, "turnover_quote_units": 2382047.9034611573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 47588.49830277711, "return_pct": 375.8849830277711, "cagr_pct": 20.623459351126076, "max_drawdown_pct": 90.00973915000155, "mean_exposure_while_solvent": 1.2633566858789913, "realized_annual_volatility_pct": 82.44539792044581, "trading_costs_quote_units": 6648.944035532577, "borrowing_costs_quote_units": 5832.707937799354, "price_pnl_quote_units": 50070.15027610907, "turnover_quote_units": 2216314.678510858, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 83350.33262698751, "return_pct": 733.5033262698751, "cagr_pct": 29.029102916092032, "max_drawdown_pct": 86.13638279617213, "mean_exposure_while_solvent": 1.1849793194298444, "realized_annual_volatility_pct": 77.44947622752456, "trading_costs_quote_units": 8629.074681655344, "borrowing_costs_quote_units": 6630.467634706843, "price_pnl_quote_units": 88609.87494334999, "turnover_quote_units": 2876358.227218447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 73013.78912307715, "return_pct": 630.1378912307715, "cagr_pct": 26.991958051827663, "max_drawdown_pct": 89.55136049693982, "mean_exposure_while_solvent": 1.2097915064318558, "realized_annual_volatility_pct": 79.69257627741074, "trading_costs_quote_units": 7755.155122632999, "borrowing_costs_quote_units": 6496.753796013358, "price_pnl_quote_units": 77265.69804172397, "turnover_quote_units": 2585051.7075443305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 74202.22541227435, "return_pct": 642.0222541227434, "cagr_pct": 27.238642239587723, "max_drawdown_pct": 89.73920206841314, "mean_exposure_while_solvent": 1.2307069191696773, "realized_annual_volatility_pct": 80.84823087252843, "trading_costs_quote_units": 7944.444780990722, "borrowing_costs_quote_units": 7398.095933666266, "price_pnl_quote_units": 79544.76612693154, "turnover_quote_units": 2648148.260330244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 98336.61687301882, "return_pct": 883.3661687301882, "cagr_pct": 31.618995093969072, "max_drawdown_pct": 83.6908246452601, "mean_exposure_while_solvent": 1.170628360762585, "realized_annual_volatility_pct": 76.53663806462507, "trading_costs_quote_units": 9631.221644510031, "borrowing_costs_quote_units": 7209.368528064307, "price_pnl_quote_units": 105177.20704559296, "turnover_quote_units": 3210407.214836675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 89064.77527523378, "return_pct": 790.6477527523379, "cagr_pct": 30.061604054023373, "max_drawdown_pct": 87.21078863429695, "mean_exposure_while_solvent": 1.1952786264257829, "realized_annual_volatility_pct": 78.74402174929443, "trading_costs_quote_units": 8944.882931297592, "borrowing_costs_quote_units": 7362.566192189598, "price_pnl_quote_units": 95372.22439872062, "turnover_quote_units": 2981627.643765863, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 90387.1634594937, "return_pct": 803.8716345949372, "cagr_pct": 30.29220752310747, "max_drawdown_pct": 87.62946132831283, "mean_exposure_while_solvent": 1.215364450320311, "realized_annual_volatility_pct": 79.82136662099983, "trading_costs_quote_units": 9056.878122262618, "borrowing_costs_quote_units": 8320.288611094631, "price_pnl_quote_units": 97764.33019285089, "turnover_quote_units": 3018959.3740875414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 10882.304506537306, "return_pct": 8.823045065373059, "cagr_pct": 1.0214585034918837, "max_drawdown_pct": 91.81713844203784, "mean_exposure_while_solvent": 1.290240952514656, "realized_annual_volatility_pct": 87.92871007104769, "trading_costs_quote_units": 1957.5577998854142, "borrowing_costs_quote_units": 1943.5795760750157, "price_pnl_quote_units": 4783.441882497786, "turnover_quote_units": 652519.2666284712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1809, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 51612.45923514142, "return_pct": 416.12459235141415, "cagr_pct": 21.806069701614526, "max_drawdown_pct": 92.3916930387161, "mean_exposure_while_solvent": 1.2097224688426416, "realized_annual_volatility_pct": 81.11554148063996, "trading_costs_quote_units": 6200.920059481597, "borrowing_costs_quote_units": 5231.3434406399, "price_pnl_quote_units": 53044.72273526325, "turnover_quote_units": 2066973.3531605315, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 46705.58281568355, "return_pct": 367.0558281568355, "cagr_pct": 20.35225052275139, "max_drawdown_pct": 87.93591811775237, "mean_exposure_while_solvent": 1.2104075647550667, "realized_annual_volatility_pct": 78.9751619524769, "trading_costs_quote_units": 6410.484656224504, "borrowing_costs_quote_units": 9076.90059512251, "price_pnl_quote_units": 52192.968067030866, "turnover_quote_units": 2136828.218741503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 44624.90187437045, "return_pct": 346.24901874370454, "cagr_pct": 19.694829536766946, "max_drawdown_pct": 90.01618359003713, "mean_exposure_while_solvent": 1.2401543094307885, "realized_annual_volatility_pct": 81.16291198308895, "trading_costs_quote_units": 6203.372140361028, "borrowing_costs_quote_units": 9748.485546373848, "price_pnl_quote_units": 50576.75956110476, "turnover_quote_units": 2067790.713453677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38219.23812324053, "return_pct": 282.19238123240535, "cagr_pct": 17.486210281768514, "max_drawdown_pct": 90.19842904609686, "mean_exposure_while_solvent": 1.2634017721383346, "realized_annual_volatility_pct": 82.44986824960661, "trading_costs_quote_units": 5692.362621162974, "borrowing_costs_quote_units": 10010.037653790456, "price_pnl_quote_units": 43921.63839819405, "turnover_quote_units": 1897454.207054327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 71465.55324569998, "return_pct": 614.6555324569998, "cagr_pct": 26.665236124361257, "max_drawdown_pct": 86.2627076523648, "mean_exposure_while_solvent": 1.1850109790630579, "realized_annual_volatility_pct": 77.452181889348, "trading_costs_quote_units": 7729.849659043729, "borrowing_costs_quote_units": 11877.171791732851, "price_pnl_quote_units": 81072.57469647606, "turnover_quote_units": 2576616.5530145755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 61318.874626087556, "return_pct": 513.1887462608755, "cagr_pct": 24.355275852771456, "max_drawdown_pct": 89.66788197248096, "mean_exposure_while_solvent": 1.2098274080948968, "realized_annual_volatility_pct": 79.69596932479263, "trading_costs_quote_units": 6831.386905424149, "borrowing_costs_quote_units": 11472.459895681119, "price_pnl_quote_units": 69622.7214271935, "turnover_quote_units": 2277128.9684747173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 61242.57579036588, "return_pct": 512.4257579036589, "cagr_pct": 24.336667448469356, "max_drawdown_pct": 89.8564853566647, "mean_exposure_while_solvent": 1.2307464045694005, "realized_annual_volatility_pct": 80.85191759142882, "trading_costs_quote_units": 6888.825824416028, "borrowing_costs_quote_units": 12877.115858925634, "price_pnl_quote_units": 71008.51747370775, "turnover_quote_units": 2296275.274805345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 85331.42498146962, "return_pct": 753.3142498146962, "cagr_pct": 29.3939163516353, "max_drawdown_pct": 83.82779702392727, "mean_exposure_while_solvent": 1.1706575557700767, "realized_annual_volatility_pct": 76.5389575537249, "trading_costs_quote_units": 8690.918555140044, "borrowing_costs_quote_units": 13023.817472919915, "price_pnl_quote_units": 97046.16100952958, "turnover_quote_units": 2896972.851713344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75712.11335961561, "return_pct": 657.1211335961561, "cagr_pct": 27.54708491155319, "max_drawdown_pct": 87.30545708110932, "mean_exposure_while_solvent": 1.1953120352768871, "realized_annual_volatility_pct": 78.7470055826941, "trading_costs_quote_units": 7936.827350797203, "borrowing_costs_quote_units": 13112.012623009074, "price_pnl_quote_units": 86760.95333342235, "turnover_quote_units": 2645609.116932403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75563.27995854638, "return_pct": 655.6327995854639, "cagr_pct": 27.516922589313282, "max_drawdown_pct": 87.72287520452493, "mean_exposure_while_solvent": 1.2154012998149535, "realized_annual_volatility_pct": 79.82463665994281, "trading_costs_quote_units": 7912.6791490285295, "borrowing_costs_quote_units": 14608.874161691869, "price_pnl_quote_units": 88084.83326926673, "turnover_quote_units": 2637559.716342846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8541.754224970098, "return_pct": -14.582457750299016, "cagr_pct": -1.8766519746563095, "max_drawdown_pct": 92.38810166894301, "mean_exposure_while_solvent": 1.2902907109718167, "realized_annual_volatility_pct": 87.93565746534978, "trading_costs_quote_units": 1696.5257950803878, "borrowing_costs_quote_units": 3348.551411270237, "price_pnl_quote_units": 3586.8314313207397, "turnover_quote_units": 565508.5983601282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1809, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 43337.90435602267, "return_pct": 333.37904356022665, "cagr_pct": 19.27455334959414, "max_drawdown_pct": 92.48480472801063, "mean_exposure_while_solvent": 1.2097583682737778, "realized_annual_volatility_pct": 81.11949178605241, "trading_costs_quote_units": 5474.160649973646, "borrowing_costs_quote_units": 9255.999941098084, "price_pnl_quote_units": 48068.06494709432, "turnover_quote_units": 1824720.216657884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61871.95663575485, "return_pct": 518.7195663575484, "cagr_pct": 24.48956038742901, "max_drawdown_pct": 86.90621308757846, "mean_exposure_while_solvent": 1.2101435072334468, "realized_annual_volatility_pct": 78.97949921091012, "trading_costs_quote_units": 7886.787824931133, "borrowing_costs_quote_units": 2815.847665573605, "price_pnl_quote_units": 62574.59212625951, "turnover_quote_units": 2628929.2749770447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60353.711318997404, "return_pct": 503.53711318997404, "cagr_pct": 24.118367314531024, "max_drawdown_pct": 89.96546382622486, "mean_exposure_while_solvent": 1.239910053342545, "realized_annual_volatility_pct": 81.26263977743474, "trading_costs_quote_units": 7600.087614690312, "borrowing_costs_quote_units": 2976.6649078985347, "price_pnl_quote_units": 60930.463841586214, "turnover_quote_units": 2533362.538230103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 53911.164483787725, "return_pct": 439.11164483787724, "cagr_pct": 22.445690169311078, "max_drawdown_pct": 90.01574086788831, "mean_exposure_while_solvent": 1.2631475623526218, "realized_annual_volatility_pct": 82.56879550877673, "trading_costs_quote_units": 7276.622598182374, "borrowing_costs_quote_units": 3188.3622282759975, "price_pnl_quote_units": 54376.149310245884, "turnover_quote_units": 2425540.8660607915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 94483.95985819971, "return_pct": 844.839598581997, "cagr_pct": 30.988249850025223, "max_drawdown_pct": 85.64520663109376, "mean_exposure_while_solvent": 1.184723879099797, "realized_annual_volatility_pct": 77.44652724973821, "trading_costs_quote_units": 9538.655306069233, "borrowing_costs_quote_units": 3695.3375138592705, "price_pnl_quote_units": 97717.95267812833, "turnover_quote_units": 3179551.7686897465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 83183.65503219079, "return_pct": 731.8365503219079, "cagr_pct": 28.99806280539782, "max_drawdown_pct": 89.96989103248048, "mean_exposure_while_solvent": 1.2095715849611592, "realized_annual_volatility_pct": 79.79030990891387, "trading_costs_quote_units": 8462.375063237274, "borrowing_costs_quote_units": 3537.837167103897, "price_pnl_quote_units": 85183.86726253208, "turnover_quote_units": 2820791.687745759, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 85939.4224628946, "return_pct": 759.3942246289461, "cagr_pct": 29.50438338039698, "max_drawdown_pct": 90.02014589206897, "mean_exposure_while_solvent": 1.2304772235859611, "realized_annual_volatility_pct": 80.95105750765956, "trading_costs_quote_units": 8862.756957741885, "borrowing_costs_quote_units": 4121.965935921896, "price_pnl_quote_units": 88924.14535655818, "turnover_quote_units": 2954252.319247294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 109635.80673318927, "return_pct": 996.3580673318926, "cagr_pct": 33.35097652192495, "max_drawdown_pct": 83.28890005035089, "mean_exposure_while_solvent": 1.1703652923064167, "realized_annual_volatility_pct": 76.53666147105676, "trading_costs_quote_units": 10453.792672149497, "borrowing_costs_quote_units": 3930.603704939412, "price_pnl_quote_units": 114020.20311027847, "turnover_quote_units": 3484597.557383165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 102174.18685167914, "return_pct": 921.7418685167913, "cagr_pct": 32.22601513264148, "max_drawdown_pct": 87.60810751622026, "mean_exposure_while_solvent": 1.1950321234018608, "realized_annual_volatility_pct": 78.8424052109545, "trading_costs_quote_units": 9824.562696334875, "borrowing_costs_quote_units": 4014.5629108113676, "price_pnl_quote_units": 106013.31245882531, "turnover_quote_units": 3274854.2321116263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 104704.14345307979, "return_pct": 947.0414345307978, "cagr_pct": 32.615318820105784, "max_drawdown_pct": 87.94033152604368, "mean_exposure_while_solvent": 1.2151084623337371, "realized_annual_volatility_pct": 79.93229032674054, "trading_costs_quote_units": 10107.530823478735, "borrowing_costs_quote_units": 4611.521040266448, "price_pnl_quote_units": 109423.19531682604, "turnover_quote_units": 3369176.9411595794, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13202.871947687398, "return_pct": 32.02871947687398, "cagr_pct": 3.395976110181679, "max_drawdown_pct": 90.36021705018601, "mean_exposure_while_solvent": 1.2901925831009677, "realized_annual_volatility_pct": 87.36155947829324, "trading_costs_quote_units": 2310.7572511621333, "borrowing_costs_quote_units": 1147.888030664221, "price_pnl_quote_units": 6661.517229513714, "turnover_quote_units": 770252.4170540444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1808, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63002.14484019586, "return_pct": 530.0214484019587, "cagr_pct": 24.760710046409432, "max_drawdown_pct": 91.76239969415325, "mean_exposure_while_solvent": 1.2095636194418944, "realized_annual_volatility_pct": 81.04508453657012, "trading_costs_quote_units": 7514.901190689959, "borrowing_costs_quote_units": 3164.461189131297, "price_pnl_quote_units": 63681.50722001722, "turnover_quote_units": 2504967.0635633185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1320, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56688.51299922104, "return_pct": 466.8851299922104, "cagr_pct": 23.187233331093328, "max_drawdown_pct": 86.99868936370785, "mean_exposure_while_solvent": 1.2101615002509438, "realized_annual_volatility_pct": 78.98097621913992, "trading_costs_quote_units": 7423.060117816613, "borrowing_costs_quote_units": 5296.203765101502, "price_pnl_quote_units": 59407.77688213904, "turnover_quote_units": 2474353.3726055347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 54616.061949284354, "return_pct": 446.1606194928436, "cagr_pct": 22.637022907270506, "max_drawdown_pct": 90.05954759532858, "mean_exposure_while_solvent": 1.23993059513521, "realized_annual_volatility_pct": 81.26441635815252, "trading_costs_quote_units": 7077.93541384271, "borrowing_costs_quote_units": 5548.395166298893, "price_pnl_quote_units": 57242.39252942596, "turnover_quote_units": 2359311.8046142333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 48316.113787692724, "return_pct": 383.1611378769272, "cagr_pct": 20.843656651716042, "max_drawdown_pct": 90.11071870859718, "mean_exposure_while_solvent": 1.2631700954556988, "realized_annual_volatility_pct": 82.57076434525253, "trading_costs_quote_units": 6728.346512268808, "borrowing_costs_quote_units": 5903.173521736717, "price_pnl_quote_units": 50947.633821698335, "turnover_quote_units": 2242782.170756271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 87493.6642532383, "return_pct": 774.936642532383, "cagr_pct": 29.78367888925055, "max_drawdown_pct": 85.71067563337257, "mean_exposure_while_solvent": 1.1847396896011193, "realized_annual_volatility_pct": 77.44765052277698, "trading_costs_quote_units": 9024.434917121343, "borrowing_costs_quote_units": 6992.218971343869, "price_pnl_quote_units": 93510.31814170333, "turnover_quote_units": 3008144.972373782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 76235.11109825048, "return_pct": 662.3511109825048, "cagr_pct": 27.652662639905344, "max_drawdown_pct": 90.0263029317842, "mean_exposure_while_solvent": 1.209589524722748, "realized_annual_volatility_pct": 79.7917981372982, "trading_costs_quote_units": 7937.663673604647, "borrowing_costs_quote_units": 6644.136472914283, "price_pnl_quote_units": 80816.91124476932, "turnover_quote_units": 2645887.891201543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 78079.369125081, "return_pct": 680.79369125081, "cagr_pct": 28.019947418139974, "max_drawdown_pct": 90.07764518076922, "mean_exposure_while_solvent": 1.230496952301691, "realized_annual_volatility_pct": 80.95266617518286, "trading_costs_quote_units": 8247.206358812622, "borrowing_costs_quote_units": 7685.037756214716, "price_pnl_quote_units": 84011.61324010776, "turnover_quote_units": 2749068.7862708727, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 102134.26907629505, "return_pct": 921.3426907629506, "cagr_pct": 32.21980501190381, "max_drawdown_pct": 83.35953910846837, "mean_exposure_while_solvent": 1.1703798710303543, "realized_annual_volatility_pct": 76.53762279943108, "trading_costs_quote_units": 9927.06479855319, "borrowing_costs_quote_units": 7469.051592083561, "price_pnl_quote_units": 109530.38546693111, "turnover_quote_units": 3309021.59951773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 94209.32016396133, "return_pct": 842.0932016396133, "cagr_pct": 30.94242755001121, "max_drawdown_pct": 87.65443752483675, "mean_exposure_while_solvent": 1.1950488142905056, "realized_annual_volatility_pct": 78.84370847630973, "trading_costs_quote_units": 9249.669728770887, "borrowing_costs_quote_units": 7571.915834863103, "price_pnl_quote_units": 101030.90572759543, "turnover_quote_units": 3083223.2429236257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 95739.63074883298, "return_pct": 857.3963074883297, "cagr_pct": 31.196271271389246, "max_drawdown_pct": 87.98630622161583, "mean_exposure_while_solvent": 1.215126871382676, "realized_annual_volatility_pct": 79.93371581855749, "trading_costs_quote_units": 9441.845284325838, "borrowing_costs_quote_units": 8635.855247322386, "price_pnl_quote_units": 103817.33128048186, "turnover_quote_units": 3147281.7614419432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 11697.660125427923, "return_pct": 16.976601254279224, "cagr_pct": 1.9025616444519962, "max_drawdown_pct": 90.70216136183564, "mean_exposure_while_solvent": 1.290217495771638, "realized_annual_volatility_pct": 87.36453947470676, "trading_costs_quote_units": 2146.8906128729586, "borrowing_costs_quote_units": 2127.66319954432, "price_pnl_quote_units": 5972.213937845203, "turnover_quote_units": 715630.204290986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1808, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57735.276091496475, "return_pct": 477.3527609149648, "cagr_pct": 23.45844031059497, "max_drawdown_pct": 91.81305143392741, "mean_exposure_while_solvent": 1.2095815920326825, "realized_annual_volatility_pct": 81.04681805728971, "trading_costs_quote_units": 7057.068455504105, "borrowing_costs_quote_units": 5950.824241261277, "price_pnl_quote_units": 60743.16878826226, "turnover_quote_units": 2352356.1518347044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1320, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 47585.04967960762, "return_pct": 375.8504967960762, "cagr_pct": 20.622408665698714, "max_drawdown_pct": 87.1817372883453, "mean_exposure_while_solvent": 1.2101974940935651, "realized_annual_volatility_pct": 78.98395825183533, "trading_costs_quote_units": 6585.623730256343, "borrowing_costs_quote_units": 9379.836925253272, "price_pnl_quote_units": 53550.51033511735, "turnover_quote_units": 2195207.9100854453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1342, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44722.21080021816, "return_pct": 347.2221080021816, "cagr_pct": 19.726170901935276, "max_drawdown_pct": 90.2451278167358, "mean_exposure_while_solvent": 1.2399716876360691, "realized_annual_volatility_pct": 81.26799761246268, "trading_costs_quote_units": 6150.030835535526, "borrowing_costs_quote_units": 9654.446207308227, "price_pnl_quote_units": 50526.68784306197, "turnover_quote_units": 2050010.2785118395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1515, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38804.878981050744, "return_pct": 288.04878981050746, "cagr_pct": 17.70114679644406, "max_drawdown_pct": 90.2980237426652, "mean_exposure_while_solvent": 1.2632151714430488, "realized_annual_volatility_pct": 82.57472975902742, "trading_costs_quote_units": 5765.092105153168, "borrowing_costs_quote_units": 10137.724241892955, "price_pnl_quote_units": 44707.6953280971, "turnover_quote_units": 1921697.3683843873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1651, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 75022.20452767212, "return_pct": 650.2220452767211, "cagr_pct": 27.40682693266941, "max_drawdown_pct": 85.84075488518155, "mean_exposure_while_solvent": 1.1847713174603747, "realized_annual_volatility_pct": 77.44992414615946, "trading_costs_quote_units": 8086.226884225532, "borrowing_costs_quote_units": 12527.99243786127, "price_pnl_quote_units": 85636.4238497587, "turnover_quote_units": 2695408.9614085103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1176, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64026.95124312731, "return_pct": 540.2695124312731, "cagr_pct": 25.002902395025394, "max_drawdown_pct": 90.13820758213336, "mean_exposure_while_solvent": 1.2096254120292118, "realized_annual_volatility_pct": 79.79480229149954, "trading_costs_quote_units": 6993.035159904541, "borrowing_costs_quote_units": 11730.215363198153, "price_pnl_quote_units": 72750.20176623038, "turnover_quote_units": 2331011.7199681783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1321, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64445.95520708611, "return_pct": 544.4595520708612, "cagr_pct": 25.100944316537145, "max_drawdown_pct": 90.19168328447635, "mean_exposure_while_solvent": 1.2305364182927365, "realized_annual_volatility_pct": 80.95591141376276, "trading_costs_quote_units": 7151.930729844224, "borrowing_costs_quote_units": 13374.164529925329, "price_pnl_quote_units": 74972.05046685606, "turnover_quote_units": 2383976.909948078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1443, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 88631.32252867294, "return_pct": 786.3132252867293, "cagr_pct": 29.985361076231026, "max_drawdown_pct": 83.49996135454482, "mean_exposure_while_solvent": 1.1704090347988474, "realized_annual_volatility_pct": 76.53957182727054, "trading_costs_quote_units": 8960.089064218351, "borrowing_costs_quote_units": 13494.830481025252, "price_pnl_quote_units": 101086.24207391604, "turnover_quote_units": 2986696.354739448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1085, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 80089.27946098824, "return_pct": 700.8927946098825, "cagr_pct": 28.411629916709817, "max_drawdown_pct": 87.74660406859233, "mean_exposure_while_solvent": 1.1950822033066724, "realized_annual_volatility_pct": 78.84634232847215, "trading_costs_quote_units": 8208.156647186213, "borrowing_costs_quote_units": 13481.538735792352, "price_pnl_quote_units": 91778.97484396725, "turnover_quote_units": 2736052.215728737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1229, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 80042.5061273459, "return_pct": 700.4250612734589, "cagr_pct": 28.402613722866466, "max_drawdown_pct": 88.07775580967338, "mean_exposure_while_solvent": 1.2151636974651434, "realized_annual_volatility_pct": 79.93659460910577, "trading_costs_quote_units": 8249.552136416361, "borrowing_costs_quote_units": 15159.674402634677, "price_pnl_quote_units": 93451.73266639645, "turnover_quote_units": 2749850.7121387864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1346, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9181.800609908834, "return_pct": -8.181993900911655, "cagr_pct": -1.0207530710341282, "max_drawdown_pct": 91.35028364484936, "mean_exposure_while_solvent": 1.2902673319766214, "realized_annual_volatility_pct": 87.37052562151666, "trading_costs_quote_units": 1859.8975234844463, "borrowing_costs_quote_units": 3667.022685237447, "price_pnl_quote_units": 4708.720818630677, "turnover_quote_units": 619965.841161482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1808, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 48482.714107040374, "return_pct": 384.82714107040374, "cagr_pct": 20.893663927990346, "max_drawdown_pct": 91.91345090786521, "mean_exposure_while_solvent": 1.209617545044375, "realized_annual_volatility_pct": 81.05031215398054, "trading_costs_quote_units": 6231.627842611477, "borrowing_costs_quote_units": 10534.122315801647, "price_pnl_quote_units": 55248.46426545353, "turnover_quote_units": 2077209.2808704884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1320, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 2, "trace": "reference-2018_frozen_end-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018_frozen_end-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 100217.71106014238, "return_pct": 902.1771106014238, "cagr_pct": 31.919098367337806, "max_drawdown_pct": 84.62662884766856, "mean_exposure_while_solvent": 1.205420286228161, "realized_annual_volatility_pct": 77.48833325441441, "trading_costs_quote_units": 2281.9824814214785, "borrowing_costs_quote_units": 4115.846153503895, "price_pnl_quote_units": 96615.5396950674, "turnover_quote_units": 3803304.1357024657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1304, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 99573.54788997905, "return_pct": 895.7354788997905, "cagr_pct": 31.816893016329267, "max_drawdown_pct": 85.34933769674214, "mean_exposure_while_solvent": 1.230087397738001, "realized_annual_volatility_pct": 78.76280325780569, "trading_costs_quote_units": 2297.5478031668513, "borrowing_costs_quote_units": 4454.635623247987, "price_pnl_quote_units": 96325.7313163948, "turnover_quote_units": 3829246.3386114193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1447, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72471.50901076797, "return_pct": 624.7150901076798, "cagr_pct": 26.878221100311478, "max_drawdown_pct": 90.54176785448573, "mean_exposure_while_solvent": 1.2669675618409737, "realized_annual_volatility_pct": 82.77216833795329, "trading_costs_quote_units": 1763.6215808202262, "borrowing_costs_quote_units": 4013.679099368812, "price_pnl_quote_units": 68248.809690957, "turnover_quote_units": 2939369.301367045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1663, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 119725.4498808273, "return_pct": 1097.2544988082732, "cagr_pct": 34.769529115972276, "max_drawdown_pct": 84.80354931525605, "mean_exposure_while_solvent": 1.1849562102958684, "realized_annual_volatility_pct": 76.63152260324817, "trading_costs_quote_units": 2285.5085034798676, "borrowing_costs_quote_units": 4397.738516527911, "price_pnl_quote_units": 116408.69690083507, "turnover_quote_units": 3809180.8391331094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 110800.90586915959, "return_pct": 1008.0090586915958, "cagr_pct": 33.52051507259395, "max_drawdown_pct": 85.41156625425276, "mean_exposure_while_solvent": 1.2053494066388422, "realized_annual_volatility_pct": 77.80923400129353, "trading_costs_quote_units": 2180.328725618493, "borrowing_costs_quote_units": 4450.783178646846, "price_pnl_quote_units": 107432.01777342561, "turnover_quote_units": 3633881.2093641586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1290, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 92850.94858455432, "return_pct": 828.5094858455432, "cagr_pct": 30.71404685803986, "max_drawdown_pct": 90.58194161119604, "mean_exposure_while_solvent": 1.2397352286781975, "realized_annual_volatility_pct": 81.68407597640362, "trading_costs_quote_units": 1836.748232203746, "borrowing_costs_quote_units": 4383.66974932976, "price_pnl_quote_units": 89071.366566088, "turnover_quote_units": 3061247.0536729093, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1491, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 131046.77152084303, "return_pct": 1210.4677152084303, "cagr_pct": 36.241090553914, "max_drawdown_pct": 83.49282987123507, "mean_exposure_while_solvent": 1.1712512170555411, "realized_annual_volatility_pct": 75.76302208600617, "trading_costs_quote_units": 2383.76209419164, "borrowing_costs_quote_units": 4458.00602816064, "price_pnl_quote_units": 127888.53964319432, "turnover_quote_units": 3972936.8236527294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1084, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 126031.76675304555, "return_pct": 1160.3176675304555, "cagr_pct": 35.60361424043158, "max_drawdown_pct": 83.74849649000221, "mean_exposure_while_solvent": 1.1891700302775718, "realized_annual_volatility_pct": 76.75362218525429, "trading_costs_quote_units": 2364.1735193072786, "borrowing_costs_quote_units": 4719.177932589472, "price_pnl_quote_units": 123115.11820494226, "turnover_quote_units": 3940289.1988454666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 105528.625100094, "return_pct": 955.28625100094, "cagr_pct": 32.74040075003554, "max_drawdown_pct": 89.59082685985175, "mean_exposure_while_solvent": 1.2227249070233883, "realized_annual_volatility_pct": 80.58877481144219, "trading_costs_quote_units": 1968.9579817227905, "borrowing_costs_quote_units": 4638.098574952458, "price_pnl_quote_units": 102135.68165676887, "turnover_quote_units": 3281596.636204648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1384, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12646.396588333233, "return_pct": 26.463965883332328, "cagr_pct": 2.8622009831671305, "max_drawdown_pct": 93.84821539616006, "mean_exposure_while_solvent": 1.2946530835221257, "realized_annual_volatility_pct": 88.70204886032514, "trading_costs_quote_units": 424.5163684447696, "borrowing_costs_quote_units": 1038.9515037590456, "price_pnl_quote_units": 4109.864460537049, "turnover_quote_units": 707527.280741283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 73649.73164843934, "return_pct": 636.4973164843934, "cagr_pct": 27.124396597472572, "max_drawdown_pct": 88.81094916145273, "mean_exposure_while_solvent": 1.2038087733946614, "realized_annual_volatility_pct": 78.23335754123993, "trading_costs_quote_units": 1654.6771285642005, "borrowing_costs_quote_units": 3389.5156213209875, "price_pnl_quote_units": 68693.92439832419, "turnover_quote_units": 2757795.2142736674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1280, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 92016.11175613818, "return_pct": 820.1611175613818, "cagr_pct": 30.57222443271256, "max_drawdown_pct": 84.74174236445297, "mean_exposure_while_solvent": 1.205438004427312, "realized_annual_volatility_pct": 77.48977191129434, "trading_costs_quote_units": 2145.647414936493, "borrowing_costs_quote_units": 7738.983438472374, "price_pnl_quote_units": 91900.74260954715, "turnover_quote_units": 3576079.0248941476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1304, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 90489.8734544829, "return_pct": 804.898734544829, "cagr_pct": 30.309994033173044, "max_drawdown_pct": 85.47710152361387, "mean_exposure_while_solvent": 1.2301072881069937, "realized_annual_volatility_pct": 78.76440803830718, "trading_costs_quote_units": 2142.024166364036, "borrowing_costs_quote_units": 8312.18892957491, "price_pnl_quote_units": 90944.08655042187, "turnover_quote_units": 3570040.2772733886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1447, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64853.980977535466, "return_pct": 548.5398097753547, "cagr_pct": 25.195879979202395, "max_drawdown_pct": 90.6457505838718, "mean_exposure_while_solvent": 1.2669906442784065, "realized_annual_volatility_pct": 82.77437387841941, "trading_costs_quote_units": 1624.0925249456502, "borrowing_costs_quote_units": 7401.701466252156, "price_pnl_quote_units": 63879.77496873368, "turnover_quote_units": 2706820.87490942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1663, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 110868.67400546788, "return_pct": 1008.6867400546788, "cagr_pct": 33.530327958599344, "max_drawdown_pct": 84.87789055380148, "mean_exposure_while_solvent": 1.1849721753212394, "realized_annual_volatility_pct": 76.63274941211364, "trading_costs_quote_units": 2160.2644265940717, "borrowing_costs_quote_units": 8314.603595109702, "price_pnl_quote_units": 111343.54202717192, "turnover_quote_units": 3600440.710990119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 101734.64421892268, "return_pct": 917.3464421892268, "cagr_pct": 32.1575162676618, "max_drawdown_pct": 85.4870331995468, "mean_exposure_while_solvent": 1.2053671790749463, "realized_annual_volatility_pct": 77.81064921099627, "trading_costs_quote_units": 2047.008725457254, "borrowing_costs_quote_units": 8362.8828185152, "price_pnl_quote_units": 102144.53576289515, "turnover_quote_units": 3411681.2090954203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1290, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 84039.62557529507, "return_pct": 740.3962557529507, "cagr_pct": 29.156891741174967, "max_drawdown_pct": 90.65214761088042, "mean_exposure_while_solvent": 1.2397559774447204, "realized_annual_volatility_pct": 81.68602606185863, "trading_costs_quote_units": 1702.4684951581191, "borrowing_costs_quote_units": 8137.032295155451, "price_pnl_quote_units": 83879.12636560928, "turnover_quote_units": 2837447.4919302016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1491, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 122046.43810312371, "return_pct": 1120.464381031237, "cagr_pct": 35.0809062736369, "max_drawdown_pct": 83.55190140700343, "mean_exposure_while_solvent": 1.1712660065058418, "realized_annual_volatility_pct": 75.7640895288085, "trading_costs_quote_units": 2261.318399228899, "borrowing_costs_quote_units": 8463.475957993665, "price_pnl_quote_units": 122771.23246034657, "turnover_quote_units": 3768863.9987148345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1084, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 116501.5429314079, "return_pct": 1065.0154293140788, "cagr_pct": 34.32808803377384, "max_drawdown_pct": 83.84124616491914, "mean_exposure_while_solvent": 1.189186414963645, "realized_annual_volatility_pct": 76.7548420097343, "trading_costs_quote_units": 2229.870434684485, "borrowing_costs_quote_units": 8912.679606539637, "price_pnl_quote_units": 117644.09297263128, "turnover_quote_units": 3716450.7244741414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 96192.84593299325, "return_pct": 861.9284593299325, "cagr_pct": 31.27076417260664, "max_drawdown_pct": 89.65332832303734, "mean_exposure_while_solvent": 1.2227441963973014, "realized_annual_volatility_pct": 80.5905379213619, "trading_costs_quote_units": 1833.627924090178, "borrowing_costs_quote_units": 8654.194228198121, "price_pnl_quote_units": 96680.6680852821, "turnover_quote_units": 3056046.5401502945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1384, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 11183.906489370245, "return_pct": 11.839064893702457, "cagr_pct": 1.353945107799837, "max_drawdown_pct": 94.06550055011512, "mean_exposure_while_solvent": 1.2946785261046494, "realized_annual_volatility_pct": 88.70568533942843, "trading_costs_quote_units": 394.09548715304857, "borrowing_costs_quote_units": 1922.0598975596472, "price_pnl_quote_units": 3500.061874082909, "turnover_quote_units": 656825.8119217483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67658.68042850487, "return_pct": 576.5868042850487, "cagr_pct": 25.834588425787008, "max_drawdown_pct": 88.86945517784135, "mean_exposure_while_solvent": 1.20382644927123, "realized_annual_volatility_pct": 78.23500813099245, "trading_costs_quote_units": 1556.62725144686, "borrowing_costs_quote_units": 6380.691510899116, "price_pnl_quote_units": 65595.99919085066, "turnover_quote_units": 2594378.7524114335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1280, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 77567.81906135866, "return_pct": 675.6781906135866, "cagr_pct": 27.918843528996284, "max_drawdown_pct": 84.96945326814742, "mean_exposure_while_solvent": 1.2054734486511365, "realized_annual_volatility_pct": 77.4926769436311, "trading_costs_quote_units": 1899.2340283935805, "borrowing_costs_quote_units": 13695.529014240472, "price_pnl_quote_units": 83162.58210399242, "turnover_quote_units": 3165390.047322636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1304, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 74728.84824494283, "return_pct": 647.2884824494282, "cagr_pct": 27.34684370235251, "max_drawdown_pct": 85.72936616460855, "mean_exposure_while_solvent": 1.230147077678232, "realized_annual_volatility_pct": 78.7676456583553, "trading_costs_quote_units": 1864.6216290646823, "borrowing_costs_quote_units": 14490.641536344421, "price_pnl_quote_units": 81084.11141035186, "turnover_quote_units": 3107702.7151078093, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1447, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51933.51601008682, "return_pct": 419.3351601008683, "cagr_pct": 21.896892345119486, "max_drawdown_pct": 90.85035585760572, "mean_exposure_while_solvent": 1.2670368194071715, "realized_annual_volatility_pct": 82.77881214707813, "trading_costs_quote_units": 1379.8792646145857, "borrowing_costs_quote_units": 12608.131177894951, "price_pnl_quote_units": 55921.52645259631, "turnover_quote_units": 2299798.7743576444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1663, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 95068.0779849139, "return_pct": 850.6807798491391, "cagr_pct": 31.085318758536346, "max_drawdown_pct": 85.02552416901152, "mean_exposure_while_solvent": 1.185004112435999, "realized_annual_volatility_pct": 76.63522987117474, "trading_costs_quote_units": 1931.843283041151, "borrowing_costs_quote_units": 14872.920445862972, "price_pnl_quote_units": 101872.84171381824, "turnover_quote_units": 3219738.805068584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 85762.79387477398, "return_pct": 757.6279387477399, "cagr_pct": 29.47236278814593, "max_drawdown_pct": 85.63683891852362, "mean_exposure_while_solvent": 1.2054027318611684, "realized_annual_volatility_pct": 77.81350716742857, "trading_costs_quote_units": 1806.4478695350933, "borrowing_costs_quote_units": 14778.0252391064, "price_pnl_quote_units": 92347.26698341571, "turnover_quote_units": 3010746.4492251547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1290, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 68842.22960149597, "return_pct": 588.4222960149598, "cagr_pct": 26.097147909028102, "max_drawdown_pct": 90.79103183703887, "mean_exposure_while_solvent": 1.239797484217393, "realized_annual_volatility_pct": 81.68995364717553, "trading_costs_quote_units": 1464.713443591875, "borrowing_costs_quote_units": 14036.34500506098, "price_pnl_quote_units": 74343.28805014904, "turnover_quote_units": 2441189.0726531264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1491, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 105853.50017254332, "return_pct": 958.5350017254333, "cagr_pct": 32.78945144478303, "max_drawdown_pct": 83.66944322604908, "mean_exposure_while_solvent": 1.1712955919587362, "realized_annual_volatility_pct": 75.76625055369743, "trading_costs_quote_units": 2036.6517629495324, "borrowing_costs_quote_units": 15263.195691149433, "price_pnl_quote_units": 113153.34762664234, "turnover_quote_units": 3394419.604915888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1084, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 99544.11726395208, "return_pct": 895.4411726395208, "cagr_pct": 31.812209560739145, "max_drawdown_pct": 84.02521288069264, "mean_exposure_while_solvent": 1.1892191916456645, "realized_annual_volatility_pct": 76.75730865844822, "trading_costs_quote_units": 1985.7339464117433, "borrowing_costs_quote_units": 15909.384007636092, "price_pnl_quote_units": 107439.23521799887, "turnover_quote_units": 3309556.577352906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 79921.71974837825, "return_pct": 699.2171974837826, "cagr_pct": 28.379309052519048, "max_drawdown_pct": 89.7772419783104, "mean_exposure_while_solvent": 1.2227827837493241, "realized_annual_volatility_pct": 80.59409152198148, "trading_costs_quote_units": 1592.1631057917616, "borrowing_costs_quote_units": 15081.926139183744, "price_pnl_quote_units": 86595.80899335339, "turnover_quote_units": 2653605.176319604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1384, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8746.138172592578, "return_pct": -12.53861827407422, "cagr_pct": -1.5973796096096313, "max_drawdown_pct": 94.47743386089901, "mean_exposure_while_solvent": 1.2947294225246886, "realized_annual_volatility_pct": 88.71298424797698, "trading_costs_quote_units": 340.94832273899624, "borrowing_costs_quote_units": 3300.5360071926225, "price_pnl_quote_units": 2387.6225025242634, "turnover_quote_units": 568247.2045649927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57096.17309976433, "return_pct": 470.9617309976434, "cagr_pct": 23.29337412250717, "max_drawdown_pct": 88.98558298323024, "mean_exposure_while_solvent": 1.2038618089334936, "realized_annual_volatility_pct": 78.23833692430469, "trading_costs_quote_units": 1379.3272896700773, "borrowing_costs_quote_units": 11317.636199922264, "price_pnl_quote_units": 59793.13658935684, "turnover_quote_units": 2298878.8161167963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1280, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 102122.27885554804, "return_pct": 921.2227885554803, "cagr_pct": 32.217939242450974, "max_drawdown_pct": 83.6794110183334, "mean_exposure_while_solvent": 1.2052081149928702, "realized_annual_volatility_pct": 77.53186246564228, "trading_costs_quote_units": 2329.729966400506, "borrowing_costs_quote_units": 4223.678525097243, "price_pnl_quote_units": 98675.68734704531, "turnover_quote_units": 3882883.277334178, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1308, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 103087.88939810329, "return_pct": 930.8788939810329, "cagr_pct": 32.36758199883562, "max_drawdown_pct": 84.88274449940101, "mean_exposure_while_solvent": 1.2294907938085586, "realized_annual_volatility_pct": 78.75409311365522, "trading_costs_quote_units": 2330.1711490684975, "borrowing_costs_quote_units": 4519.999969252252, "price_pnl_quote_units": 99938.06051642353, "turnover_quote_units": 3883618.581780826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1451, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 74720.31410154465, "return_pct": 647.2031410154465, "cagr_pct": 27.345095607497615, "max_drawdown_pct": 90.35669609464838, "mean_exposure_while_solvent": 1.266538271034062, "realized_annual_volatility_pct": 82.76646205577342, "trading_costs_quote_units": 1826.7268584756089, "borrowing_costs_quote_units": 4152.658819033217, "price_pnl_quote_units": 70699.69977905313, "turnover_quote_units": 3044544.7641260126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1668, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 124314.62013517565, "return_pct": 1143.1462013517564, "cagr_pct": 35.38020585637475, "max_drawdown_pct": 84.17253532019298, "mean_exposure_while_solvent": 1.184739327147785, "realized_annual_volatility_pct": 76.65059458641541, "trading_costs_quote_units": 2367.4785612076003, "borrowing_costs_quote_units": 4588.048294026329, "price_pnl_quote_units": 121270.14699040969, "turnover_quote_units": 3945797.6020126604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1175, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 117429.54638956243, "return_pct": 1074.2954638956244, "cagr_pct": 34.456247649003465, "max_drawdown_pct": 85.26633392599712, "mean_exposure_while_solvent": 1.204748596403044, "realized_annual_volatility_pct": 77.77383113969239, "trading_costs_quote_units": 2257.4869067807313, "borrowing_costs_quote_units": 4616.401464921638, "price_pnl_quote_units": 114303.43476126509, "turnover_quote_units": 3762478.1779678892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1294, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 97337.02993551618, "return_pct": 873.3702993551619, "cagr_pct": 31.45746357149059, "max_drawdown_pct": 90.6013879578903, "mean_exposure_while_solvent": 1.2392950757725911, "realized_annual_volatility_pct": 81.64811589051664, "trading_costs_quote_units": 1926.676768536669, "borrowing_costs_quote_units": 4595.664412390966, "price_pnl_quote_units": 93859.37111644355, "turnover_quote_units": 3211127.9475611174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1496, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 131781.8606257359, "return_pct": 1217.8186062573589, "cagr_pct": 36.33272017613469, "max_drawdown_pct": 83.3136391190704, "mean_exposure_while_solvent": 1.171034374744811, "realized_annual_volatility_pct": 75.78772886358158, "trading_costs_quote_units": 2382.044272081739, "borrowing_costs_quote_units": 4472.010290867, "price_pnl_quote_units": 128635.9151886848, "turnover_quote_units": 3970073.786802897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 132740.36126203198, "return_pct": 1227.4036126203198, "cagr_pct": 36.451525183049675, "max_drawdown_pct": 83.55513213049926, "mean_exposure_while_solvent": 1.188559141161503, "realized_annual_volatility_pct": 76.72084979066618, "trading_costs_quote_units": 2425.22348789427, "borrowing_costs_quote_units": 4826.420509224405, "price_pnl_quote_units": 129992.00525915179, "turnover_quote_units": 4042039.1464904537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 109084.17257881674, "return_pct": 990.8417257881673, "cagr_pct": 33.270152305133216, "max_drawdown_pct": 89.74098655618783, "mean_exposure_while_solvent": 1.2222751831543732, "realized_annual_volatility_pct": 80.5656264227045, "trading_costs_quote_units": 2031.724976293911, "borrowing_costs_quote_units": 4759.236251981956, "price_pnl_quote_units": 105875.13380709307, "turnover_quote_units": 3386208.293823186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1389, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13626.280506308754, "return_pct": 36.26280506308754, "cagr_pct": 3.789009856143255, "max_drawdown_pct": 93.01729850060251, "mean_exposure_while_solvent": 1.2950094298048722, "realized_annual_volatility_pct": 88.25015176209294, "trading_costs_quote_units": 468.26095911646365, "borrowing_costs_quote_units": 1137.7730912205723, "price_pnl_quote_units": 5232.314556645809, "turnover_quote_units": 780434.9318607744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1836, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 82368.59899362786, "return_pct": 723.6859899362786, "cagr_pct": 28.845483568578178, "max_drawdown_pct": 87.76337475385839, "mean_exposure_while_solvent": 1.2036407526226462, "realized_annual_volatility_pct": 78.37238652669869, "trading_costs_quote_units": 1880.2516445210113, "borrowing_costs_quote_units": 3843.026898574596, "price_pnl_quote_units": 78091.87753672364, "turnover_quote_units": 3133752.740868355, "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": 19, "trace": "binance-2018_frozen_end-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 93765.82027496128, "return_pct": 837.6582027496129, "cagr_pct": 30.86818301729161, "max_drawdown_pct": 83.79343343747584, "mean_exposure_while_solvent": 1.205225694615802, "realized_annual_volatility_pct": 77.53308664789358, "trading_costs_quote_units": 2191.4886661417227, "borrowing_costs_quote_units": 7944.673592271301, "price_pnl_quote_units": 93901.98253337503, "turnover_quote_units": 3652481.1102362005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1308, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 93698.12598738233, "return_pct": 836.9812598738233, "cagr_pct": 30.85682342229381, "max_drawdown_pct": 85.01446413999348, "mean_exposure_while_solvent": 1.2295104464106048, "realized_annual_volatility_pct": 78.75545242960293, "trading_costs_quote_units": 2173.1466115704447, "borrowing_costs_quote_units": 8436.024657183956, "price_pnl_quote_units": 94307.29725613624, "turnover_quote_units": 3621911.0192840775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1451, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66871.90752514964, "return_pct": 568.7190752514964, "cagr_pct": 25.657805046631886, "max_drawdown_pct": 90.46288470309453, "mean_exposure_while_solvent": 1.2665611228907, "realized_annual_volatility_pct": 82.76841737870403, "trading_costs_quote_units": 1682.5398081188703, "borrowing_costs_quote_units": 7659.088146026738, "price_pnl_quote_units": 66213.53547929524, "turnover_quote_units": 2804233.0135314516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1668, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 115120.06971192981, "return_pct": 1051.2006971192982, "cagr_pct": 34.13562939606026, "max_drawdown_pct": 84.24982003255845, "mean_exposure_while_solvent": 1.184755152522238, "realized_annual_volatility_pct": 76.65161371319452, "trading_costs_quote_units": 2238.1036627652056, "borrowing_costs_quote_units": 8675.395660906037, "price_pnl_quote_units": 116033.56903560222, "turnover_quote_units": 3730172.7712753387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1175, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 107838.14793099319, "return_pct": 978.3814793099319, "cagr_pct": 33.0862557508654, "max_drawdown_pct": 85.34251610399646, "mean_exposure_while_solvent": 1.2047661299751662, "realized_annual_volatility_pct": 77.77500847761722, "trading_costs_quote_units": 2119.6263719524545, "borrowing_costs_quote_units": 8673.89490180627, "price_pnl_quote_units": 108631.66920475234, "turnover_quote_units": 3532710.6199207595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1294, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 88107.53994233836, "return_pct": 781.0753994233837, "cagr_pct": 29.89279041510344, "max_drawdown_pct": 90.67166398421605, "mean_exposure_while_solvent": 1.2393155917724528, "realized_annual_volatility_pct": 81.64983022794152, "trading_costs_quote_units": 1785.8422154806665, "borrowing_costs_quote_units": 8530.093100768076, "price_pnl_quote_units": 88423.47525858729, "turnover_quote_units": 2976403.6924677826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1496, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 122731.95500103601, "return_pct": 1127.31955001036, "cagr_pct": 35.171876593521176, "max_drawdown_pct": 83.37331587069511, "mean_exposure_while_solvent": 1.171049025606104, "realized_annual_volatility_pct": 75.78862654340965, "trading_costs_quote_units": 2260.0102259600576, "borrowing_costs_quote_units": 8490.628188219367, "price_pnl_quote_units": 123482.59341521576, "turnover_quote_units": 3766683.7099334323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 122722.2103557524, "return_pct": 1127.222103557524, "cagr_pct": 35.170586583042216, "max_drawdown_pct": 83.61736223131498, "mean_exposure_while_solvent": 1.1885752859861802, "realized_annual_volatility_pct": 76.72185627403826, "trading_costs_quote_units": 2287.6342168266333, "borrowing_costs_quote_units": 9114.803470124327, "price_pnl_quote_units": 124124.64804270322, "turnover_quote_units": 3812723.6947110537, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 99442.00382643493, "return_pct": 894.4200382643493, "cagr_pct": 31.795950242174563, "max_drawdown_pct": 89.80285292249765, "mean_exposure_while_solvent": 1.2222942395204661, "realized_annual_volatility_pct": 80.56718365004252, "trading_costs_quote_units": 1892.1001931648866, "borrowing_costs_quote_units": 8879.544677409998, "price_pnl_quote_units": 100213.6486970101, "turnover_quote_units": 3153500.321941474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1389, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12049.140050823633, "return_pct": 20.491400508236325, "cagr_pct": 2.265805674737254, "max_drawdown_pct": 93.26417033262886, "mean_exposure_while_solvent": 1.2950348286016578, "realized_annual_volatility_pct": 88.25332040313893, "trading_costs_quote_units": 434.6188414232184, "borrowing_costs_quote_units": 2104.7655205155565, "price_pnl_quote_units": 4588.524412762422, "turnover_quote_units": 724364.735705363, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1836, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 75671.31028368886, "return_pct": 656.7131028368885, "cagr_pct": 27.53882102403041, "max_drawdown_pct": 87.82711955435369, "mean_exposure_while_solvent": 1.203658225672356, "realized_annual_volatility_pct": 78.37381930498243, "trading_costs_quote_units": 1769.0864346246547, "borrowing_costs_quote_units": 7235.873328353024, "price_pnl_quote_units": 74676.27004666696, "turnover_quote_units": 2948477.3910410902, "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": 19, "trace": "binance-2018_frozen_end-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 79044.51506091541, "return_pct": 690.4451506091541, "cagr_pct": 28.209124233028348, "max_drawdown_pct": 84.01915549657433, "mean_exposure_while_solvent": 1.2052608615089253, "realized_annual_volatility_pct": 77.53556266106477, "trading_costs_quote_units": 1941.5382079271014, "borrowing_costs_quote_units": 14070.212836974748, "price_pnl_quote_units": 85056.26610581674, "turnover_quote_units": 3235897.013211835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1308, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 77402.33639543469, "return_pct": 674.0233639543469, "cagr_pct": 27.886011575135484, "max_drawdown_pct": 85.27454310640361, "mean_exposure_while_solvent": 1.2295497601603393, "realized_annual_volatility_pct": 78.75819909715838, "trading_costs_quote_units": 1892.962015746366, "borrowing_costs_quote_units": 14713.274200364547, "price_pnl_quote_units": 84008.57261154657, "turnover_quote_units": 3154936.6929106126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1451, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53558.28404152084, "return_pct": 435.5828404152084, "cagr_pct": 22.349078500787886, "max_drawdown_pct": 90.67182517325011, "mean_exposure_while_solvent": 1.2666068365689027, "realized_annual_volatility_pct": 82.77235521254148, "trading_costs_quote_units": 1430.107625876784, "borrowing_costs_quote_units": 13050.397708691984, "price_pnl_quote_units": 58038.78937608967, "turnover_quote_units": 2383512.709794643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1668, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 98716.53611205565, "return_pct": 887.1653611205564, "cagr_pct": 31.680010708687206, "max_drawdown_pct": 84.40330110565493, "mean_exposure_while_solvent": 1.1847868101557373, "realized_annual_volatility_pct": 76.65367874884006, "trading_costs_quote_units": 2002.120275551585, "borrowing_costs_quote_units": 15521.815798340722, "price_pnl_quote_units": 106240.47218594754, "turnover_quote_units": 3336867.125919304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1175, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 90937.22452034589, "return_pct": 809.3722452034589, "cagr_pct": 30.387256217721763, "max_drawdown_pct": 85.4937421247648, "mean_exposure_while_solvent": 1.2048012047447043, "realized_annual_volatility_pct": 77.77739067020019, "trading_costs_quote_units": 1870.8225325557207, "borrowing_costs_quote_units": 15326.85894364516, "price_pnl_quote_units": 98134.90599654651, "turnover_quote_units": 3118037.554259538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1294, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 72186.95866953264, "return_pct": 621.8695866953265, "cagr_pct": 26.818240120655233, "max_drawdown_pct": 90.81068176560578, "mean_exposure_while_solvent": 1.2393566327211476, "realized_annual_volatility_pct": 81.65328634174459, "trading_costs_quote_units": 1536.4539706319367, "borrowing_costs_quote_units": 14712.664621292757, "price_pnl_quote_units": 78436.07726145766, "turnover_quote_units": 2560756.6177198966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1496, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 106449.66333258036, "return_pct": 964.4966333258036, "cagr_pct": 32.87911858437711, "max_drawdown_pct": 83.49206232739019, "mean_exposure_while_solvent": 1.1710783337028017, "realized_annual_volatility_pct": 75.79044802886207, "trading_costs_quote_units": 2036.0962086006743, "borrowing_costs_quote_units": 15314.23998768835, "price_pnl_quote_units": 113799.99952886948, "turnover_quote_units": 3393493.681001124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 104892.48644799982, "return_pct": 948.9248644799982, "cagr_pct": 32.6439684643368, "max_drawdown_pct": 83.76307667331182, "mean_exposure_while_solvent": 1.1886075826563087, "realized_annual_volatility_pct": 76.72389625732389, "trading_costs_quote_units": 2037.4930296246857, "borrowing_costs_quote_units": 16268.623295832549, "price_pnl_quote_units": 113198.6027734569, "turnover_quote_units": 3395821.7160411444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 82634.91072221153, "return_pct": 726.3491072221152, "cagr_pct": 28.8954829094197, "max_drawdown_pct": 89.92550247020665, "mean_exposure_while_solvent": 1.2223323605664773, "realized_annual_volatility_pct": 80.5703255499602, "trading_costs_quote_units": 1642.9662566359075, "borrowing_costs_quote_units": 15472.205915215585, "price_pnl_quote_units": 89750.08289406312, "turnover_quote_units": 2738277.094393181, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1389, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9420.707143085703, "return_pct": -5.792928569142964, "cagr_pct": -0.7146917217087432, "max_drawdown_pct": 93.7321652202302, "mean_exposure_while_solvent": 1.2950856373804438, "realized_annual_volatility_pct": 88.25968314154751, "trading_costs_quote_units": 375.8260745569028, "borrowing_costs_quote_units": 3613.745292359084, "price_pnl_quote_units": 3410.278510001617, "turnover_quote_units": 626376.7909281708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1836, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 63863.071368507255, "return_pct": 538.6307136850726, "cagr_pct": 24.964402836943083, "max_drawdown_pct": 87.95364939884843, "mean_exposure_while_solvent": 1.2036931794048398, "realized_annual_volatility_pct": 78.37671229507848, "trading_costs_quote_units": 1567.953832264538, "borrowing_costs_quote_units": 12839.68067437123, "price_pnl_quote_units": 68270.70587514355, "turnover_quote_units": 2613256.3871075665, "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": 19, "trace": "binance-2018_frozen_end-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 82610.01488740143, "return_pct": 726.1001488740142, "cagr_pct": 28.890814792368463, "max_drawdown_pct": 84.9654344113137, "mean_exposure_while_solvent": 1.205420286228161, "realized_annual_volatility_pct": 77.4906152181177, "trading_costs_quote_units": 9926.176509118482, "borrowing_costs_quote_units": 3578.9753499968365, "price_pnl_quote_units": 86115.16674651692, "turnover_quote_units": 3308725.503039496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1304, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 82641.1108260904, "return_pct": 726.4111082609039, "cagr_pct": 28.896645273312544, "max_drawdown_pct": 85.68511384542428, "mean_exposure_while_solvent": 1.230087397738001, "realized_annual_volatility_pct": 78.76135697749379, "trading_costs_quote_units": 10055.304428874655, "borrowing_costs_quote_units": 3904.4816503393686, "price_pnl_quote_units": 86600.89690530443, "turnover_quote_units": 3351768.142958221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1447, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60330.919343650705, "return_pct": 503.30919343650703, "cagr_pct": 24.11273263085144, "max_drawdown_pct": 90.79838744624936, "mean_exposure_while_solvent": 1.2669675618409737, "realized_annual_volatility_pct": 82.77480729473285, "trading_costs_quote_units": 7732.004229642383, "borrowing_costs_quote_units": 3527.111104231016, "price_pnl_quote_units": 61590.034677524425, "turnover_quote_units": 2577334.7432141267, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1663, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 101287.93899838442, "return_pct": 912.8793899838442, "cagr_pct": 32.08763387959457, "max_drawdown_pct": 85.04160244089863, "mean_exposure_while_solvent": 1.1849562102958684, "realized_annual_volatility_pct": 76.63510351061088, "trading_costs_quote_units": 10099.931168705747, "borrowing_costs_quote_units": 3887.012128169003, "price_pnl_quote_units": 105274.88229526002, "turnover_quote_units": 3366643.72290192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 93987.2181317298, "return_pct": 839.872181317298, "cagr_pct": 30.905284870797683, "max_drawdown_pct": 85.64293549087067, "mean_exposure_while_solvent": 1.2053494066388422, "realized_annual_volatility_pct": 77.80848785050955, "trading_costs_quote_units": 9668.98964103524, "borrowing_costs_quote_units": 3952.23644955039, "price_pnl_quote_units": 97608.44422231555, "turnover_quote_units": 3222996.5470117414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1290, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 79058.4374699185, "return_pct": 690.584374699185, "cagr_pct": 28.211838241992588, "max_drawdown_pct": 90.77127518894137, "mean_exposure_while_solvent": 1.2397352286781975, "realized_annual_volatility_pct": 81.68713572066652, "trading_costs_quote_units": 8151.710436573074, "borrowing_costs_quote_units": 3899.57543182133, "price_pnl_quote_units": 81109.72333831331, "turnover_quote_units": 2717236.812191026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1491, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 112345.66123215226, "return_pct": 1023.4566123215226, "cagr_pct": 33.742896846606016, "max_drawdown_pct": 83.68782666124706, "mean_exposure_while_solvent": 1.1712512170555411, "realized_annual_volatility_pct": 75.76367318789296, "trading_costs_quote_units": 10640.380609691161, "borrowing_costs_quote_units": 3984.342452225961, "price_pnl_quote_units": 116970.38429406917, "turnover_quote_units": 3546793.5365637187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1084, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 108422.4204121082, "return_pct": 984.224204121082, "cagr_pct": 33.172718040100825, "max_drawdown_pct": 84.01776765624838, "mean_exposure_while_solvent": 1.1891700302775718, "realized_annual_volatility_pct": 76.75006580501508, "trading_costs_quote_units": 10597.719587537695, "borrowing_costs_quote_units": 4240.128734973363, "price_pnl_quote_units": 113260.26873461835, "turnover_quote_units": 3532573.195845897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 91139.49034497401, "return_pct": 811.39490344974, "cagr_pct": 30.42207990492282, "max_drawdown_pct": 89.75950440368166, "mean_exposure_while_solvent": 1.2227249070233883, "realized_annual_volatility_pct": 80.59066235088123, "trading_costs_quote_units": 8831.576805624783, "borrowing_costs_quote_units": 4173.322860587089, "price_pnl_quote_units": 94144.39001118537, "turnover_quote_units": 2943858.9352082605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1384, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 10457.425529943086, "return_pct": 4.574255299430852, "cagr_pct": 0.5390425499445495, "max_drawdown_pct": 94.17742152238449, "mean_exposure_while_solvent": 1.2946530835221257, "realized_annual_volatility_pct": 88.70611338778284, "trading_costs_quote_units": 1884.9078582595653, "borrowing_costs_quote_units": 917.5377947990777, "price_pnl_quote_units": 3259.871183001738, "turnover_quote_units": 628302.6194198548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62528.875740688876, "return_pct": 525.2887574068887, "cagr_pct": 24.647690505678714, "max_drawdown_pct": 88.99197975089814, "mean_exposure_while_solvent": 1.2038087733946614, "realized_annual_volatility_pct": 78.23647930451115, "trading_costs_quote_units": 7367.649581315779, "borrowing_costs_quote_units": 3021.7404872686934, "price_pnl_quote_units": 62918.26580927315, "turnover_quote_units": 2455883.1937719253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1280, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 75849.07949611703, "return_pct": 658.4907949611703, "cagr_pct": 27.57479617701674, "max_drawdown_pct": 85.07803715615395, "mean_exposure_while_solvent": 1.205438004427312, "realized_annual_volatility_pct": 77.49208869705998, "trading_costs_quote_units": 9341.646223741589, "borrowing_costs_quote_units": 6735.115370452925, "price_pnl_quote_units": 81925.84109031134, "turnover_quote_units": 3113882.074580525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1304, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 75101.64221908472, "return_pct": 651.0164221908473, "cagr_pct": 27.423034231166348, "max_drawdown_pct": 85.80998521440809, "mean_exposure_while_solvent": 1.2301072881069937, "realized_annual_volatility_pct": 78.7629962802512, "trading_costs_quote_units": 9383.71814307937, "borrowing_costs_quote_units": 7292.230916528482, "price_pnl_quote_units": 81777.59127869271, "turnover_quote_units": 3127906.04769312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1447, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 53989.01380002048, "return_pct": 439.8901380002048, "cagr_pct": 22.466928834563298, "max_drawdown_pct": 90.89959593467317, "mean_exposure_while_solvent": 1.2669906442784065, "realized_annual_volatility_pct": 82.77705056549235, "trading_costs_quote_units": 7127.786913161654, "borrowing_costs_quote_units": 6510.983169633124, "price_pnl_quote_units": 57627.78388281543, "turnover_quote_units": 2375928.9710538825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1663, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 93795.01038880902, "return_pct": 837.9501038880901, "cagr_pct": 30.87307910489807, "max_drawdown_pct": 85.11479249060507, "mean_exposure_while_solvent": 1.1849721753212394, "realized_annual_volatility_pct": 76.63636250200784, "trading_costs_quote_units": 9552.8464120976, "borrowing_costs_quote_units": 7353.33234736044, "price_pnl_quote_units": 100701.18914826712, "turnover_quote_units": 3184282.1373658665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 86296.32217418603, "return_pct": 762.9632217418603, "cagr_pct": 29.568908602617412, "max_drawdown_pct": 85.71722628280972, "mean_exposure_while_solvent": 1.2053671790749463, "realized_annual_volatility_pct": 77.80993539437675, "trading_costs_quote_units": 9084.399400699604, "borrowing_costs_quote_units": 7431.0576481566195, "price_pnl_quote_units": 92811.77922304289, "turnover_quote_units": 3028133.1335665323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1290, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 71555.55951141348, "return_pct": 615.5555951141348, "cagr_pct": 26.68439968806452, "max_drawdown_pct": 90.8401073597162, "mean_exposure_while_solvent": 1.2397559774447204, "realized_annual_volatility_pct": 81.68912160351722, "trading_costs_quote_units": 7561.447643478325, "borrowing_costs_quote_units": 7243.571697890774, "price_pnl_quote_units": 76360.57885278278, "turnover_quote_units": 2520482.5478261067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1491, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 104629.74805477858, "return_pct": 946.2974805477858, "cagr_pct": 32.603989730136306, "max_drawdown_pct": 83.74620378847656, "mean_exposure_while_solvent": 1.1712660065058418, "realized_annual_volatility_pct": 75.76477133970963, "trading_costs_quote_units": 10099.67337277444, "borrowing_costs_quote_units": 7568.107466101344, "price_pnl_quote_units": 112297.5288936548, "turnover_quote_units": 3366557.7909248164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1084, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 100223.45332723521, "return_pct": 902.2345332723521, "cagr_pct": 31.920006854889355, "max_drawdown_pct": 84.10907208009934, "mean_exposure_while_solvent": 1.189186414963645, "realized_annual_volatility_pct": 76.75131655228638, "trading_costs_quote_units": 10002.009120984547, "borrowing_costs_quote_units": 8012.553940851474, "price_pnl_quote_units": 108238.01638907185, "turnover_quote_units": 3334003.0403281874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 83076.32708817496, "return_pct": 730.7632708817497, "cagr_pct": 28.97804631321162, "max_drawdown_pct": 89.82102251480603, "mean_exposure_while_solvent": 1.2227441963973014, "realized_annual_volatility_pct": 80.59246031943145, "trading_costs_quote_units": 8229.834788193877, "borrowing_costs_quote_units": 7791.716536086505, "price_pnl_quote_units": 89097.8784124551, "turnover_quote_units": 2743278.2627312946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1384, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9247.80200511249, "return_pct": -7.521979948875101, "cagr_pct": -0.9355052197537005, "max_drawdown_pct": 94.38315245039675, "mean_exposure_while_solvent": 1.2946785261046494, "realized_annual_volatility_pct": 88.70978658009003, "trading_costs_quote_units": 1753.1840111181632, "borrowing_costs_quote_units": 1700.37393460846, "price_pnl_quote_units": 2701.359950839039, "turnover_quote_units": 584394.6703727212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57441.52087042635, "return_pct": 474.4152087042635, "cagr_pct": 23.382770519193954, "max_drawdown_pct": 89.04958855044232, "mean_exposure_while_solvent": 1.20382644927123, "realized_annual_volatility_pct": 78.23816086396135, "trading_costs_quote_units": 6936.248919685303, "borrowing_costs_quote_units": 5692.110562548663, "price_pnl_quote_units": 60069.88035266033, "turnover_quote_units": 2312082.973228433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1280, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63938.43401598817, "return_pct": 539.3843401598817, "cagr_pct": 24.982118224846225, "max_drawdown_pct": 85.30078540614363, "mean_exposure_while_solvent": 1.2054734486511365, "realized_annual_volatility_pct": 77.4950635733428, "trading_costs_quote_units": 8284.22664787189, "borrowing_costs_quote_units": 11939.303553541431, "price_pnl_quote_units": 74161.9642174014, "turnover_quote_units": 2761408.882623963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1304, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 62019.68540148856, "return_pct": 520.1968540148856, "cagr_pct": 24.525249174048373, "max_drawdown_pct": 86.05654224320917, "mean_exposure_while_solvent": 1.230147077678232, "realized_annual_volatility_pct": 78.76630312618708, "trading_costs_quote_units": 8184.692190591011, "borrowing_costs_quote_units": 12736.159281802577, "price_pnl_quote_units": 72940.53687388216, "turnover_quote_units": 2728230.730197001, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1447, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 43231.98683536136, "return_pct": 332.3198683536136, "cagr_pct": 19.239478289440957, "max_drawdown_pct": 91.0987444544324, "mean_exposure_while_solvent": 1.2670368194071715, "realized_annual_volatility_pct": 82.78156454792477, "trading_costs_quote_units": 6069.215206102579, "borrowing_costs_quote_units": 11113.927675452473, "price_pnl_quote_units": 50415.12971691721, "turnover_quote_units": 2023071.7353675277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1663, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 80427.22304184068, "return_pct": 704.2722304184067, "cagr_pct": 28.476635813720414, "max_drawdown_pct": 85.26013978219649, "mean_exposure_while_solvent": 1.185004112435999, "realized_annual_volatility_pct": 76.63890750507551, "trading_costs_quote_units": 8554.444644486028, "borrowing_costs_quote_units": 13169.281163548809, "price_pnl_quote_units": 92150.94884987579, "turnover_quote_units": 2851481.548162011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 72747.17301991596, "return_pct": 627.4717301991597, "cagr_pct": 26.93613163987137, "max_drawdown_pct": 85.86469696619577, "mean_exposure_while_solvent": 1.2054027318611684, "realized_annual_volatility_pct": 77.8128581814562, "trading_costs_quote_units": 8028.839684831937, "borrowing_costs_quote_units": 13149.226008005757, "price_pnl_quote_units": 83925.23871275346, "turnover_quote_units": 2676279.8949439772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1290, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58614.64596742483, "return_pct": 486.1464596742484, "cagr_pct": 23.682953817092773, "max_drawdown_pct": 90.97627384020656, "mean_exposure_while_solvent": 1.2397974842173933, "realized_annual_volatility_pct": 81.69312102080755, "trading_costs_quote_units": 6515.631868776229, "borrowing_costs_quote_units": 12513.328233103788, "price_pnl_quote_units": 67643.60606930451, "turnover_quote_units": 2171877.289592075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1491, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 90747.36445376712, "return_pct": 807.4736445376711, "cagr_pct": 30.35450634368996, "max_drawdown_pct": 83.86236382616092, "mean_exposure_while_solvent": 1.1712955919587362, "realized_annual_volatility_pct": 75.7669939416626, "trading_costs_quote_units": 9107.005778075078, "borrowing_costs_quote_units": 13662.731878239085, "price_pnl_quote_units": 103517.10211008131, "turnover_quote_units": 3035668.5926916893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1084, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 85634.4962286663, "return_pct": 756.3449622866632, "cagr_pct": 29.4490676034686, "max_drawdown_pct": 84.29017782445659, "mean_exposure_while_solvent": 1.1892191916456645, "realized_annual_volatility_pct": 76.75384518919863, "trading_costs_quote_units": 8918.461635024554, "borrowing_costs_quote_units": 14319.437188426187, "price_pnl_quote_units": 98872.39505211738, "turnover_quote_units": 2972820.5450081867, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69022.90139069915, "return_pct": 590.2290139069914, "cagr_pct": 26.136878330111458, "max_drawdown_pct": 89.94298702029526, "mean_exposure_while_solvent": 1.2227827837493241, "realized_annual_volatility_pct": 80.59608385687308, "trading_costs_quote_units": 7155.537751499446, "borrowing_costs_quote_units": 13595.838178042297, "price_pnl_quote_units": 79774.2773202406, "turnover_quote_units": 2385179.2504998143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1384, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7231.541219305352, "return_pct": -27.68458780694648, "cagr_pct": -3.820974349263119, "max_drawdown_pct": 94.77319048092819, "mean_exposure_while_solvent": 1.2947294225246886, "realized_annual_volatility_pct": 88.7171589657725, "trading_costs_quote_units": 1522.7085327013642, "borrowing_costs_quote_units": 2930.229811491388, "price_pnl_quote_units": 1684.4795634981167, "turnover_quote_units": 507569.51090045535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48472.14934479858, "return_pct": 384.72149344798584, "cagr_pct": 20.890497268829925, "max_drawdown_pct": 89.16393472385519, "mean_exposure_while_solvent": 1.2038618089334936, "realized_annual_volatility_pct": 78.24155167170937, "trading_costs_quote_units": 6155.590240942605, "borrowing_costs_quote_units": 10109.828750179955, "price_pnl_quote_units": 54737.56833592107, "turnover_quote_units": 2051863.4136475332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1280, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 84428.47741033701, "return_pct": 744.2847741033701, "cagr_pct": 29.228575150587528, "max_drawdown_pct": 84.01153757816786, "mean_exposure_while_solvent": 1.2052081149928702, "realized_annual_volatility_pct": 77.53435373309063, "trading_costs_quote_units": 10169.778021697755, "borrowing_costs_quote_units": 3685.106051012538, "price_pnl_quote_units": 88283.3614830477, "turnover_quote_units": 3389926.007232583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1308, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 85833.97529152007, "return_pct": 758.3397529152007, "cagr_pct": 29.4852740774288, "max_drawdown_pct": 85.21019594741833, "mean_exposure_while_solvent": 1.2294907938085586, "realized_annual_volatility_pct": 78.75417754246808, "trading_costs_quote_units": 10230.372739298238, "borrowing_costs_quote_units": 3973.330586862563, "price_pnl_quote_units": 90037.67861768088, "turnover_quote_units": 3410124.246432749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1451, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62347.11440316741, "return_pct": 523.4711440316742, "cagr_pct": 24.60408468440187, "max_drawdown_pct": 90.6102258396935, "mean_exposure_while_solvent": 1.266538271034062, "realized_annual_volatility_pct": 82.7702610632532, "trading_costs_quote_units": 8028.264568720581, "borrowing_costs_quote_units": 3657.3284809289316, "price_pnl_quote_units": 64032.70745281721, "turnover_quote_units": 2676088.1895735296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1668, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 105436.06952008556, "return_pct": 954.3606952008556, "cagr_pct": 32.726402091653554, "max_drawdown_pct": 84.4077461138131, "mean_exposure_while_solvent": 1.184739327147785, "realized_annual_volatility_pct": 76.65345166083048, "trading_costs_quote_units": 10489.004504691251, "borrowing_costs_quote_units": 4064.9847861687194, "price_pnl_quote_units": 109990.05881094573, "turnover_quote_units": 3496334.8348970856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1175, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 99894.12933509338, "return_pct": 898.9412933509338, "cagr_pct": 31.867830153511967, "max_drawdown_pct": 85.48914100725187, "mean_exposure_while_solvent": 1.204748596403044, "realized_annual_volatility_pct": 77.77407977803121, "trading_costs_quote_units": 10034.979939928759, "borrowing_costs_quote_units": 4108.07803495628, "price_pnl_quote_units": 104037.18730997847, "turnover_quote_units": 3344993.313309587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1294, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 83037.35774181718, "return_pct": 730.3735774181717, "cagr_pct": 28.97077296124091, "max_drawdown_pct": 90.78732291992921, "mean_exposure_while_solvent": 1.2392950757725911, "realized_annual_volatility_pct": 81.65227118392777, "trading_costs_quote_units": 8566.082129031736, "borrowing_costs_quote_units": 4094.5201336010937, "price_pnl_quote_units": 85697.96000444975, "turnover_quote_units": 2855360.7096772417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1496, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 113161.11063791152, "return_pct": 1031.6111063791152, "cagr_pct": 33.85920553606364, "max_drawdown_pct": 83.50477835100547, "mean_exposure_while_solvent": 1.171034374744811, "realized_annual_volatility_pct": 75.78936611710061, "trading_costs_quote_units": 10652.086396601255, "borrowing_costs_quote_units": 4003.253170308825, "price_pnl_quote_units": 117816.45020482114, "turnover_quote_units": 3550695.4655337515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 114408.50956640264, "return_pct": 1044.0850956640265, "cagr_pct": 34.03570491216897, "max_drawdown_pct": 83.76076357474366, "mean_exposure_while_solvent": 1.188559141161503, "realized_annual_volatility_pct": 76.72045647698819, "trading_costs_quote_units": 10888.476908068413, "borrowing_costs_quote_units": 4342.087730817022, "price_pnl_quote_units": 119639.07420528858, "turnover_quote_units": 3629492.302689467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 94292.41948441525, "return_pct": 842.9241948441526, "cagr_pct": 30.956304655083343, "max_drawdown_pct": 89.90783643387444, "mean_exposure_while_solvent": 1.2222751831543732, "realized_annual_volatility_pct": 80.56923529579133, "trading_costs_quote_units": 9121.623485644797, "borrowing_costs_quote_units": 4285.13965695361, "price_pnl_quote_units": 97699.18262701391, "turnover_quote_units": 3040541.161881601, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1389, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 11278.797108933028, "return_pct": 12.787971089330274, "cagr_pct": 1.4569216645097716, "max_drawdown_pct": 93.37827035965452, "mean_exposure_while_solvent": 1.2950094298048722, "realized_annual_volatility_pct": 88.25450746089959, "trading_costs_quote_units": 2080.8225984712653, "borrowing_costs_quote_units": 1005.7889877652988, "price_pnl_quote_units": 4365.408695169727, "turnover_quote_units": 693607.532823755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1836, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70063.65454858818, "return_pct": 600.6365454858818, "cagr_pct": 26.363978140378762, "max_drawdown_pct": 87.94979945733584, "mean_exposure_while_solvent": 1.2036407526226462, "realized_annual_volatility_pct": 78.37550540151526, "trading_costs_quote_units": 8391.286000876427, "borrowing_costs_quote_units": 3434.0289341540665, "price_pnl_quote_units": 71888.96948361826, "turnover_quote_units": 2797095.3336254717, "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": 19, "trace": "binance-2018_frozen_end-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 77519.15852835737, "return_pct": 675.1915852835737, "cagr_pct": 27.90919562377303, "max_drawdown_pct": 84.11304592146122, "mean_exposure_while_solvent": 1.205225694615802, "realized_annual_volatility_pct": 77.53560892238106, "trading_costs_quote_units": 9575.031424283365, "borrowing_costs_quote_units": 6937.400066136024, "price_pnl_quote_units": 84031.59001877667, "turnover_quote_units": 3191677.1414277875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1308, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 78014.79815202695, "return_pct": 680.1479815202695, "cagr_pct": 28.00721766239241, "max_drawdown_pct": 85.33913972653441, "mean_exposure_while_solvent": 1.2295104464106048, "realized_annual_volatility_pct": 78.7555673474656, "trading_costs_quote_units": 9550.139665795381, "borrowing_costs_quote_units": 7422.417907063377, "price_pnl_quote_units": 84987.35572488574, "turnover_quote_units": 3183379.888598459, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1451, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 55797.75517460547, "return_pct": 457.9775517460547, "cagr_pct": 22.952953472685692, "max_drawdown_pct": 90.71369730927616, "mean_exposure_while_solvent": 1.2665611228907, "realized_annual_volatility_pct": 82.77225210950063, "trading_costs_quote_units": 7402.322461286332, "borrowing_costs_quote_units": 6752.263092479489, "price_pnl_quote_units": 59952.34072837078, "turnover_quote_units": 2467440.8204287775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1668, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 97637.47699060908, "return_pct": 876.3747699060907, "cagr_pct": 31.506168116612898, "max_drawdown_pct": 84.48393088497808, "mean_exposure_while_solvent": 1.184755152522238, "realized_annual_volatility_pct": 76.65450034599817, "trading_costs_quote_units": 9922.365342696623, "borrowing_costs_quote_units": 7690.807742571846, "price_pnl_quote_units": 105250.6500758776, "turnover_quote_units": 3307455.1142322063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1175, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 91734.1877458352, "return_pct": 817.3418774583519, "cagr_pct": 30.524075307095018, "max_drawdown_pct": 85.56423173012986, "mean_exposure_while_solvent": 1.2047661299751662, "realized_annual_volatility_pct": 77.77528635187203, "trading_costs_quote_units": 9428.911110536903, "borrowing_costs_quote_units": 7723.787031807621, "price_pnl_quote_units": 98886.88588817968, "turnover_quote_units": 3142970.370178968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1294, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 75163.3242070078, "return_pct": 651.6332420700779, "cagr_pct": 27.435608517809705, "max_drawdown_pct": 90.85627233145492, "mean_exposure_while_solvent": 1.2393155917724528, "realized_annual_volatility_pct": 81.65402004993301, "trading_costs_quote_units": 7945.8237787011885, "borrowing_costs_quote_units": 7605.175506132627, "price_pnl_quote_units": 80714.32349184259, "turnover_quote_units": 2648607.926233729, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1496, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 105389.7615993694, "return_pct": 953.897615993694, "cagr_pct": 32.719394147022506, "max_drawdown_pct": 83.56381375718509, "mean_exposure_while_solvent": 1.171049025606104, "realized_annual_volatility_pct": 75.79029326988848, "trading_costs_quote_units": 10112.204016926959, "borrowing_costs_quote_units": 7604.489806524552, "price_pnl_quote_units": 113106.45542282159, "turnover_quote_units": 3370734.672308987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 105773.19479297721, "return_pct": 957.7319479297721, "cagr_pct": 32.777339013725744, "max_drawdown_pct": 83.85387423851331, "mean_exposure_while_solvent": 1.1885752859861802, "realized_annual_volatility_pct": 76.72149239332022, "trading_costs_quote_units": 10277.155846867772, "borrowing_costs_quote_units": 8204.760964433297, "price_pnl_quote_units": 114255.11160427888, "turnover_quote_units": 3425718.615622592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 85957.46776069494, "return_pct": 759.5746776069493, "cagr_pct": 29.50765151038549, "max_drawdown_pct": 89.96875548183152, "mean_exposure_while_solvent": 1.222294239520466, "realized_annual_volatility_pct": 80.57082762741172, "trading_costs_quote_units": 8500.200138911214, "borrowing_costs_quote_units": 7999.811802848391, "price_pnl_quote_units": 92457.47970245454, "turnover_quote_units": 2833400.046303739, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1389, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9973.01542055278, "return_pct": -0.26984579447220103, "cagr_pct": -0.03247245301193997, "max_drawdown_pct": 93.61248901498324, "mean_exposure_while_solvent": 1.2950348286016578, "realized_annual_volatility_pct": 88.25771186006034, "trading_costs_quote_units": 1934.922131546396, "borrowing_costs_quote_units": 1863.753556032064, "price_pnl_quote_units": 3771.6911081311687, "turnover_quote_units": 644974.0438487981, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1836, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64365.93754421296, "return_pct": 543.6593754421297, "cagr_pct": 25.082264549428434, "max_drawdown_pct": 88.01264749875166, "mean_exposure_while_solvent": 1.203658225672356, "realized_annual_volatility_pct": 78.37696504152703, "trading_costs_quote_units": 7901.020589604746, "borrowing_costs_quote_units": 6470.053176890348, "price_pnl_quote_units": 68737.01131070819, "turnover_quote_units": 2633673.5298682484, "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": 19, "trace": "binance-2018_frozen_end-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 65347.036105372325, "return_pct": 553.4703610537233, "cagr_pct": 25.309900821375404, "max_drawdown_pct": 84.34167507002523, "mean_exposure_while_solvent": 1.2052608615089253, "realized_annual_volatility_pct": 77.53814723769949, "trading_costs_quote_units": 8498.723552812718, "borrowing_costs_quote_units": 12307.229651637412, "price_pnl_quote_units": 76152.98930982195, "turnover_quote_units": 2832907.850937573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1308, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64444.63292703888, "return_pct": 544.4463292703889, "cagr_pct": 25.10063580200168, "max_drawdown_pct": 85.59374357955394, "mean_exposure_while_solvent": 1.2295497601603393, "realized_annual_volatility_pct": 78.7583752802603, "trading_costs_quote_units": 8335.221640132353, "borrowing_costs_quote_units": 12969.342060796114, "price_pnl_quote_units": 75749.19662796773, "turnover_quote_units": 2778407.2133774515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1451, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 44687.68266965227, "return_pct": 346.87682669652264, "cagr_pct": 19.71505691753247, "max_drawdown_pct": 90.91729391892905, "mean_exposure_while_solvent": 1.2666068365689027, "realized_annual_volatility_pct": 82.77626164631145, "trading_costs_quote_units": 6305.398660528546, "borrowing_costs_quote_units": 11528.96715549429, "price_pnl_quote_units": 52522.04848567575, "turnover_quote_units": 2101799.5535095134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1668, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 83724.08207791822, "return_pct": 737.2408207791823, "cagr_pct": 29.098507656342253, "max_drawdown_pct": 84.63522686932615, "mean_exposure_while_solvent": 1.1847868101557373, "realized_annual_volatility_pct": 76.65662472359517, "trading_costs_quote_units": 8888.147684906873, "borrowing_costs_quote_units": 13776.507439167348, "price_pnl_quote_units": 96388.73720199312, "turnover_quote_units": 2962715.894968955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1175, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 77355.4470541033, "return_pct": 673.554470541033, "cagr_pct": 27.876697446947563, "max_drawdown_pct": 85.71329022807728, "mean_exposure_while_solvent": 1.2048012047447043, "realized_annual_volatility_pct": 77.77772724340755, "trading_costs_quote_units": 8334.354297124064, "borrowing_costs_quote_units": 13666.082328880995, "price_pnl_quote_units": 89355.88368010822, "turnover_quote_units": 2778118.0990413525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1294, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61580.675755642864, "return_pct": 515.8067575564286, "cagr_pct": 24.41897162886676, "max_drawdown_pct": 90.99266444127889, "mean_exposure_while_solvent": 1.2393566327211476, "realized_annual_volatility_pct": 81.65754542027408, "trading_costs_quote_units": 6846.743515054365, "borrowing_costs_quote_units": 13136.09048608893, "price_pnl_quote_units": 71563.5097567862, "turnover_quote_units": 2282247.838351455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1496, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 91407.46803173033, "return_pct": 814.0746803173032, "cagr_pct": 30.468112497615053, "max_drawdown_pct": 83.68128360569406, "mean_exposure_while_solvent": 1.1710783337028017, "realized_annual_volatility_pct": 75.79217392072914, "trading_costs_quote_units": 9121.048248563628, "borrowing_costs_quote_units": 13730.11109034565, "price_pnl_quote_units": 104258.62737063997, "turnover_quote_units": 3040349.4161878754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1088, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 90404.34058372844, "return_pct": 804.0434058372844, "cagr_pct": 30.29518336039227, "max_drawdown_pct": 84.0385477012189, "mean_exposure_while_solvent": 1.1886075826563087, "realized_annual_volatility_pct": 76.7235914645514, "trading_costs_quote_units": 9165.080228131099, "borrowing_costs_quote_units": 14661.207647256011, "price_pnl_quote_units": 104230.62845911566, "turnover_quote_units": 3055026.742710365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 71428.71161356846, "return_pct": 614.2871161356846, "cagr_pct": 26.657385912270144, "max_drawdown_pct": 90.08952593378025, "mean_exposure_while_solvent": 1.2223323605664773, "realized_annual_volatility_pct": 80.57403993001854, "trading_costs_quote_units": 7390.737245701832, "borrowing_costs_quote_units": 13956.554279000542, "price_pnl_quote_units": 82776.00313827077, "turnover_quote_units": 2463579.0819006106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1389, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7796.895884484086, "return_pct": -22.031041155159137, "cagr_pct": -2.9468524995026435, "max_drawdown_pct": 94.05648824175725, "mean_exposure_while_solvent": 1.2950856373804438, "realized_annual_volatility_pct": 88.2641460904633, "trading_costs_quote_units": 1679.5672003751083, "borrowing_costs_quote_units": 3211.0781752497182, "price_pnl_quote_units": 2687.5412601088556, "turnover_quote_units": 559855.7334583694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1836, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 19, "trace": "binance-2018_frozen_end-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54320.11406254157, "return_pct": 443.20114062541575, "cagr_pct": 22.556958900679312, "max_drawdown_pct": 88.13739618512625, "mean_exposure_while_solvent": 1.2036931794048398, "realized_annual_volatility_pct": 78.37991197996567, "trading_costs_quote_units": 7013.3197468243925, "borrowing_costs_quote_units": 11496.201362403606, "price_pnl_quote_units": 62829.63517176971, "turnover_quote_units": 2337773.2489414634, "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": 19, "trace": "binance-2018_frozen_end-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018_frozen_end-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64242.2799482444, "return_pct": 542.422799482444, "cagr_pct": 59.212909008338755, "max_drawdown_pct": 83.60399757341588, "mean_exposure_while_solvent": 1.211597411455356, "realized_annual_volatility_pct": 88.55289309845503, "trading_costs_quote_units": 2968.3491683213156, "borrowing_costs_quote_units": 4774.626055196403, "price_pnl_quote_units": 61985.25517176284, "turnover_quote_units": 4947248.61386886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68789.1751377318, "return_pct": 587.891751377318, "cagr_pct": 61.95856257701799, "max_drawdown_pct": 84.83301932356547, "mean_exposure_while_solvent": 1.2573685968213395, "realized_annual_volatility_pct": 91.452296767374, "trading_costs_quote_units": 3154.2006697283305, "borrowing_costs_quote_units": 6232.654448004561, "price_pnl_quote_units": 68176.03025546436, "turnover_quote_units": 5257001.11621388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65809.00127556443, "return_pct": 558.0900127556442, "cagr_pct": 60.174974881028895, "max_drawdown_pct": 85.3163371122774, "mean_exposure_while_solvent": 1.2868373391083217, "realized_annual_volatility_pct": 93.02195237393572, "trading_costs_quote_units": 2912.0697440350277, "borrowing_costs_quote_units": 6690.124872779271, "price_pnl_quote_units": 65411.195892379445, "turnover_quote_units": 4853449.573391721, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 73096.95343661112, "return_pct": 630.9695343661111, "cagr_pct": 64.43696776850739, "max_drawdown_pct": 82.71098781459652, "mean_exposure_while_solvent": 1.1858863527686272, "realized_annual_volatility_pct": 87.27974480160074, "trading_costs_quote_units": 2455.438442857334, "borrowing_costs_quote_units": 4337.572723804325, "price_pnl_quote_units": 69889.96460327246, "turnover_quote_units": 4092397.404762226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 81615.44849346756, "return_pct": 716.1544849346756, "cagr_pct": 69.03206571026487, "max_drawdown_pct": 83.18074175375544, "mean_exposure_while_solvent": 1.2231266228565358, "realized_annual_volatility_pct": 89.8718839693617, "trading_costs_quote_units": 2655.055501708382, "borrowing_costs_quote_units": 5871.548601709222, "price_pnl_quote_units": 80142.0525968839, "turnover_quote_units": 4425092.502847302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 87438.89876411817, "return_pct": 774.3889876411818, "cagr_pct": 71.97013398610217, "max_drawdown_pct": 82.45968009878678, "mean_exposure_while_solvent": 1.2504928204839565, "realized_annual_volatility_pct": 91.31409706967183, "trading_costs_quote_units": 2472.365492585837, "borrowing_costs_quote_units": 6464.488487089041, "price_pnl_quote_units": 86375.75274379541, "turnover_quote_units": 4120609.1543097245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72075.2690947072, "return_pct": 620.752690947072, "cagr_pct": 63.85927703201255, "max_drawdown_pct": 83.32396435762293, "mean_exposure_while_solvent": 1.1807772742532385, "realized_annual_volatility_pct": 86.85301088791826, "trading_costs_quote_units": 2454.3194432751156, "borrowing_costs_quote_units": 4248.89249795618, "price_pnl_quote_units": 68778.48103593834, "turnover_quote_units": 4090532.405458528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 80474.70018778672, "return_pct": 704.7470018778672, "cagr_pct": 68.43823173329156, "max_drawdown_pct": 83.777063317156, "mean_exposure_while_solvent": 1.2180175443411472, "realized_annual_volatility_pct": 89.45752098720067, "trading_costs_quote_units": 2654.767736957903, "borrowing_costs_quote_units": 5773.714627818093, "price_pnl_quote_units": 78903.18255256183, "turnover_quote_units": 4424612.894929837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 86216.75543884216, "return_pct": 762.1675543884215, "cagr_pct": 71.36597815237661, "max_drawdown_pct": 83.08156667861691, "mean_exposure_while_solvent": 1.2453837419685678, "realized_annual_volatility_pct": 90.90631116790185, "trading_costs_quote_units": 2466.864182591899, "borrowing_costs_quote_units": 6365.439647060443, "price_pnl_quote_units": 85049.05926849596, "turnover_quote_units": 4111440.304319836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19957.525047079158, "return_pct": 99.57525047079159, "cagr_pct": 18.85986442416077, "max_drawdown_pct": 89.44870356623642, "mean_exposure_while_solvent": 1.2766907028239867, "realized_annual_volatility_pct": 95.07361516928306, "trading_costs_quote_units": 1064.8453217467054, "borrowing_costs_quote_units": 2668.75935382099, "price_pnl_quote_units": 13691.129722646754, "turnover_quote_units": 1774742.2029111723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 110744.69634941092, "return_pct": 1007.4469634941092, "cagr_pct": 82.43599132822818, "max_drawdown_pct": 83.25894182622021, "mean_exposure_while_solvent": 1.2228709900958918, "realized_annual_volatility_pct": 90.04898871982628, "trading_costs_quote_units": 3218.974054426484, "borrowing_costs_quote_units": 7141.5214996691875, "price_pnl_quote_units": 111105.19190350572, "turnover_quote_units": 5364956.757377477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61580.67841377513, "return_pct": 515.8067841377514, "cagr_pct": 57.53738572051888, "max_drawdown_pct": 83.70756629556624, "mean_exposure_while_solvent": 1.2116155211939674, "realized_annual_volatility_pct": 88.55481050544728, "trading_costs_quote_units": 2882.5653851970865, "borrowing_costs_quote_units": 9279.151198272339, "price_pnl_quote_units": 63742.39499724377, "turnover_quote_units": 4804275.641995145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65338.49025512254, "return_pct": 553.3849025512254, "cagr_pct": 59.88787277508536, "max_drawdown_pct": 85.09463016121063, "mean_exposure_while_solvent": 1.2573906159783879, "realized_annual_volatility_pct": 91.45450975581953, "trading_costs_quote_units": 3041.485758245879, "borrowing_costs_quote_units": 12034.78075658487, "price_pnl_quote_units": 70414.75676995232, "turnover_quote_units": 5069142.930409805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62140.19037378056, "return_pct": 521.4019037378057, "cagr_pct": 57.89405337096794, "max_drawdown_pct": 85.58847267840014, "mean_exposure_while_solvent": 1.2868618843567168, "realized_annual_volatility_pct": 93.02442336838185, "trading_costs_quote_units": 2795.300680072267, "borrowing_costs_quote_units": 12860.4387504134, "price_pnl_quote_units": 67795.92980426483, "turnover_quote_units": 4658834.466787117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70431.11131138231, "return_pct": 604.311113113823, "cagr_pct": 62.91659162948082, "max_drawdown_pct": 82.79882356340525, "mean_exposure_while_solvent": 1.1859022570608093, "realized_annual_volatility_pct": 87.28135887153672, "trading_costs_quote_units": 2390.4815473029716, "borrowing_costs_quote_units": 8450.551420086778, "price_pnl_quote_units": 71272.14427877252, "turnover_quote_units": 3984135.912171617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 78055.88174747754, "return_pct": 680.5588174747754, "cagr_pct": 67.15788294991607, "max_drawdown_pct": 83.2914857924872, "mean_exposure_while_solvent": 1.223145709424088, "realized_annual_volatility_pct": 89.87372611074595, "trading_costs_quote_units": 2570.399339183949, "borrowing_costs_quote_units": 11381.047657853069, "price_pnl_quote_units": 82007.32874451499, "turnover_quote_units": 4283998.898639913, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 83169.66664959614, "return_pct": 731.6966664959614, "cagr_pct": 69.83120064949249, "max_drawdown_pct": 82.56602561679713, "mean_exposure_while_solvent": 1.2505142492724854, "realized_annual_volatility_pct": 91.31609719736127, "trading_costs_quote_units": 2382.533191931094, "borrowing_costs_quote_units": 12473.814894405745, "price_pnl_quote_units": 88026.01473593345, "turnover_quote_units": 3970888.6532184873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69517.8441478256, "return_pct": 595.178441478256, "cagr_pct": 62.38581622064188, "max_drawdown_pct": 83.3940375643151, "mean_exposure_while_solvent": 1.1807927422622535, "realized_annual_volatility_pct": 86.85458243349777, "trading_costs_quote_units": 2389.9226434395764, "borrowing_costs_quote_units": 8280.582956514496, "price_pnl_quote_units": 70188.34974777894, "turnover_quote_units": 3983204.40573263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 77043.74559918807, "return_pct": 670.4374559918807, "cagr_pct": 66.61328959219841, "max_drawdown_pct": 83.86965215380394, "mean_exposure_while_solvent": 1.2180361946255323, "realized_annual_volatility_pct": 89.4593220058226, "trading_costs_quote_units": 2570.661398610832, "borrowing_costs_quote_units": 11195.240184285978, "price_pnl_quote_units": 80809.64718208302, "turnover_quote_units": 4284435.664351384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 82091.22100049608, "return_pct": 720.9122100049608, "cagr_pct": 69.27789773505779, "max_drawdown_pct": 83.16929514796186, "mean_exposure_while_solvent": 1.2454047344739299, "realized_annual_volatility_pct": 90.90827095836575, "trading_costs_quote_units": 2377.8002605504703, "borrowing_costs_quote_units": 12286.972623811438, "price_pnl_quote_units": 86755.99388485859, "turnover_quote_units": 3963000.434250786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18880.358115456045, "return_pct": 88.80358115456046, "cagr_pct": 17.22235156773842, "max_drawdown_pct": 89.73185767687417, "mean_exposure_while_solvent": 1.2767144311367904, "realized_annual_volatility_pct": 95.07745277083683, "trading_costs_quote_units": 1034.3891185521397, "borrowing_costs_quote_units": 5176.344552838173, "price_pnl_quote_units": 15091.091786846375, "turnover_quote_units": 1723981.8642535666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 105921.35203001881, "return_pct": 959.2135203001881, "cagr_pct": 80.41602666519836, "max_drawdown_pct": 83.37014587441726, "mean_exposure_while_solvent": 1.2228900392408797, "realized_annual_volatility_pct": 90.05058826521676, "trading_costs_quote_units": 3114.3242809639396, "borrowing_costs_quote_units": 13833.962542835561, "price_pnl_quote_units": 112869.6388538194, "turnover_quote_units": 5190540.468273229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56582.35195377642, "return_pct": 465.82351953776424, "cagr_pct": 54.238117980445686, "max_drawdown_pct": 83.91280457045112, "mean_exposure_while_solvent": 1.2116517485271472, "realized_annual_volatility_pct": 88.55867028916397, "trading_costs_quote_units": 2718.947583754725, "borrowing_costs_quote_units": 17526.610426732685, "price_pnl_quote_units": 66827.90996426356, "turnover_quote_units": 4531579.30625788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58946.0063055547, "return_pct": 489.460063055547, "cagr_pct": 55.82443894559499, "max_drawdown_pct": 85.60453337867817, "mean_exposure_while_solvent": 1.2574346638422673, "realized_annual_volatility_pct": 91.4589606523871, "trading_costs_quote_units": 2828.7733510333865, "borrowing_costs_quote_units": 22441.610342380227, "price_pnl_quote_units": 74216.38999896962, "turnover_quote_units": 4714622.251722308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55402.96857474543, "return_pct": 454.02968574745427, "cagr_pct": 53.42794434404332, "max_drawdown_pct": 86.11785267756305, "mean_exposure_while_solvent": 1.2869109855022154, "realized_annual_volatility_pct": 93.0293895506304, "trading_costs_quote_units": 2576.5031004509183, "borrowing_costs_quote_units": 23769.61918964003, "price_pnl_quote_units": 71749.09086483662, "turnover_quote_units": 4294171.834084863, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65386.156214113194, "return_pct": 553.861562141132, "cagr_pct": 59.91702861433947, "max_drawdown_pct": 82.97320975539503, "mean_exposure_while_solvent": 1.1859340725407541, "realized_annual_volatility_pct": 87.28461107815278, "trading_costs_quote_units": 2266.0999623351963, "borrowing_costs_quote_units": 16039.641656864298, "price_pnl_quote_units": 73691.89783331461, "turnover_quote_units": 3776833.2705586604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 71393.90332329365, "return_pct": 613.9390332329365, "cagr_pct": 63.47059007312437, "max_drawdown_pct": 83.51085438012669, "mean_exposure_while_solvent": 1.2231838908337156, "realized_annual_volatility_pct": 89.87743523480957, "trading_costs_quote_units": 2409.6615645197103, "borrowing_costs_quote_units": 21384.510736178425, "price_pnl_quote_units": 85188.07562399103, "turnover_quote_units": 4016102.607532847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75244.22790189956, "return_pct": 652.4422790189957, "cagr_pct": 65.63163799077638, "max_drawdown_pct": 82.77684717121838, "mean_exposure_while_solvent": 1.2505571161408695, "realized_annual_volatility_pct": 91.32012227842881, "trading_costs_quote_units": 2213.190626729841, "borrowing_costs_quote_units": 23228.37388718455, "price_pnl_quote_units": 90685.79241581442, "turnover_quote_units": 3688651.044549736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64670.66442519597, "return_pct": 546.7066442519597, "cagr_pct": 59.47769652835115, "max_drawdown_pct": 83.53334340340503, "mean_exposure_while_solvent": 1.1808236849869929, "realized_annual_volatility_pct": 86.85774939051018, "trading_costs_quote_units": 2266.5587362098263, "borrowing_costs_quote_units": 15727.564263301167, "price_pnl_quote_units": 72664.78742470685, "turnover_quote_units": 3777597.893683042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 70612.67141482515, "return_pct": 606.1267141482515, "cagr_pct": 63.021495464771114, "max_drawdown_pct": 84.05330102778854, "mean_exposure_while_solvent": 1.2180735032799543, "realized_annual_volatility_pct": 89.46294883558318, "trading_costs_quote_units": 2410.9016948035865, "borrowing_costs_quote_units": 21049.60074120573, "price_pnl_quote_units": 84073.17385083347, "turnover_quote_units": 4018169.4913393175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 74420.86359446231, "return_pct": 644.2086359446231, "cagr_pct": 65.17660644313786, "max_drawdown_pct": 83.34344059755578, "mean_exposure_while_solvent": 1.245446728587108, "realized_annual_volatility_pct": 90.91221542060256, "trading_costs_quote_units": 2209.829366868735, "borrowing_costs_quote_units": 22896.186611421588, "price_pnl_quote_units": 89526.87957275259, "turnover_quote_units": 3683048.944781224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16896.76740810224, "return_pct": 68.96767408102242, "cagr_pct": 14.013795630048234, "max_drawdown_pct": 90.27572500419423, "mean_exposure_while_solvent": 1.2767618980925282, "realized_annual_volatility_pct": 95.08515290470854, "trading_costs_quote_units": 976.4877936724077, "borrowing_costs_quote_units": 9740.736466300355, "price_pnl_quote_units": 17613.99166807523, "turnover_quote_units": 1627479.6561206763, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 96893.28389377653, "return_pct": 868.9328389377654, "cagr_pct": 76.44182873939143, "max_drawdown_pct": 83.59040623439316, "mean_exposure_while_solvent": 1.2229281457818515, "realized_annual_volatility_pct": 90.05381213350117, "trading_costs_quote_units": 2915.748464123106, "borrowing_costs_quote_units": 25960.250813103296, "price_pnl_quote_units": 115769.28317100302, "turnover_quote_units": 4859580.7735385075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61057.75754762157, "return_pct": 510.5775754762157, "cagr_pct": 57.20183956897118, "max_drawdown_pct": 83.67386331702556, "mean_exposure_while_solvent": 1.2111444623099772, "realized_annual_volatility_pct": 88.45409671879887, "trading_costs_quote_units": 2926.9897007641175, "borrowing_costs_quote_units": 4673.419325609866, "price_pnl_quote_units": 58658.16657399563, "turnover_quote_units": 4878316.167940196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66960.17044295327, "return_pct": 569.6017044295327, "cagr_pct": 60.870974264873176, "max_drawdown_pct": 85.6341056412852, "mean_exposure_while_solvent": 1.2569531163730157, "realized_annual_volatility_pct": 91.39258793414625, "trading_costs_quote_units": 3249.167201650569, "borrowing_costs_quote_units": 6274.940217063244, "price_pnl_quote_units": 66484.27786166547, "turnover_quote_units": 5415278.669417614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64011.45822765511, "return_pct": 540.114582276551, "cagr_pct": 59.0696870764023, "max_drawdown_pct": 86.23798266821282, "mean_exposure_while_solvent": 1.2864011777529873, "realized_annual_volatility_pct": 92.98769097251022, "trading_costs_quote_units": 3018.11113040863, "borrowing_costs_quote_units": 6774.802481055529, "price_pnl_quote_units": 63804.3718391198, "turnover_quote_units": 5030185.217347709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 74458.4357905808, "return_pct": 644.584357905808, "cagr_pct": 65.19745268473649, "max_drawdown_pct": 82.35550208803687, "mean_exposure_while_solvent": 1.1854055419759504, "realized_annual_volatility_pct": 87.15124681576913, "trading_costs_quote_units": 2509.7048501037634, "borrowing_costs_quote_units": 4369.968308656834, "price_pnl_quote_units": 71338.10894934196, "turnover_quote_units": 4182841.416839612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 84502.24810217787, "return_pct": 745.0224810217786, "cagr_pct": 70.50750613775914, "max_drawdown_pct": 82.91240677393473, "mean_exposure_while_solvent": 1.2227000637017333, "realized_annual_volatility_pct": 89.78252821124374, "trading_costs_quote_units": 2831.4930098283285, "borrowing_costs_quote_units": 6040.095312704656, "price_pnl_quote_units": 83373.83642471033, "turnover_quote_units": 4719155.016380547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 89365.45743872003, "return_pct": 793.6545743872002, "cagr_pct": 72.90977690694314, "max_drawdown_pct": 82.5675597057478, "mean_exposure_while_solvent": 1.2500559034037957, "realized_annual_volatility_pct": 91.25280108668451, "trading_costs_quote_units": 2649.426321877944, "borrowing_costs_quote_units": 6681.906546381311, "price_pnl_quote_units": 88696.79030698072, "turnover_quote_units": 4415710.536463237, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 72382.68747485, "return_pct": 623.8268747485, "cagr_pct": 64.0337429916315, "max_drawdown_pct": 82.97945411157218, "mean_exposure_while_solvent": 1.1802737489337911, "realized_annual_volatility_pct": 86.75686195455009, "trading_costs_quote_units": 2494.5955293974403, "borrowing_costs_quote_units": 4243.439854563555, "price_pnl_quote_units": 69120.72285881068, "turnover_quote_units": 4157659.2156624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 82146.49892062218, "return_pct": 721.4649892062217, "cagr_pct": 69.30639053691294, "max_drawdown_pct": 83.51666530392795, "mean_exposure_while_solvent": 1.217568270659574, "realized_annual_volatility_pct": 89.3997633555406, "trading_costs_quote_units": 2815.831852620228, "borrowing_costs_quote_units": 5893.376355611373, "price_pnl_quote_units": 80855.70712885307, "turnover_quote_units": 4693053.087700377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 86874.13196574488, "return_pct": 768.7413196574488, "cagr_pct": 71.69173885521083, "max_drawdown_pct": 83.18401286021142, "mean_exposure_while_solvent": 1.2449241103616364, "realized_annual_volatility_pct": 90.87623410388674, "trading_costs_quote_units": 2630.901933307294, "borrowing_costs_quote_units": 6529.743810237778, "price_pnl_quote_units": 86034.77770929046, "turnover_quote_units": 4384836.555512158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19874.209675538412, "return_pct": 98.74209675538413, "cagr_pct": 18.73560646380891, "max_drawdown_pct": 89.65625887366117, "mean_exposure_while_solvent": 1.2763355526329916, "realized_annual_volatility_pct": 94.30276956144318, "trading_costs_quote_units": 1078.7661163298135, "borrowing_costs_quote_units": 2685.9654399371257, "price_pnl_quote_units": 13638.941231805156, "turnover_quote_units": 1797943.5272163572, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 109480.80577210667, "return_pct": 994.8080577210668, "cagr_pct": 81.9131695552741, "max_drawdown_pct": 84.17784395881513, "mean_exposure_while_solvent": 1.2226264169359788, "realized_annual_volatility_pct": 90.00367092741841, "trading_costs_quote_units": 3408.641412055351, "borrowing_costs_quote_units": 7453.216513936111, "price_pnl_quote_units": 110342.6636980987, "turnover_quote_units": 5681069.02009225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58527.36386799972, "return_pct": 485.2736386799972, "cagr_pct": 55.546995884045344, "max_drawdown_pct": 83.77737583195734, "mean_exposure_while_solvent": 1.2111625497131904, "realized_annual_volatility_pct": 88.45582999401515, "trading_costs_quote_units": 2842.4555900100154, "borrowing_costs_quote_units": 9083.667852526942, "price_pnl_quote_units": 60453.48731053684, "turnover_quote_units": 4737425.983350027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63600.70039471194, "return_pct": 536.0070039471194, "cagr_pct": 58.813856290523624, "max_drawdown_pct": 85.88240521193416, "mean_exposure_while_solvent": 1.2569751229889994, "realized_annual_volatility_pct": 91.39462061836568, "trading_costs_quote_units": 3133.159798485062, "borrowing_costs_quote_units": 12118.11145491218, "price_pnl_quote_units": 68851.97164810901, "turnover_quote_units": 5221932.997475098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60442.38532334035, "return_pct": 504.42385323340346, "cagr_pct": 56.80419767350264, "max_drawdown_pct": 86.49354905497167, "mean_exposure_while_solvent": 1.2864257060028121, "realized_annual_volatility_pct": 92.989954520563, "trading_costs_quote_units": 2897.146583473785, "borrowing_costs_quote_units": 13025.418078145765, "price_pnl_quote_units": 66364.94998495869, "turnover_quote_units": 4828577.639122983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 71743.08758176106, "return_pct": 617.4308758176106, "cagr_pct": 63.67012904965521, "max_drawdown_pct": 82.44546812930982, "mean_exposure_while_solvent": 1.1854214194045163, "realized_annual_volatility_pct": 87.15265002268674, "trading_costs_quote_units": 2442.9675594074897, "borrowing_costs_quote_units": 8513.562649445523, "price_pnl_quote_units": 72699.61779061495, "turnover_quote_units": 4071612.5990124824, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 80817.13295137133, "return_pct": 708.1713295137133, "cagr_pct": 68.61714986927888, "max_drawdown_pct": 83.02524469025828, "mean_exposure_while_solvent": 1.2227191348324973, "realized_annual_volatility_pct": 89.78418085744899, "trading_costs_quote_units": 2740.8141516316578, "borrowing_costs_quote_units": 11707.455322553018, "price_pnl_quote_units": 85265.40242555784, "turnover_quote_units": 4568023.586052767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 85002.36146424215, "return_pct": 750.0236146424214, "cagr_pct": 70.75925741055535, "max_drawdown_pct": 82.67366416364058, "mean_exposure_while_solvent": 1.2500773136650176, "realized_annual_volatility_pct": 91.25459897821868, "trading_costs_quote_units": 2552.740251440046, "borrowing_costs_quote_units": 12893.335627495806, "price_pnl_quote_units": 90448.4373431774, "turnover_quote_units": 4254567.08573341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69814.3125836097, "return_pct": 598.143125836097, "cagr_pct": 62.55868894201826, "max_drawdown_pct": 83.0512825515497, "mean_exposure_while_solvent": 1.1802891868985248, "realized_annual_volatility_pct": 86.75824687705999, "trading_costs_quote_units": 2428.8683901353074, "borrowing_costs_quote_units": 8270.206446584185, "price_pnl_quote_units": 70513.38742033028, "turnover_quote_units": 4048113.983558843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 78644.40703849241, "return_pct": 686.4440703849241, "cagr_pct": 67.47211586528398, "max_drawdown_pct": 83.61105077477167, "mean_exposure_while_solvent": 1.2175869023265056, "realized_annual_volatility_pct": 89.40139808404274, "trading_costs_quote_units": 2726.3062223704806, "borrowing_costs_quote_units": 11427.519954201225, "price_pnl_quote_units": 82798.23321506486, "turnover_quote_units": 4543843.703950798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 82717.11789441155, "return_pct": 727.1711789441156, "cagr_pct": 69.59967692669832, "max_drawdown_pct": 83.2716034428853, "mean_exposure_while_solvent": 1.2449450811590261, "realized_annual_volatility_pct": 90.87801421092414, "trading_costs_quote_units": 2535.5650143100843, "borrowing_costs_quote_units": 12604.731388725726, "price_pnl_quote_units": 87857.41429744793, "turnover_quote_units": 4225941.690516807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18801.9300082697, "return_pct": 88.019300082697, "cagr_pct": 17.10041356035413, "max_drawdown_pct": 89.92302637018788, "mean_exposure_while_solvent": 1.2763592600632727, "realized_annual_volatility_pct": 94.30608072471209, "trading_costs_quote_units": 1048.0174454388793, "borrowing_costs_quote_units": 5210.729898025484, "price_pnl_quote_units": 15060.677351734035, "turnover_quote_units": 1746695.7423981316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 104712.16576987751, "return_pct": 947.121657698775, "cagr_pct": 79.89884640631975, "max_drawdown_pct": 84.28305462785552, "mean_exposure_while_solvent": 1.222645477306434, "realized_annual_volatility_pct": 90.00516093317435, "trading_costs_quote_units": 3297.7810515554324, "borrowing_costs_quote_units": 14438.798108479541, "price_pnl_quote_units": 112448.74492991169, "turnover_quote_units": 5496301.752592387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53775.512112829616, "return_pct": 437.75512112829614, "cagr_pct": 52.28845365744497, "max_drawdown_pct": 84.11487678664986, "mean_exposure_while_solvent": 1.2111987323664681, "realized_annual_volatility_pct": 88.45932173768905, "trading_costs_quote_units": 2681.25761864849, "borrowing_costs_quote_units": 17161.977192925624, "price_pnl_quote_units": 63618.746924404, "turnover_quote_units": 4468762.697747482, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57377.25721727203, "return_pct": 473.77257217272034, "cagr_pct": 54.77705794305101, "max_drawdown_pct": 86.36633915817654, "mean_exposure_while_solvent": 1.257019145769693, "realized_annual_volatility_pct": 91.39871107497638, "trading_costs_quote_units": 2914.251560240084, "borrowing_costs_quote_units": 22603.29631844223, "price_pnl_quote_units": 72894.80509595374, "turnover_quote_units": 4857085.933733477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53888.38006016276, "return_pct": 438.8838006016276, "cagr_pct": 52.36830846670386, "max_drawdown_pct": 86.99067063538212, "mean_exposure_while_solvent": 1.2864747731464006, "realized_annual_volatility_pct": 92.99450596204048, "trading_costs_quote_units": 2670.4882691125026, "borrowing_costs_quote_units": 24082.70494707141, "price_pnl_quote_units": 70641.57327634624, "turnover_quote_units": 4450813.7818541685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66604.41285034931, "return_pct": 566.0441285034931, "cagr_pct": 60.65684701502847, "max_drawdown_pct": 82.6240753857397, "mean_exposure_while_solvent": 1.1854531811455409, "realized_annual_volatility_pct": 87.15548071217903, "trading_costs_quote_units": 2315.237766641819, "borrowing_costs_quote_units": 16158.856750215882, "price_pnl_quote_units": 75078.5073672083, "turnover_quote_units": 3858729.6110697007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 73920.11833813571, "return_pct": 639.2011833813572, "cagr_pct": 64.89802066828716, "max_drawdown_pct": 83.2487512304812, "mean_exposure_while_solvent": 1.222757285365641, "realized_annual_volatility_pct": 89.7875111475414, "trading_costs_quote_units": 2568.700724121981, "borrowing_costs_quote_units": 21996.6961255442, "price_pnl_quote_units": 88485.51518780128, "turnover_quote_units": 4281167.873536629, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 76902.6257324611, "return_pct": 669.026257324611, "cagr_pct": 66.53693265901627, "max_drawdown_pct": 82.88399720735433, "mean_exposure_while_solvent": 1.2501201434732256, "realized_annual_volatility_pct": 91.25821973446065, "trading_costs_quote_units": 2370.5239314835526, "borrowing_costs_quote_units": 24009.503199860643, "price_pnl_quote_units": 93282.65286380581, "turnover_quote_units": 3950873.219139254, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64946.367307712004, "return_pct": 549.4636730771201, "cagr_pct": 59.6474154969455, "max_drawdown_pct": 83.1940706215563, "mean_exposure_while_solvent": 1.1803200695210312, "realized_annual_volatility_pct": 86.76104084320261, "trading_costs_quote_units": 2303.0147768630736, "borrowing_costs_quote_units": 15708.81973932159, "price_pnl_quote_units": 72958.20182389532, "turnover_quote_units": 3838357.961438455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 72079.95614051781, "return_pct": 620.7995614051781, "cagr_pct": 63.8619412080917, "max_drawdown_pct": 83.79825476508837, "mean_exposure_while_solvent": 1.2176241737411315, "realized_annual_volatility_pct": 89.40469253394565, "trading_costs_quote_units": 2556.30928502457, "borrowing_costs_quote_units": 21487.294142418927, "price_pnl_quote_units": 86123.55956796074, "turnover_quote_units": 4260515.475040948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 74988.21720671815, "return_pct": 649.8821720671815, "cagr_pct": 65.49055566435791, "max_drawdown_pct": 83.4454660364735, "mean_exposure_while_solvent": 1.244987031848716, "realized_annual_volatility_pct": 90.88159949666999, "trading_costs_quote_units": 2355.807280665253, "borrowing_costs_quote_units": 23490.545111316995, "price_pnl_quote_units": 90834.56959870073, "turnover_quote_units": 3926345.467775423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16827.289302994184, "return_pct": 68.27289302994184, "cagr_pct": 13.896397269073482, "max_drawdown_pct": 90.43737233348274, "mean_exposure_while_solvent": 1.276406685235802, "realized_annual_volatility_pct": 94.31272775332337, "trading_costs_quote_units": 989.4894090744314, "borrowing_costs_quote_units": 9809.255197803228, "price_pnl_quote_units": 17626.03390987186, "turnover_quote_units": 1649149.0151240504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 95786.52920799817, "return_pct": 857.8652920799817, "cagr_pct": 75.93575074508941, "max_drawdown_pct": 84.49143865867626, "mean_exposure_while_solvent": 1.222683606311116, "realized_annual_volatility_pct": 90.00816554544294, "trading_costs_quote_units": 3087.3787084792766, "borrowing_costs_quote_units": 27099.130396118806, "price_pnl_quote_units": 115973.03831259596, "turnover_quote_units": 5145631.180798795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58097.568468731624, "return_pct": 480.9756846873163, "cagr_pct": 55.26060882367765, "max_drawdown_pct": 83.99607794846544, "mean_exposure_while_solvent": 1.211597411455356, "realized_annual_volatility_pct": 88.54952957527802, "trading_costs_quote_units": 13904.371841095883, "borrowing_costs_quote_units": 4479.414418719231, "price_pnl_quote_units": 66481.35472854708, "turnover_quote_units": 4634790.613698625, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62612.23666387459, "return_pct": 526.1223666387459, "cagr_pct": 58.19309656559124, "max_drawdown_pct": 85.45552443214754, "mean_exposure_while_solvent": 1.2573685968213395, "realized_annual_volatility_pct": 91.45162223365787, "trading_costs_quote_units": 14840.838365756093, "borrowing_costs_quote_units": 5878.339744329341, "price_pnl_quote_units": 73331.4147739603, "turnover_quote_units": 4946946.121918704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60224.849146284396, "return_pct": 502.2484914628439, "cagr_pct": 56.662903551175916, "max_drawdown_pct": 85.8980953227046, "mean_exposure_while_solvent": 1.2868373391083217, "realized_annual_volatility_pct": 93.02395120541435, "trading_costs_quote_units": 13762.938820101594, "borrowing_costs_quote_units": 6335.79874690241, "price_pnl_quote_units": 70323.58671328788, "turnover_quote_units": 4587646.273367198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67109.18562099402, "return_pct": 571.0918562099401, "cagr_pct": 60.96041165143022, "max_drawdown_pct": 83.0287950957995, "mean_exposure_while_solvent": 1.1858863527686272, "realized_annual_volatility_pct": 87.2752377434642, "trading_costs_quote_units": 11586.809313271197, "borrowing_costs_quote_units": 4098.945794484406, "price_pnl_quote_units": 72794.94072875047, "turnover_quote_units": 3862269.7710904004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 75655.13837077506, "return_pct": 656.5513837077506, "cagr_pct": 65.85733168894916, "max_drawdown_pct": 83.46818360207232, "mean_exposure_while_solvent": 1.2231266228565358, "realized_annual_volatility_pct": 89.86989843744178, "trading_costs_quote_units": 12620.882241492622, "borrowing_costs_quote_units": 5592.373526788899, "price_pnl_quote_units": 83868.39413905701, "turnover_quote_units": 4206960.747164209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 81525.93160299421, "return_pct": 715.2593160299422, "cagr_pct": 68.98569220034439, "max_drawdown_pct": 82.71266472277269, "mean_exposure_while_solvent": 1.2504928204839565, "realized_annual_volatility_pct": 91.31524668208777, "trading_costs_quote_units": 11802.319573747993, "borrowing_costs_quote_units": 6182.0162912638825, "price_pnl_quote_units": 89510.2674680062, "turnover_quote_units": 3934106.5245826617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66211.1697078585, "return_pct": 562.1116970785849, "cagr_pct": 60.41915711925547, "max_drawdown_pct": 83.62193095737153, "mean_exposure_while_solvent": 1.1807772742532385, "realized_annual_volatility_pct": 86.85121246374601, "trading_costs_quote_units": 11583.452465595856, "borrowing_costs_quote_units": 4017.170360710809, "price_pnl_quote_units": 71811.79253416577, "turnover_quote_units": 3861150.821865286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 74642.76551095411, "return_pct": 646.4276551095411, "cagr_pct": 65.29961049806776, "max_drawdown_pct": 84.0459630359951, "mean_exposure_while_solvent": 1.2180175443411472, "realized_annual_volatility_pct": 89.45817765730261, "trading_costs_quote_units": 12621.451526816698, "borrowing_costs_quote_units": 5501.615076146795, "price_pnl_quote_units": 82765.8321139187, "turnover_quote_units": 4207150.5089389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 80434.99921817708, "return_pct": 704.3499921817707, "cagr_pct": 68.41745140847719, "max_drawdown_pct": 83.31684919652243, "mean_exposure_while_solvent": 1.2453837419685678, "realized_annual_volatility_pct": 90.91007510553145, "trading_costs_quote_units": 11778.12970455689, "borrowing_costs_quote_units": 6089.661330229848, "price_pnl_quote_units": 88302.79025296356, "turnover_quote_units": 3926043.234852295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18374.701610352895, "return_pct": 83.74701610352895, "cagr_pct": 16.429386767701082, "max_drawdown_pct": 89.81453700452052, "mean_exposure_while_solvent": 1.2766907028239867, "realized_annual_volatility_pct": 95.06625663213737, "trading_costs_quote_units": 5075.49840122411, "borrowing_costs_quote_units": 2537.88675944462, "price_pnl_quote_units": 15988.086771021653, "turnover_quote_units": 1691832.800408038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 102715.04411389361, "return_pct": 927.1504411389362, "cagr_pct": 79.03476420640357, "max_drawdown_pct": 83.52232251604485, "mean_exposure_while_solvent": 1.2228709900958918, "realized_annual_volatility_pct": 90.05376421895483, "trading_costs_quote_units": 15289.023212138845, "borrowing_costs_quote_units": 6795.960484892394, "price_pnl_quote_units": 114800.02781092636, "turnover_quote_units": 5096341.070712945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 55690.55655079691, "return_pct": 456.9055655079691, "cagr_pct": 53.62668562795516, "max_drawdown_pct": 84.0972434885076, "mean_exposure_while_solvent": 1.2116155211939674, "realized_annual_volatility_pct": 88.55148145949595, "trading_costs_quote_units": 13504.794063738183, "borrowing_costs_quote_units": 8706.790326248249, "price_pnl_quote_units": 67902.14094078275, "turnover_quote_units": 4501598.021246062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59471.37267768556, "return_pct": 494.71372677685565, "cagr_pct": 56.17052702369656, "max_drawdown_pct": 85.70655078991338, "mean_exposure_while_solvent": 1.2573906159783879, "realized_annual_volatility_pct": 91.45387239288688, "trading_costs_quote_units": 14312.987112730047, "borrowing_costs_quote_units": 11352.584126304973, "price_pnl_quote_units": 75136.94391672144, "turnover_quote_units": 4770995.704243347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56867.49883337992, "return_pct": 468.6749883337992, "cagr_pct": 54.432094796988316, "max_drawdown_pct": 86.15959755122465, "mean_exposure_while_solvent": 1.2868618843567168, "realized_annual_volatility_pct": 93.02646032829676, "trading_costs_quote_units": 13213.51410469405, "borrowing_costs_quote_units": 12181.63384641992, "price_pnl_quote_units": 72262.64678449364, "turnover_quote_units": 4404504.701564685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64661.77408172895, "return_pct": 546.6177408172896, "cagr_pct": 59.47221472926072, "max_drawdown_pct": 83.11508157287021, "mean_exposure_while_solvent": 1.1859022570608093, "realized_annual_volatility_pct": 87.27688482401659, "trading_costs_quote_units": 11281.772603285655, "borrowing_costs_quote_units": 7986.5586775880765, "price_pnl_quote_units": 73930.1053626033, "turnover_quote_units": 3760590.867761887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 72355.64322542015, "return_pct": 623.5564322542016, "cagr_pct": 64.01841716761128, "max_drawdown_pct": 83.57712011985281, "mean_exposure_while_solvent": 1.223145709424088, "realized_annual_volatility_pct": 89.87177682986108, "trading_costs_quote_units": 12220.09468409893, "borrowing_costs_quote_units": 10841.228271769618, "price_pnl_quote_units": 85416.96618128922, "turnover_quote_units": 4073364.894699645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 77545.86133965092, "return_pct": 675.4586133965092, "cagr_pct": 66.8841259732554, "max_drawdown_pct": 82.81755532985235, "mean_exposure_while_solvent": 1.2505142492724854, "realized_annual_volatility_pct": 91.3172842480453, "trading_costs_quote_units": 11375.103876743748, "borrowing_costs_quote_units": 11930.369786187102, "price_pnl_quote_units": 90851.33500258248, "turnover_quote_units": 3791701.2922479142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63861.871210042926, "return_pct": 538.6187121004292, "cagr_pct": 58.97666327410738, "max_drawdown_pct": 83.6908246452601, "mean_exposure_while_solvent": 1.1807927422622535, "realized_annual_volatility_pct": 86.85281740046439, "trading_costs_quote_units": 11280.964925947237, "borrowing_costs_quote_units": 7829.841952443686, "price_pnl_quote_units": 72972.67808843426, "turnover_quote_units": 3760321.641982411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 71460.56282249816, "return_pct": 614.6056282249816, "cagr_pct": 63.50873862933189, "max_drawdown_pct": 84.13710857111437, "mean_exposure_while_solvent": 1.2180361946255323, "realized_annual_volatility_pct": 89.46001528531268, "trading_costs_quote_units": 12223.174809055528, "borrowing_costs_quote_units": 10668.888938588776, "price_pnl_quote_units": 84352.62657014166, "turnover_quote_units": 4074391.6030185083, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 76586.57499074015, "return_pct": 665.8657499074014, "cagr_pct": 66.36554239674686, "max_drawdown_pct": 83.40344347188002, "mean_exposure_while_solvent": 1.2454047344739299, "realized_annual_volatility_pct": 90.91207267881876, "trading_costs_quote_units": 11354.463593437444, "borrowing_costs_quote_units": 11756.18891074427, "price_pnl_quote_units": 89697.22749492167, "turnover_quote_units": 3784821.1978124813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17382.762565883335, "return_pct": 73.82762565883334, "cagr_pct": 14.825024914678183, "max_drawdown_pct": 90.08796838658999, "mean_exposure_while_solvent": 1.2767144311367904, "realized_annual_volatility_pct": 95.07012497654415, "trading_costs_quote_units": 4931.31926365269, "borrowing_costs_quote_units": 4923.471626641935, "price_pnl_quote_units": 17237.55345617791, "turnover_quote_units": 1643773.087884227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 98241.64051711357, "return_pct": 882.4164051711357, "cagr_pct": 77.05255743201374, "max_drawdown_pct": 83.63185304794007, "mean_exposure_while_solvent": 1.2228900392408797, "realized_annual_volatility_pct": 90.05539779315019, "trading_costs_quote_units": 14793.803281382388, "borrowing_costs_quote_units": 13166.026499455855, "price_pnl_quote_units": 116201.47029795116, "turnover_quote_units": 4931267.760460794, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51170.12114612137, "return_pct": 411.70121146121363, "cagr_pct": 50.40917676438408, "max_drawdown_pct": 84.29773006532078, "mean_exposure_while_solvent": 1.2116517485271474, "realized_annual_volatility_pct": 88.55541075419298, "trading_costs_quote_units": 12742.512294365773, "borrowing_costs_quote_units": 16450.69195419469, "price_pnl_quote_units": 70363.32539468119, "turnover_quote_units": 4247504.098121925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53652.62308351415, "return_pct": 436.5262308351415, "cagr_pct": 52.20136580410646, "max_drawdown_pct": 86.19582845934217, "mean_exposure_while_solvent": 1.2574346638422673, "realized_annual_volatility_pct": 91.45839817776479, "trading_costs_quote_units": 13316.639282435113, "borrowing_costs_quote_units": 21176.843320503947, "price_pnl_quote_units": 78146.10568645346, "turnover_quote_units": 4438879.760811707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 50701.993745619184, "return_pct": 407.0199374561918, "cagr_pct": 50.06394814315907, "max_drawdown_pct": 86.66829667560668, "mean_exposure_while_solvent": 1.2869109855022154, "realized_annual_volatility_pct": 93.0315033088045, "trading_costs_quote_units": 12183.803261643785, "borrowing_costs_quote_units": 22523.648225720302, "price_pnl_quote_units": 75409.44523298382, "turnover_quote_units": 4061267.753881269, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60029.94692800831, "return_pct": 500.2994692800831, "cagr_pct": 56.53598517722387, "max_drawdown_pct": 83.28640365290167, "mean_exposure_while_solvent": 1.1859340725407541, "realized_annual_volatility_pct": 87.28020362795105, "trading_costs_quote_units": 10697.57952631159, "borrowing_costs_quote_units": 15162.397988458679, "price_pnl_quote_units": 75889.92444277962, "turnover_quote_units": 3565859.842103864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66180.13443988371, "return_pct": 561.801344398837, "cagr_pct": 60.4003532867917, "max_drawdown_pct": 83.79291895717984, "mean_exposure_while_solvent": 1.2231838908337156, "realized_annual_volatility_pct": 89.87555902209287, "trading_costs_quote_units": 11458.987975647073, "borrowing_costs_quote_units": 20375.17343955586, "price_pnl_quote_units": 88014.29585508519, "turnover_quote_units": 3819662.6585490173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 70156.8863961674, "return_pct": 601.5688639616741, "cagr_pct": 62.75776171734573, "max_drawdown_pct": 83.02550416487018, "mean_exposure_while_solvent": 1.2505571161408695, "realized_annual_volatility_pct": 91.32138476674612, "trading_costs_quote_units": 10569.622912775243, "borrowing_costs_quote_units": 22222.42729198435, "price_pnl_quote_units": 92948.93660092549, "turnover_quote_units": 3523207.6375917466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59408.92455226517, "return_pct": 494.08924552265165, "cagr_pct": 56.12950933820826, "max_drawdown_pct": 83.82779702392729, "mean_exposure_while_solvent": 1.1808236849869929, "realized_annual_volatility_pct": 86.8560517176148, "trading_costs_quote_units": 10701.399345230595, "borrowing_costs_quote_units": 14874.72050538652, "price_pnl_quote_units": 74985.04440288262, "turnover_quote_units": 3567133.1150768646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65495.487086019115, "return_pct": 554.9548708601911, "cagr_pct": 59.98384287158658, "max_drawdown_pct": 84.31790508572072, "mean_exposure_while_solvent": 1.2180735032799543, "realized_annual_volatility_pct": 89.46371590151413, "trading_costs_quote_units": 11466.527773161555, "borrowing_costs_quote_units": 20064.654630063727, "price_pnl_quote_units": 87026.66948924486, "turnover_quote_units": 3822175.924387188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69431.09871028514, "return_pct": 594.3109871028514, "cagr_pct": 62.33512983704357, "max_drawdown_pct": 83.57534869448496, "mean_exposure_while_solvent": 1.245446728587108, "realized_annual_volatility_pct": 90.91609326918898, "trading_costs_quote_units": 10555.3136959154, "borrowing_costs_quote_units": 21912.880582075402, "price_pnl_quote_units": 91899.29298827652, "turnover_quote_units": 3518437.898638468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15556.083350514456, "return_pct": 55.56083350514456, "cagr_pct": 11.681320118537851, "max_drawdown_pct": 90.61317638242873, "mean_exposure_while_solvent": 1.2767618980925282, "realized_annual_volatility_pct": 95.0778865969704, "trading_costs_quote_units": 4657.153106266693, "borrowing_costs_quote_units": 9268.550881921808, "price_pnl_quote_units": 19481.787338702652, "turnover_quote_units": 1552384.368755567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 89868.2055546587, "return_pct": 798.6820555465871, "cagr_pct": 73.15248023389546, "max_drawdown_pct": 83.84880968950924, "mean_exposure_while_solvent": 1.2229281457818515, "realized_annual_volatility_pct": 90.0586903333957, "trading_costs_quote_units": 13853.96429635779, "borrowing_costs_quote_units": 24712.308223851447, "price_pnl_quote_units": 118434.47807486916, "turnover_quote_units": 4617988.098785933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55284.354515351006, "return_pct": 452.8435451535101, "cagr_pct": 53.3457492095291, "max_drawdown_pct": 84.06782791190128, "mean_exposure_while_solvent": 1.2111444623099772, "realized_annual_volatility_pct": 88.46067824156488, "trading_costs_quote_units": 13731.605117093492, "borrowing_costs_quote_units": 4392.145773695381, "price_pnl_quote_units": 63408.10540613973, "turnover_quote_units": 4577201.705697833, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60989.82456771535, "return_pct": 509.89824567715357, "cagr_pct": 57.15809055535856, "max_drawdown_pct": 86.23627131658209, "mean_exposure_while_solvent": 1.2569531163730157, "realized_annual_volatility_pct": 91.39800834584769, "trading_costs_quote_units": 15308.80937965174, "borrowing_costs_quote_units": 5926.983432625816, "price_pnl_quote_units": 72225.61737999192, "turnover_quote_units": 5102936.459883919, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58629.1406981645, "return_pct": 486.29140698164497, "cagr_pct": 55.61458210084995, "max_drawdown_pct": 86.79541763649294, "mean_exposure_while_solvent": 1.2864011777529873, "realized_annual_volatility_pct": 92.99578475699536, "trading_costs_quote_units": 14286.351563133705, "borrowing_costs_quote_units": 6426.583684772967, "price_pnl_quote_units": 69342.07594607133, "turnover_quote_units": 4762117.187711239, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68426.47226966199, "return_pct": 584.2647226966199, "cagr_pct": 61.74462610431743, "max_drawdown_pct": 82.68539001038313, "mean_exposure_while_solvent": 1.1854055419759504, "realized_annual_volatility_pct": 87.15499641597242, "trading_costs_quote_units": 11855.248720160704, "borrowing_costs_quote_units": 4134.960938175291, "price_pnl_quote_units": 74416.68192799755, "turnover_quote_units": 3951749.5733869006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 78356.55780115897, "return_pct": 683.5655780115897, "cagr_pct": 67.31864489573734, "max_drawdown_pct": 83.21080387350341, "mean_exposure_while_solvent": 1.2227000637017333, "realized_annual_volatility_pct": 89.78408988464597, "trading_costs_quote_units": 13470.266209936384, "borrowing_costs_quote_units": 5758.338630758297, "price_pnl_quote_units": 87585.16264185362, "turnover_quote_units": 4490088.736645459, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 83357.17357344711, "return_pct": 733.5717357344711, "cagr_pct": 69.92685231871019, "max_drawdown_pct": 82.82641716116004, "mean_exposure_while_solvent": 1.2500559034037957, "realized_annual_volatility_pct": 91.25743525251883, "trading_costs_quote_units": 12659.938563930058, "borrowing_costs_quote_units": 6397.111614847751, "price_pnl_quote_units": 92414.22375222442, "turnover_quote_units": 4219979.521310018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66555.70002978953, "return_pct": 565.5570002978953, "cagr_pct": 60.62746049168699, "max_drawdown_pct": 83.28890005035089, "mean_exposure_while_solvent": 1.1802737489337911, "realized_annual_volatility_pct": 86.75792948454215, "trading_costs_quote_units": 11786.534033054932, "borrowing_costs_quote_units": 4017.508622928889, "price_pnl_quote_units": 72359.74268577395, "turnover_quote_units": 3928844.677684983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 76214.29811299733, "return_pct": 662.1429811299734, "cagr_pct": 66.16297969107741, "max_drawdown_pct": 83.79600033079615, "mean_exposure_while_solvent": 1.217568270659574, "realized_annual_volatility_pct": 89.39871289860923, "trading_costs_quote_units": 13398.486239246586, "borrowing_costs_quote_units": 5621.276199831191, "price_pnl_quote_units": 85234.06055207594, "turnover_quote_units": 4466162.079748857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 81078.19759904798, "return_pct": 710.7819759904797, "cagr_pct": 68.75317229826501, "max_drawdown_pct": 83.42501162396768, "mean_exposure_while_solvent": 1.2449241103616364, "realized_annual_volatility_pct": 90.87831170796385, "trading_costs_quote_units": 12574.167489187945, "borrowing_costs_quote_units": 6254.175907344782, "price_pnl_quote_units": 89906.54099558189, "turnover_quote_units": 4191389.1630626507, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18317.32686467805, "return_pct": 83.1732686467805, "cagr_pct": 16.338382495137438, "max_drawdown_pct": 89.99051518463953, "mean_exposure_while_solvent": 1.2763355526329916, "realized_annual_volatility_pct": 94.31270703853801, "trading_costs_quote_units": 5145.939479824736, "borrowing_costs_quote_units": 2556.706976258529, "price_pnl_quote_units": 16019.973320760733, "turnover_quote_units": 1715313.159941577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 101594.62624237765, "return_pct": 915.9462624237765, "cagr_pct": 78.54446969670528, "max_drawdown_pct": 84.4351042305825, "mean_exposure_while_solvent": 1.2226264169359788, "realized_annual_volatility_pct": 90.01220605062518, "trading_costs_quote_units": 16209.98975987091, "borrowing_costs_quote_units": 7102.029668884128, "price_pnl_quote_units": 114906.64567113253, "turnover_quote_units": 5403329.919956968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 52992.95241903502, "return_pct": 429.92952419035026, "cagr_pct": 51.731302380514464, "max_drawdown_pct": 84.28760261225095, "mean_exposure_while_solvent": 1.2111625497131904, "realized_annual_volatility_pct": 88.46244762852535, "trading_costs_quote_units": 13337.169081735628, "borrowing_costs_quote_units": 8538.291706915626, "price_pnl_quote_units": 64868.41320768613, "turnover_quote_units": 4445723.027245209, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57929.45794111029, "return_pct": 479.2945794111029, "cagr_pct": 55.14815879561583, "max_drawdown_pct": 86.47432550005183, "mean_exposure_while_solvent": 1.2569751229889994, "realized_annual_volatility_pct": 91.40007808635117, "trading_costs_quote_units": 14764.643704472024, "borrowing_costs_quote_units": 11448.094556343147, "price_pnl_quote_units": 74142.19620192489, "turnover_quote_units": 4921547.901490666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 55359.98428757559, "return_pct": 453.59984287575594, "cagr_pct": 53.39817309173445, "max_drawdown_pct": 87.04078828232807, "mean_exposure_while_solvent": 1.2864257060028121, "realized_annual_volatility_pct": 92.99808875411244, "trading_costs_quote_units": 13716.138417976988, "borrowing_costs_quote_units": 12358.255929658044, "price_pnl_quote_units": 71434.37863521121, "turnover_quote_units": 4572046.139325662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65930.95285769476, "return_pct": 559.3095285769476, "cagr_pct": 60.24913745453635, "max_drawdown_pct": 82.77380163288186, "mean_exposure_while_solvent": 1.1854214194045163, "realized_annual_volatility_pct": 87.15643331012049, "trading_costs_quote_units": 11541.446613198608, "borrowing_costs_quote_units": 8056.624790252104, "price_pnl_quote_units": 75529.0242611466, "turnover_quote_units": 3847148.871066201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 74939.22332940734, "return_pct": 649.3922332940734, "cagr_pct": 65.46351496127714, "max_drawdown_pct": 83.32180882485639, "mean_exposure_while_solvent": 1.2227191348324973, "realized_annual_volatility_pct": 89.78577733471255, "trading_costs_quote_units": 13040.492825510468, "borrowing_costs_quote_units": 11162.662706507976, "price_pnl_quote_units": 89142.37886142312, "turnover_quote_units": 4346830.941836819, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 79287.59541684865, "return_pct": 692.8759541684865, "cagr_pct": 67.81352474017407, "max_drawdown_pct": 82.93106436102278, "mean_exposure_while_solvent": 1.2500773136650176, "realized_annual_volatility_pct": 91.25927105074784, "trading_costs_quote_units": 12199.538971219175, "borrowing_costs_quote_units": 12345.445628463442, "price_pnl_quote_units": 93832.58001652973, "turnover_quote_units": 4066512.990406396, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64194.00328464163, "return_pct": 541.9400328464163, "cagr_pct": 59.1829859104938, "max_drawdown_pct": 83.35953910846835, "mean_exposure_while_solvent": 1.1802891868985248, "realized_annual_volatility_pct": 86.75934891129573, "trading_costs_quote_units": 11477.388004428742, "borrowing_costs_quote_units": 7830.732463486901, "price_pnl_quote_units": 73502.12375255834, "turnover_quote_units": 3825796.0014762464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 72964.95105932714, "return_pct": 629.6495105932714, "cagr_pct": 64.36267170707448, "max_drawdown_pct": 83.88891256928586, "mean_exposure_while_solvent": 1.2175869023265056, "realized_annual_volatility_pct": 89.4003832134618, "trading_costs_quote_units": 12974.066943697775, "borrowing_costs_quote_units": 10901.16662947619, "price_pnl_quote_units": 86840.18463250004, "turnover_quote_units": 4324688.981232593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 77198.76537513881, "return_pct": 671.9876537513882, "cagr_pct": 66.69704666512844, "max_drawdown_pct": 83.51145447723131, "mean_exposure_while_solvent": 1.2449450811590261, "realized_annual_volatility_pct": 90.88013049651279, "trading_costs_quote_units": 12120.06754955552, "borrowing_costs_quote_units": 12074.357898793678, "price_pnl_quote_units": 91393.19082348913, "turnover_quote_units": 4040022.516518506, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17328.718799566668, "return_pct": 73.2871879956667, "cagr_pct": 14.735661479000633, "max_drawdown_pct": 90.24880577104834, "mean_exposure_while_solvent": 1.2763592600632727, "realized_annual_volatility_pct": 94.31605449277653, "trading_costs_quote_units": 5000.215633857508, "borrowing_costs_quote_units": 4960.944980265335, "price_pnl_quote_units": 17289.879413689418, "turnover_quote_units": 1666738.5446191693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 97169.6937866476, "return_pct": 871.6969378664759, "cagr_pct": 76.56754369830279, "max_drawdown_pct": 84.5387164335339, "mean_exposure_while_solvent": 1.222645477306434, "realized_annual_volatility_pct": 90.01373124454372, "trading_costs_quote_units": 15684.645229512242, "borrowing_costs_quote_units": 13760.002631970374, "price_pnl_quote_units": 116614.34164813107, "turnover_quote_units": 5228215.07650408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 48689.68704853545, "return_pct": 386.8968704853545, "cagr_pct": 48.55211972342835, "max_drawdown_pct": 84.74114367574808, "mean_exposure_while_solvent": 1.2111987323664681, "realized_annual_volatility_pct": 88.46601229059291, "trading_costs_quote_units": 12584.85936541124, "borrowing_costs_quote_units": 16136.617096059252, "price_pnl_quote_units": 67411.16351000672, "turnover_quote_units": 4194953.121803747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 649, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52259.89963902114, "return_pct": 422.59899639021137, "cagr_pct": 51.2037724923363, "max_drawdown_pct": 86.93830041780409, "mean_exposure_while_solvent": 1.257019145769693, "realized_annual_volatility_pct": 91.40424333642271, "trading_costs_quote_units": 13737.5813893381, "borrowing_costs_quote_units": 21360.854066924025, "price_pnl_quote_units": 77358.33509528288, "turnover_quote_units": 4579193.796446031, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 777, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49356.50031079048, "return_pct": 393.5650031079048, "cagr_pct": 49.05819757809435, "max_drawdown_pct": 87.51808546859479, "mean_exposure_while_solvent": 1.2864747731464006, "realized_annual_volatility_pct": 93.00272176348176, "trading_costs_quote_units": 12647.467972133129, "borrowing_costs_quote_units": 22857.86539387975, "price_pnl_quote_units": 74861.83367680245, "turnover_quote_units": 4215822.657377711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 859, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61208.01091584407, "return_pct": 512.0801091584407, "cagr_pct": 57.29847361781306, "max_drawdown_pct": 82.94932102344987, "mean_exposure_while_solvent": 1.1854531811455409, "realized_annual_volatility_pct": 87.15933203875666, "trading_costs_quote_units": 10940.746806161447, "borrowing_costs_quote_units": 15294.996113422138, "price_pnl_quote_units": 77443.7538354273, "turnover_quote_units": 3646915.602053816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 569, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 68543.0783091646, "return_pct": 585.430783091646, "cagr_pct": 61.813497514455484, "max_drawdown_pct": 83.54168199128465, "mean_exposure_while_solvent": 1.222757285365641, "realized_annual_volatility_pct": 89.78917788545841, "trading_costs_quote_units": 12224.620088558673, "borrowing_costs_quote_units": 20978.10535075088, "price_pnl_quote_units": 91745.80374847504, "turnover_quote_units": 4074873.3628528933, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 71732.37685136052, "return_pct": 617.3237685136052, "cagr_pct": 63.66401931543584, "max_drawdown_pct": 83.13850652741948, "mean_exposure_while_solvent": 1.2501201434732256, "realized_annual_volatility_pct": 91.262968263162, "trading_costs_quote_units": 11331.709597323277, "borrowing_costs_quote_units": 22995.39078096804, "price_pnl_quote_units": 96059.4772296517, "turnover_quote_units": 3777236.532441094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 748, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59717.50055491347, "return_pct": 497.17500554913477, "cagr_pct": 56.33187688176062, "max_drawdown_pct": 83.49996135454482, "mean_exposure_while_solvent": 1.1803200695210312, "realized_annual_volatility_pct": 86.76221255303695, "trading_costs_quote_units": 10885.33450389782, "borrowing_costs_quote_units": 14877.28551280798, "price_pnl_quote_units": 75480.12057161953, "turnover_quote_units": 3628444.834632607, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 554, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66873.94763719483, "return_pct": 568.7394763719483, "cagr_pct": 60.819156024996744, "max_drawdown_pct": 84.0731924191127, "mean_exposure_while_solvent": 1.2176241737411315, "realized_annual_volatility_pct": 89.40374949134385, "trading_costs_quote_units": 12168.018004833873, "borrowing_costs_quote_units": 20502.316593483112, "price_pnl_quote_units": 89544.28223551095, "turnover_quote_units": 4056006.0016112896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 657, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 69985.58179444986, "return_pct": 599.8558179444985, "cagr_pct": 62.65830639756038, "max_drawdown_pct": 83.68303723855813, "mean_exposure_while_solvent": 1.244987031848716, "realized_annual_volatility_pct": 90.88379379025147, "trading_costs_quote_units": 11263.71577149362, "borrowing_costs_quote_units": 22507.99220414268, "price_pnl_quote_units": 93757.28977008598, "turnover_quote_units": 3754571.92383121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 733, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15508.18793701271, "return_pct": 55.0818793701271, "cagr_pct": 11.595247348302383, "max_drawdown_pct": 90.76481307191654, "mean_exposure_while_solvent": 1.276406685235802, "realized_annual_volatility_pct": 94.3227743531919, "trading_costs_quote_units": 4722.785829342815, "borrowing_costs_quote_units": 9342.734965972324, "price_pnl_quote_units": 19573.708732328018, "turnover_quote_units": 1574261.9431142714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 826, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 88887.00906211912, "return_pct": 788.8700906211913, "cagr_pct": 72.67785153772897, "max_drawdown_pct": 84.74393228203225, "mean_exposure_while_solvent": 1.222683606311116, "realized_annual_volatility_pct": 90.01680619764544, "trading_costs_quote_units": 14687.430291889053, "borrowing_costs_quote_units": 25830.938590428017, "price_pnl_quote_units": 119405.37794443347, "turnover_quote_units": 4895810.097296354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019_2022-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_2022-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 71520.30987840494, "return_pct": 615.2030987840494, "cagr_pct": 63.54290859051579, "max_drawdown_pct": 83.5648405959774, "mean_exposure_while_solvent": 1.2018348055714736, "realized_annual_volatility_pct": 86.62637768977334, "trading_costs_quote_units": 2973.6268744276185, "borrowing_costs_quote_units": 4917.663421150648, "price_pnl_quote_units": 69411.6001739816, "turnover_quote_units": 4956044.790712698, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 614, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 74716.65590066244, "return_pct": 647.1665590066244, "cagr_pct": 65.34050834740164, "max_drawdown_pct": 84.22715221213808, "mean_exposure_while_solvent": 1.2404259271456386, "realized_annual_volatility_pct": 88.43407049670377, "trading_costs_quote_units": 3150.9351064990437, "borrowing_costs_quote_units": 5964.712271267617, "price_pnl_quote_units": 73832.30327843003, "turnover_quote_units": 5251558.510831736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 721, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 81286.86492958973, "return_pct": 712.8686492958973, "cagr_pct": 68.86165816685302, "max_drawdown_pct": 84.79974937747015, "mean_exposure_while_solvent": 1.2800661558138229, "realized_annual_volatility_pct": 91.24252280744903, "trading_costs_quote_units": 3064.619944542102, "borrowing_costs_quote_units": 7395.100288746129, "price_pnl_quote_units": 81746.58516287568, "turnover_quote_units": 5107699.90757017, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 77540.34407433646, "return_pct": 675.4034407433646, "cagr_pct": 66.88115717001884, "max_drawdown_pct": 82.67396300539384, "mean_exposure_while_solvent": 1.1829505478472404, "realized_annual_volatility_pct": 85.94541977700982, "trading_costs_quote_units": 2580.8805471172163, "borrowing_costs_quote_units": 4564.5036539472585, "price_pnl_quote_units": 74685.72827540158, "turnover_quote_units": 4301467.578528697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 555, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 78187.43761718002, "return_pct": 681.8743761718002, "cagr_pct": 67.22827874527191, "max_drawdown_pct": 83.1503171885599, "mean_exposure_while_solvent": 1.215037742819945, "realized_annual_volatility_pct": 87.6067413659039, "trading_costs_quote_units": 2639.003335185548, "borrowing_costs_quote_units": 5288.663862344551, "price_pnl_quote_units": 76115.10481471042, "turnover_quote_units": 4398338.891975907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 644, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 94425.63439440992, "return_pct": 844.2563439440992, "cagr_pct": 75.30741660139472, "max_drawdown_pct": 82.42171279030643, "mean_exposure_while_solvent": 1.2522326524687748, "realized_annual_volatility_pct": 90.22764004901005, "trading_costs_quote_units": 2561.348928442547, "borrowing_costs_quote_units": 6660.585246614064, "price_pnl_quote_units": 93647.56856946707, "turnover_quote_units": 4268914.88073758, "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, "trace": "binance-2019_2022-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 76540.91664792632, "return_pct": 665.4091664792631, "cagr_pct": 66.34073863548629, "max_drawdown_pct": 83.28905332027858, "mean_exposure_while_solvent": 1.177829827957549, "realized_annual_volatility_pct": 85.51820242536854, "trading_costs_quote_units": 2582.3066121082884, "borrowing_costs_quote_units": 4475.345264300184, "price_pnl_quote_units": 73598.56852433563, "turnover_quote_units": 4303844.353513813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 540, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 79164.67676770409, "return_pct": 691.646767677041, "cagr_pct": 67.74843962588628, "max_drawdown_pct": 83.74849649000218, "mean_exposure_while_solvent": 1.2065143215026113, "realized_annual_volatility_pct": 87.01965634461895, "trading_costs_quote_units": 2702.158429907447, "borrowing_costs_quote_units": 5326.312090651692, "price_pnl_quote_units": 77193.14728826347, "turnover_quote_units": 4503597.383179079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 619, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 95605.82944307076, "return_pct": 856.0582944307075, "cagr_pct": 75.85270751081377, "max_drawdown_pct": 83.04575822079414, "mean_exposure_while_solvent": 1.243709231151441, "realized_annual_volatility_pct": 89.65771114464638, "trading_costs_quote_units": 2616.225437855002, "borrowing_costs_quote_units": 6721.8944833808255, "price_pnl_quote_units": 94943.94936430683, "turnover_quote_units": 4360375.729758337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 722, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 20651.686349163036, "return_pct": 106.51686349163035, "cagr_pct": 19.880311693027846, "max_drawdown_pct": 90.10044489553934, "mean_exposure_while_solvent": 1.2848516147456333, "realized_annual_volatility_pct": 95.66651456117275, "trading_costs_quote_units": 1208.9436988734578, "borrowing_costs_quote_units": 2903.9632039547796, "price_pnl_quote_units": 14764.59325199113, "turnover_quote_units": 2014906.1647890953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 850, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 94852.45378138722, "return_pct": 848.5245378138721, "cagr_pct": 75.50520884489748, "max_drawdown_pct": 83.20158188309298, "mean_exposure_while_solvent": 1.2163732589574132, "realized_annual_volatility_pct": 87.73123123089512, "trading_costs_quote_units": 2970.146783371165, "borrowing_costs_quote_units": 5971.966810500951, "price_pnl_quote_units": 93794.56737525896, "turnover_quote_units": 4950244.638951942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68691.081078114, "return_pct": 586.9108107811401, "cagr_pct": 61.90078644844321, "max_drawdown_pct": 83.66865239185832, "mean_exposure_while_solvent": 1.2018523649862627, "realized_annual_volatility_pct": 86.62807998494745, "trading_costs_quote_units": 2890.6209536577394, "borrowing_costs_quote_units": 9568.198680742711, "price_pnl_quote_units": 71149.9007125139, "turnover_quote_units": 4817701.589429564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 614, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 71208.96027418773, "return_pct": 612.0896027418773, "cagr_pct": 63.364608985509754, "max_drawdown_pct": 84.35373071101846, "mean_exposure_while_solvent": 1.2404469117489805, "realized_annual_volatility_pct": 88.43598451676601, "trading_costs_quote_units": 3045.797150377476, "borrowing_costs_quote_units": 11542.398476103204, "price_pnl_quote_units": 75797.1559006676, "turnover_quote_units": 5076328.583962467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 721, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 76859.05214423961, "return_pct": 668.5905214423962, "cagr_pct": 66.51333469320716, "max_drawdown_pct": 84.92026474525014, "mean_exposure_while_solvent": 1.2800905329676115, "realized_annual_volatility_pct": 91.2447359083169, "trading_costs_quote_units": 2941.590179524314, "borrowing_costs_quote_units": 14218.83306757657, "price_pnl_quote_units": 84019.47539134065, "turnover_quote_units": 4902650.299207186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 74755.15854990279, "return_pct": 647.5515854990279, "cagr_pct": 65.36180729308063, "max_drawdown_pct": 82.76198318771193, "mean_exposure_while_solvent": 1.18296648938857, "realized_annual_volatility_pct": 85.94694592223749, "trading_costs_quote_units": 2513.3659689678066, "borrowing_costs_quote_units": 8896.252635648732, "price_pnl_quote_units": 76164.77715451967, "turnover_quote_units": 4188943.281613015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 555, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 74895.9519977695, "return_pct": 648.959519977695, "cagr_pct": 65.43962161761132, "max_drawdown_pct": 83.2612590937154, "mean_exposure_while_solvent": 1.215056553928955, "realized_annual_volatility_pct": 87.60848792802973, "trading_costs_quote_units": 2558.660357555882, "borrowing_costs_quote_units": 10262.120290806912, "price_pnl_quote_units": 77716.7326461329, "turnover_quote_units": 4264433.929259807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 644, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 89781.39742321333, "return_pct": 797.8139742321334, "cagr_pct": 73.11064617740382, "max_drawdown_pct": 82.52828555495395, "mean_exposure_while_solvent": 1.2522546427936994, "realized_annual_volatility_pct": 90.22957893881272, "trading_costs_quote_units": 2466.289099203562, "borrowing_costs_quote_units": 12842.490757616364, "price_pnl_quote_units": 95090.17728003436, "turnover_quote_units": 4110481.832005935, "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, "trace": "binance-2019_2022-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 73867.2547758982, "return_pct": 638.672547758982, "cagr_pct": 64.86852791852384, "max_drawdown_pct": 83.35926986179902, "mean_exposure_while_solvent": 1.177845332188534, "realized_annual_volatility_pct": 85.5196838808741, "trading_costs_quote_units": 2515.3131925576836, "borrowing_costs_quote_units": 8725.419374268402, "price_pnl_quote_units": 75107.98734272343, "turnover_quote_units": 4192188.654262805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 540, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 75961.32476873322, "return_pct": 659.6132476873322, "cagr_pct": 66.02490839639685, "max_drawdown_pct": 83.84124616491913, "mean_exposure_while_solvent": 1.2065324071729342, "realized_annual_volatility_pct": 87.02131851131129, "trading_costs_quote_units": 2621.9796675726257, "borrowing_costs_quote_units": 10345.377103381436, "price_pnl_quote_units": 78928.68153968746, "turnover_quote_units": 4369966.112621039, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 619, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 91058.5112538323, "return_pct": 810.5851125383231, "cagr_pct": 73.72307125117968, "max_drawdown_pct": 83.13366970819607, "mean_exposure_while_solvent": 1.2437304960376785, "realized_annual_volatility_pct": 89.65956833685509, "trading_costs_quote_units": 2521.178014163591, "borrowing_costs_quote_units": 12973.602177585291, "price_pnl_quote_units": 96553.29144557935, "turnover_quote_units": 4201963.356939313, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 722, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 19506.14409730745, "return_pct": 95.0614409730745, "cagr_pct": 18.18194507639682, "max_drawdown_pct": 90.36957377441347, "mean_exposure_while_solvent": 1.2848761761413436, "realized_annual_volatility_pct": 95.67043223627246, "trading_costs_quote_units": 1173.5538027396276, "borrowing_costs_quote_units": 5627.2592275474335, "price_pnl_quote_units": 16306.957127594082, "turnover_quote_units": 1955923.004566047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 850, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 90831.39264659335, "return_pct": 808.3139264659335, "cagr_pct": 73.61463217291949, "max_drawdown_pct": 83.31316258988006, "mean_exposure_while_solvent": 1.216392243550067, "realized_annual_volatility_pct": 87.73280834809981, "trading_costs_quote_units": 2877.8557422154327, "borrowing_costs_quote_units": 11579.792049866557, "price_pnl_quote_units": 95289.04043867561, "turnover_quote_units": 4796426.237025719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63362.49120131129, "return_pct": 533.624912013113, "cagr_pct": 58.664925181183534, "max_drawdown_pct": 83.87437120912728, "mean_exposure_while_solvent": 1.201887491722378, "realized_annual_volatility_pct": 86.63150943321584, "trading_costs_quote_units": 2731.95618478539, "borrowing_costs_quote_units": 18113.913341117048, "price_pnl_quote_units": 74208.36072721379, "turnover_quote_units": 4553260.307975654, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 614, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64678.08269369425, "return_pct": 546.7808269369424, "cagr_pct": 59.48227021128347, "max_drawdown_pct": 84.60391862108591, "mean_exposure_while_solvent": 1.2404888904823892, "realized_annual_volatility_pct": 88.43983784834646, "trading_costs_quote_units": 2846.54907096298, "borrowing_costs_quote_units": 21616.148213671677, "price_pnl_quote_units": 79140.77997832755, "turnover_quote_units": 4744248.451604961, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 721, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 68711.64735550735, "return_pct": 587.1164735550734, "cagr_pct": 61.912904843254005, "max_drawdown_pct": 85.15850326364323, "mean_exposure_while_solvent": 1.2801392982747593, "realized_annual_volatility_pct": 91.2491865491724, "trading_costs_quote_units": 2711.0450315454677, "borrowing_costs_quote_units": 26291.294478284166, "price_pnl_quote_units": 87713.98686533674, "turnover_quote_units": 4518408.385909108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69479.87926473691, "return_pct": 594.798792647369, "cagr_pct": 62.3636387315059, "max_drawdown_pct": 82.93673430398599, "mean_exposure_while_solvent": 1.1829983796749115, "realized_annual_volatility_pct": 85.95002225228355, "trading_costs_quote_units": 2383.9551870515147, "borrowing_costs_quote_units": 16899.0639798393, "price_pnl_quote_units": 78762.89843162775, "turnover_quote_units": 3973258.645085866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 555, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 68721.1589173112, "return_pct": 587.211589173112, "cagr_pct": 61.91850847968527, "max_drawdown_pct": 83.48101841761321, "mean_exposure_while_solvent": 1.215094184730211, "realized_annual_volatility_pct": 87.61200600304205, "trading_costs_quote_units": 2405.7103643313135, "borrowing_costs_quote_units": 19322.837843036166, "price_pnl_quote_units": 80449.70712467907, "turnover_quote_units": 4009517.2738855206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 644, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 81164.62037704678, "return_pct": 711.6462037704679, "cagr_pct": 68.79812875975367, "max_drawdown_pct": 82.73955634658363, "mean_exposure_while_solvent": 1.2522986334046184, "realized_annual_volatility_pct": 90.23348156202381, "trading_costs_quote_units": 2287.3446923064807, "borrowing_costs_quote_units": 23878.634938049294, "price_pnl_quote_units": 97330.60000740275, "turnover_quote_units": 3812241.1538441316, "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, "trace": "binance-2019_2022-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 68795.46408803777, "return_pct": 587.9546408803777, "cagr_pct": 61.962264578951775, "max_drawdown_pct": 83.49885943667125, "mean_exposure_while_solvent": 1.1778763476648562, "realized_annual_volatility_pct": 85.52267061303212, "trading_costs_quote_units": 2386.8441937142466, "borrowing_costs_quote_units": 16585.610700997888, "price_pnl_quote_units": 77767.91898275056, "turnover_quote_units": 3978073.6561904126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 540, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69936.59886110689, "return_pct": 599.3659886110689, "cagr_pct": 62.62983452533384, "max_drawdown_pct": 84.02521288069265, "mean_exposure_while_solvent": 1.2065685867832034, "realized_annual_volatility_pct": 87.02466763907265, "trading_costs_quote_units": 2469.1366621813613, "borrowing_costs_quote_units": 19517.866087655406, "price_pnl_quote_units": 81923.60161094303, "turnover_quote_units": 4115227.770302266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 619, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 82600.14217533235, "return_pct": 726.0014217533236, "cagr_pct": 69.5396777436895, "max_drawdown_pct": 83.30817722793986, "mean_exposure_while_solvent": 1.2437730354576109, "realized_annual_volatility_pct": 89.66330765020822, "trading_costs_quote_units": 2342.00955090542, "borrowing_costs_quote_units": 24170.148205749785, "price_pnl_quote_units": 99112.29993198703, "turnover_quote_units": 3903349.251509032, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 722, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17401.593618469924, "return_pct": 74.01593618469924, "cagr_pct": 14.856113828833884, "max_drawdown_pct": 90.88622633192709, "mean_exposure_while_solvent": 1.2849253097600828, "realized_annual_volatility_pct": 95.67829229265314, "trading_costs_quote_units": 1106.341570497921, "borrowing_costs_quote_units": 10569.587408816233, "price_pnl_quote_units": 19077.52259778444, "turnover_quote_units": 1843902.6174965345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 850, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 83291.36656329743, "return_pct": 732.9136656329742, "cagr_pct": 69.89330101862485, "max_drawdown_pct": 83.53417159803848, "mean_exposure_while_solvent": 1.2164302214608589, "realized_annual_volatility_pct": 87.73598757744344, "trading_costs_quote_units": 2702.3993847086767, "borrowing_costs_quote_units": 21772.81806790402, "price_pnl_quote_units": 97766.58401591022, "turnover_quote_units": 4503998.974514457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68443.50371356167, "return_pct": 584.4350371356168, "cagr_pct": 61.754690928714815, "max_drawdown_pct": 83.61641317171625, "mean_exposure_while_solvent": 1.2013865751284678, "realized_annual_volatility_pct": 86.60625642417587, "trading_costs_quote_units": 2946.2839527904016, "borrowing_costs_quote_units": 4809.215604040942, "price_pnl_quote_units": 66199.00327039274, "turnover_quote_units": 4910473.25465066, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 618, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 72320.73226531362, "return_pct": 623.2073226531362, "cagr_pct": 63.99862696931133, "max_drawdown_pct": 84.31343958099019, "mean_exposure_while_solvent": 1.2391502620549668, "realized_annual_volatility_pct": 88.36653892416953, "trading_costs_quote_units": 3172.1097393458103, "borrowing_costs_quote_units": 5881.247480775624, "price_pnl_quote_units": 71374.08948543502, "turnover_quote_units": 5286849.565576357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 725, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 79428.32258047118, "return_pct": 694.2832258047118, "cagr_pct": 67.88794657190864, "max_drawdown_pct": 85.0697641027278, "mean_exposure_while_solvent": 1.2791310799134596, "realized_annual_volatility_pct": 91.16371914754393, "trading_costs_quote_units": 3152.1640661736074, "borrowing_costs_quote_units": 7423.1955197356965, "price_pnl_quote_units": 80003.68216637973, "turnover_quote_units": 5253606.7769560125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 835, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 77597.62260986913, "return_pct": 675.9762260986912, "cagr_pct": 66.91197065182742, "max_drawdown_pct": 82.30973440590515, "mean_exposure_while_solvent": 1.1825057566570774, "realized_annual_volatility_pct": 85.87585379859604, "trading_costs_quote_units": 2599.084351848567, "borrowing_costs_quote_units": 4515.761522819298, "price_pnl_quote_units": 74712.46848453661, "turnover_quote_units": 4331807.2530809445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 79728.20671090686, "return_pct": 697.2820671090685, "cagr_pct": 68.04620732225646, "max_drawdown_pct": 82.87703113104111, "mean_exposure_while_solvent": 1.2137655483434162, "realized_annual_volatility_pct": 87.48731807107706, "trading_costs_quote_units": 2723.0525801668437, "borrowing_costs_quote_units": 5314.124522976232, "price_pnl_quote_units": 77765.38381404923, "turnover_quote_units": 4538420.966944741, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 95860.26472878546, "return_pct": 858.6026472878546, "cagr_pct": 75.96960323697462, "max_drawdown_pct": 82.52472997108582, "mean_exposure_while_solvent": 1.2513057647119996, "realized_annual_volatility_pct": 90.12019650855663, "trading_costs_quote_units": 2701.8044109094485, "borrowing_costs_quote_units": 6796.456117211722, "price_pnl_quote_units": 95358.52525690688, "turnover_quote_units": 4503007.351515748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 751, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 75384.25165784683, "return_pct": 653.8425165784683, "cagr_pct": 65.70865001658863, "max_drawdown_pct": 82.93359632955845, "mean_exposure_while_solvent": 1.17736401716051, "realized_annual_volatility_pct": 85.47269048740223, "trading_costs_quote_units": 2581.7404212440615, "borrowing_costs_quote_units": 4381.042271966823, "price_pnl_quote_units": 72347.03435105782, "turnover_quote_units": 4302900.702073434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 544, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 78768.25241453656, "return_pct": 687.6825241453656, "cagr_pct": 67.53801621518905, "max_drawdown_pct": 83.48088686403872, "mean_exposure_while_solvent": 1.2052499203279703, "realized_annual_volatility_pct": 86.92639226238083, "trading_costs_quote_units": 2745.496111457438, "borrowing_costs_quote_units": 5251.846294997459, "price_pnl_quote_units": 76765.59482099037, "turnover_quote_units": 4575826.852429062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 623, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 94706.07505396548, "return_pct": 847.0607505396549, "cagr_pct": 75.43745086707452, "max_drawdown_pct": 83.14100989738829, "mean_exposure_while_solvent": 1.2427901366965537, "realized_annual_volatility_pct": 89.57576638886478, "trading_costs_quote_units": 2718.373783623873, "borrowing_costs_quote_units": 6733.648428120418, "price_pnl_quote_units": 94158.09726571034, "turnover_quote_units": 4530622.972706461, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 726, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21318.147283251692, "return_pct": 113.18147283251693, "cagr_pct": 20.83611152843714, "max_drawdown_pct": 90.37133063109067, "mean_exposure_while_solvent": 1.2852561670197162, "realized_annual_volatility_pct": 94.90177916006346, "trading_costs_quote_units": 1282.7254400035804, "borrowing_costs_quote_units": 3034.436778630309, "price_pnl_quote_units": 15635.309501885773, "turnover_quote_units": 2137875.7333393004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 853, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 94430.06448780456, "return_pct": 844.3006448780455, "cagr_pct": 75.30947298993418, "max_drawdown_pct": 84.12913798322212, "mean_exposure_while_solvent": 1.21596655299514, "realized_annual_volatility_pct": 87.98017395723413, "trading_costs_quote_units": 3150.7416106332585, "borrowing_costs_quote_units": 6237.106077018632, "price_pnl_quote_units": 93817.91217545739, "turnover_quote_units": 5251236.017722102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 654, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65734.38580651289, "return_pct": 557.3438580651289, "cagr_pct": 60.12954804151338, "max_drawdown_pct": 83.72028171571063, "mean_exposure_while_solvent": 1.2014038571200607, "realized_annual_volatility_pct": 86.60780321124602, "trading_costs_quote_units": 2864.0994086456135, "borrowing_costs_quote_units": 9357.874508281713, "price_pnl_quote_units": 67956.35972343988, "turnover_quote_units": 4773499.014409358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 618, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68933.74129498513, "return_pct": 589.3374129498513, "cagr_pct": 62.04359763970106, "max_drawdown_pct": 84.4396964455645, "mean_exposure_while_solvent": 1.2391707575115882, "realized_annual_volatility_pct": 88.36825807033283, "trading_costs_quote_units": 3066.623038287307, "borrowing_costs_quote_units": 11382.812082740309, "price_pnl_quote_units": 73383.17641601253, "turnover_quote_units": 5111038.397145511, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 725, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 75105.62008613201, "return_pct": 651.0562008613201, "cagr_pct": 65.5552987924921, "max_drawdown_pct": 85.18852902471072, "mean_exposure_while_solvent": 1.2791550501353237, "realized_annual_volatility_pct": 91.16573317359851, "trading_costs_quote_units": 3025.8046486027883, "borrowing_costs_quote_units": 14274.794369729538, "price_pnl_quote_units": 82406.21910446291, "turnover_quote_units": 5043007.7476713145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 835, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 74809.27844365893, "return_pct": 648.0927844365893, "cagr_pct": 65.39173150120831, "max_drawdown_pct": 82.39992830911778, "mean_exposure_while_solvent": 1.1825214203234418, "realized_annual_volatility_pct": 85.87718646688535, "trading_costs_quote_units": 2530.9125576472843, "borrowing_costs_quote_units": 8801.165612473462, "price_pnl_quote_units": 76141.35661377851, "turnover_quote_units": 4218187.596078812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 76381.82607342303, "return_pct": 663.8182607342303, "cagr_pct": 66.25422635838247, "max_drawdown_pct": 82.99009917343925, "mean_exposure_while_solvent": 1.213783869475243, "realized_annual_volatility_pct": 87.48883253276011, "trading_costs_quote_units": 2640.1422430498906, "borrowing_costs_quote_units": 10312.130356652113, "price_pnl_quote_units": 79334.09867312411, "turnover_quote_units": 4400237.071749815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 91150.9186602338, "return_pct": 811.5091866023381, "cagr_pct": 73.76713364505672, "max_drawdown_pct": 82.63109083826407, "mean_exposure_while_solvent": 1.251327348281218, "realized_annual_volatility_pct": 90.12191808817927, "trading_costs_quote_units": 2601.3610907309653, "borrowing_costs_quote_units": 13104.832644569473, "price_pnl_quote_units": 96857.11239553509, "turnover_quote_units": 4335601.817884941, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 751, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 72749.70306952595, "return_pct": 627.4970306952595, "cagr_pct": 64.24130528738117, "max_drawdown_pct": 83.00561266846002, "mean_exposure_while_solvent": 1.1773792405554897, "realized_annual_volatility_pct": 85.47400496754514, "trading_costs_quote_units": 2514.655897337563, "borrowing_costs_quote_units": 8541.840722232957, "price_pnl_quote_units": 73806.19968909594, "turnover_quote_units": 4191093.162229271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 544, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 75590.43184391712, "return_pct": 655.9043184391712, "cagr_pct": 65.82185253769188, "max_drawdown_pct": 83.57547354381451, "mean_exposure_while_solvent": 1.2052675168749027, "realized_annual_volatility_pct": 86.92785373347746, "trading_costs_quote_units": 2664.1169658000886, "borrowing_costs_quote_units": 10201.815285581779, "price_pnl_quote_units": 78456.36409529942, "turnover_quote_units": 4440194.943000146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 623, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 90206.50145066735, "return_pct": 802.0650145066735, "cagr_pct": 73.31522116661789, "max_drawdown_pct": 83.22882002953487, "mean_exposure_while_solvent": 1.2428109956808777, "realized_annual_volatility_pct": 89.5774362921995, "trading_costs_quote_units": 2619.539338534637, "borrowing_costs_quote_units": 12997.295149832515, "price_pnl_quote_units": 95823.33593903335, "turnover_quote_units": 4365898.89755773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 726, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20133.50077072483, "return_pct": 101.33500770724831, "cagr_pct": 19.121044401044465, "max_drawdown_pct": 90.6329121224261, "mean_exposure_while_solvent": 1.2852806878066256, "realized_annual_volatility_pct": 94.90516993874162, "trading_costs_quote_units": 1245.1068578500801, "borrowing_costs_quote_units": 5880.422679369026, "price_pnl_quote_units": 17259.03030794376, "turnover_quote_units": 2075178.0964168007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 853, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 90426.40888317634, "return_pct": 804.2640888317633, "cagr_pct": 73.42076471754821, "max_drawdown_pct": 84.23466957322756, "mean_exposure_while_solvent": 1.2159851068096232, "realized_annual_volatility_pct": 87.98166984866099, "trading_costs_quote_units": 3052.7569658039442, "borrowing_costs_quote_units": 12094.308148157457, "price_pnl_quote_units": 95573.47399713917, "turnover_quote_units": 5087928.276339905, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 654, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 60632.22007112918, "return_pct": 506.32220071129177, "cagr_pct": 56.92718787217495, "max_drawdown_pct": 83.92610383642898, "mean_exposure_while_solvent": 1.201438428645568, "realized_annual_volatility_pct": 86.61092198080175, "trading_costs_quote_units": 2706.9851629100535, "borrowing_costs_quote_units": 17718.37264468339, "price_pnl_quote_units": 71057.57787872323, "turnover_quote_units": 4511641.938183418, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 618, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62626.512779947545, "return_pct": 526.2651277994754, "cagr_pct": 58.20211416223127, "max_drawdown_pct": 84.68923790984874, "mean_exposure_while_solvent": 1.2392117573558314, "realized_annual_volatility_pct": 88.37172208823438, "trading_costs_quote_units": 2866.6522136546655, "borrowing_costs_quote_units": 21324.5445414576, "price_pnl_quote_units": 76817.70953506096, "turnover_quote_units": 4777753.689424436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 725, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67151.063852022, "return_pct": 571.5106385202199, "cagr_pct": 60.985519724703494, "max_drawdown_pct": 85.42329640486898, "mean_exposure_while_solvent": 1.2792030010754063, "realized_annual_volatility_pct": 91.16978611749683, "trading_costs_quote_units": 2788.8469363928352, "borrowing_costs_quote_units": 26401.98294493625, "price_pnl_quote_units": 86341.89373335274, "turnover_quote_units": 4648078.227321385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 835, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 69528.14999367579, "return_pct": 595.2814999367579, "cagr_pct": 62.391834895085594, "max_drawdown_pct": 82.57898801639271, "mean_exposure_while_solvent": 1.1825527544947758, "realized_annual_volatility_pct": 85.87987611838766, "trading_costs_quote_units": 2400.2297999620787, "borrowing_costs_quote_units": 16718.138464050404, "price_pnl_quote_units": 78646.51825768668, "turnover_quote_units": 4000382.9999367986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 70102.86002210077, "return_pct": 601.0286002210077, "cagr_pct": 62.72641498852269, "max_drawdown_pct": 83.21406160927205, "mean_exposure_while_solvent": 1.2138205197254035, "realized_annual_volatility_pct": 87.49188676699288, "trading_costs_quote_units": 2482.266190936672, "borrowing_costs_quote_units": 19419.285852226447, "price_pnl_quote_units": 82004.41206526395, "turnover_quote_units": 4137110.318227795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 82412.61624938631, "return_pct": 724.126162493863, "cagr_pct": 69.44335884905435, "max_drawdown_pct": 82.84193224391018, "mean_exposure_while_solvent": 1.2513705248775837, "realized_annual_volatility_pct": 90.12538649174066, "trading_costs_quote_units": 2412.129258893497, "borrowing_costs_quote_units": 24367.74250300892, "price_pnl_quote_units": 99192.48801128891, "turnover_quote_units": 4020215.431489162, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 751, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67752.2573934097, "return_pct": 577.5225739340971, "cagr_pct": 61.34467719820476, "max_drawdown_pct": 83.1487743332006, "mean_exposure_while_solvent": 1.1774096939928733, "realized_annual_volatility_pct": 85.47665807508857, "trading_costs_quote_units": 2385.9968719122894, "borrowing_costs_quote_units": 16237.766572257053, "price_pnl_quote_units": 76376.02083757913, "turnover_quote_units": 3976661.4531871527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 544, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 69612.63580261494, "return_pct": 596.1263580261493, "cagr_pct": 62.44114989564331, "max_drawdown_pct": 83.7630766733118, "mean_exposure_while_solvent": 1.20530271764205, "realized_annual_volatility_pct": 86.93080184995954, "trading_costs_quote_units": 2508.9427914639214, "borrowing_costs_quote_units": 19251.087542604037, "price_pnl_quote_units": 81372.66613668381, "turnover_quote_units": 4181571.3191065392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 623, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 81836.31079674372, "return_pct": 718.3631079674373, "cagr_pct": 69.14631871882592, "max_drawdown_pct": 83.40311848495527, "mean_exposure_while_solvent": 1.2428527227942303, "realized_annual_volatility_pct": 89.58080144958193, "trading_costs_quote_units": 2433.07096391956, "borrowing_costs_quote_units": 24218.04250509109, "price_pnl_quote_units": 98487.42426575355, "turnover_quote_units": 4055118.2731992663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 726, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17957.46325367292, "return_pct": 79.57463253672918, "cagr_pct": 15.762660226107734, "max_drawdown_pct": 91.13508619183358, "mean_exposure_while_solvent": 1.2853297401027726, "realized_annual_volatility_pct": 94.91197583696616, "trading_costs_quote_units": 1173.5855518228802, "borrowing_costs_quote_units": 11046.327975187336, "price_pnl_quote_units": 20177.37678068346, "turnover_quote_units": 1955975.9197048005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 853, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 82919.14821504655, "return_pct": 729.1914821504655, "cagr_pct": 69.70315262339544, "max_drawdown_pct": 84.44368928950223, "mean_exposure_while_solvent": 1.2160222225819912, "realized_annual_volatility_pct": 87.98468680411224, "trading_costs_quote_units": 2866.312464390432, "borrowing_costs_quote_units": 22741.712864699937, "price_pnl_quote_units": 98527.17354413655, "turnover_quote_units": 4777187.440650714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 654, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65140.05508980174, "return_pct": 551.4005508980174, "cagr_pct": 59.76632421720072, "max_drawdown_pct": 83.95771744214825, "mean_exposure_while_solvent": 1.2018348055714736, "realized_annual_volatility_pct": 86.62508585067953, "trading_costs_quote_units": 13998.173864769478, "borrowing_costs_quote_units": 4637.895205197935, "price_pnl_quote_units": 73776.12415976975, "turnover_quote_units": 4666057.95492316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 614, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68255.63868530726, "return_pct": 582.5563868530726, "cagr_pct": 61.643566986698794, "max_drawdown_pct": 84.58549785048854, "mean_exposure_while_solvent": 1.2404259271456386, "realized_annual_volatility_pct": 88.4286603928947, "trading_costs_quote_units": 14857.81277119527, "borrowing_costs_quote_units": 5635.135942678319, "price_pnl_quote_units": 78748.58739918018, "turnover_quote_units": 4952604.2570650885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 721, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 74905.30634625515, "return_pct": 649.0530634625516, "cagr_pct": 65.44478773110762, "max_drawdown_pct": 85.10979192988451, "mean_exposure_while_solvent": 1.2800661558138229, "realized_annual_volatility_pct": 91.24117986745978, "trading_costs_quote_units": 14538.422490466577, "borrowing_costs_quote_units": 7032.249106882991, "price_pnl_quote_units": 86475.97794360525, "turnover_quote_units": 4846140.8301555235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 71443.2573810094, "return_pct": 614.432573810094, "cagr_pct": 63.49883746621106, "max_drawdown_pct": 82.99230628121363, "mean_exposure_while_solvent": 1.1829505478472404, "realized_annual_volatility_pct": 85.94422706099574, "trading_costs_quote_units": 12218.926131394619, "borrowing_costs_quote_units": 4328.117329811102, "price_pnl_quote_units": 77990.30084221392, "turnover_quote_units": 4072975.3771315385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 555, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72118.04557574546, "return_pct": 621.1804557574546, "cagr_pct": 63.88358690783842, "max_drawdown_pct": 83.43814915597164, "mean_exposure_while_solvent": 1.215037742819945, "realized_annual_volatility_pct": 87.60030794084422, "trading_costs_quote_units": 12495.99792637112, "borrowing_costs_quote_units": 5014.40416860314, "price_pnl_quote_units": 79628.44767071847, "turnover_quote_units": 4165332.64212371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 644, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 87893.14470657951, "return_pct": 778.931447065795, "cagr_pct": 72.19307227664058, "max_drawdown_pct": 82.67507331652276, "mean_exposure_while_solvent": 1.2522326524687748, "realized_annual_volatility_pct": 90.22557564563412, "trading_costs_quote_units": 12199.915226024665, "borrowing_costs_quote_units": 6355.466583378063, "price_pnl_quote_units": 96448.52651598367, "turnover_quote_units": 4066638.4086748813, "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, "trace": "binance-2019_2022-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70565.21362122112, "return_pct": 605.6521362122112, "cagr_pct": 62.994094313531754, "max_drawdown_pct": 83.58752803627513, "mean_exposure_while_solvent": 1.177829827957549, "realized_annual_volatility_pct": 85.51990007967038, "trading_costs_quote_units": 12227.733729311878, "borrowing_costs_quote_units": 4245.723896897595, "price_pnl_quote_units": 77038.67124743052, "turnover_quote_units": 4075911.243103957, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 540, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 73274.00301446153, "return_pct": 632.7400301446153, "cagr_pct": 64.53646031769095, "max_drawdown_pct": 84.0177676562484, "mean_exposure_while_solvent": 1.2065143215026113, "realized_annual_volatility_pct": 87.01576489075688, "trading_costs_quote_units": 12831.899878820599, "borrowing_costs_quote_units": 5066.69928090319, "price_pnl_quote_units": 81172.60217418401, "turnover_quote_units": 4277299.959606861, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 619, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 89301.95624084443, "return_pct": 793.0195624084444, "cagr_pct": 72.87904870888391, "max_drawdown_pct": 83.28139733889508, "mean_exposure_while_solvent": 1.243709231151441, "realized_annual_volatility_pct": 89.65814027350923, "trading_costs_quote_units": 12497.74559854397, "borrowing_costs_quote_units": 6434.703193158867, "price_pnl_quote_units": 98234.4050325469, "turnover_quote_units": 4165915.19951466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 722, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18908.616511601966, "return_pct": 89.08616511601966, "cagr_pct": 17.26619390154769, "max_drawdown_pct": 90.44567365165307, "mean_exposure_while_solvent": 1.2848516147456333, "realized_annual_volatility_pct": 95.65698088717235, "trading_costs_quote_units": 5740.805488892804, "borrowing_costs_quote_units": 2750.135688925146, "price_pnl_quote_units": 17399.557689419402, "turnover_quote_units": 1913601.8296309381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 850, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 87530.32949886718, "return_pct": 775.3032949886718, "cagr_pct": 72.01507676230636, "max_drawdown_pct": 83.46575231189223, "mean_exposure_while_solvent": 1.2163732589574132, "realized_annual_volatility_pct": 87.73565006944456, "trading_costs_quote_units": 14058.149673433943, "borrowing_costs_quote_units": 5658.968861570001, "price_pnl_quote_units": 97247.44803387039, "turnover_quote_units": 4686049.8911446445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62563.46785497245, "return_pct": 525.6346785497245, "cagr_pct": 58.16227981105251, "max_drawdown_pct": 84.0591212649986, "mean_exposure_while_solvent": 1.2018523649862627, "realized_annual_volatility_pct": 86.62682466667694, "trading_costs_quote_units": 13609.449289575416, "borrowing_costs_quote_units": 9025.156172048462, "price_pnl_quote_units": 75198.07331659648, "turnover_quote_units": 4536483.096525139, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 614, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65051.45213632483, "return_pct": 550.5145213632483, "cagr_pct": 59.71196208184368, "max_drawdown_pct": 84.7092955337692, "mean_exposure_while_solvent": 1.2404469117489805, "realized_annual_volatility_pct": 88.43061086418507, "trading_costs_quote_units": 14364.304865325123, "borrowing_costs_quote_units": 10906.406194219207, "price_pnl_quote_units": 80322.16319586894, "turnover_quote_units": 4788101.621775045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 721, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70825.57075207421, "return_pct": 608.2557075207421, "cagr_pct": 63.14424946947075, "max_drawdown_pct": 85.2279409346175, "mean_exposure_while_solvent": 1.2800905329676115, "realized_annual_volatility_pct": 91.24343178624379, "trading_costs_quote_units": 13957.05446689629, "borrowing_costs_quote_units": 13523.415153279504, "price_pnl_quote_units": 88306.04037225085, "turnover_quote_units": 4652351.488965431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68877.3774178788, "return_pct": 588.773774178788, "cagr_pct": 62.010459842027444, "max_drawdown_pct": 83.07877463715761, "mean_exposure_while_solvent": 1.18296648938857, "realized_annual_volatility_pct": 85.9457880768113, "trading_costs_quote_units": 11900.76873712299, "borrowing_costs_quote_units": 8436.48224006837, "price_pnl_quote_units": 79214.62839507095, "turnover_quote_units": 3966922.9123743307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 555, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69082.2181453123, "return_pct": 590.822181453123, "cagr_pct": 62.130793898829715, "max_drawdown_pct": 83.54728113287062, "mean_exposure_while_solvent": 1.215056553928955, "realized_annual_volatility_pct": 87.60208987273414, "trading_costs_quote_units": 12117.19261926843, "borrowing_costs_quote_units": 9731.20277389624, "price_pnl_quote_units": 80930.61353847661, "turnover_quote_units": 4039064.20642281, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 644, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 83570.7686414442, "return_pct": 735.7076864144419, "cagr_pct": 70.03561575767421, "max_drawdown_pct": 82.7801890585239, "mean_exposure_while_solvent": 1.2522546427936994, "realized_annual_volatility_pct": 90.22755223531348, "trading_costs_quote_units": 11748.781159396554, "borrowing_costs_quote_units": 12255.795237546052, "price_pnl_quote_units": 97575.3450383868, "turnover_quote_units": 3916260.386465515, "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, "trace": "binance-2019_2022-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68100.58557077212, "return_pct": 581.0058557077211, "cagr_pct": 61.55167868584799, "max_drawdown_pct": 83.65656310492591, "mean_exposure_while_solvent": 1.177845332188534, "realized_annual_volatility_pct": 85.52141678411685, "trading_costs_quote_units": 11911.946486455761, "borrowing_costs_quote_units": 8278.633809409723, "price_pnl_quote_units": 78291.16586663692, "turnover_quote_units": 3970648.8288185843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 540, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70309.1778263081, "return_pct": 603.0917782630811, "cagr_pct": 62.84602563766673, "max_drawdown_pct": 84.10907208009932, "mean_exposure_while_solvent": 1.2065324071729342, "realized_annual_volatility_pct": 87.01746270555543, "trading_costs_quote_units": 12452.729230292238, "borrowing_costs_quote_units": 9842.337902891448, "price_pnl_quote_units": 82604.24495949151, "turnover_quote_units": 4150909.743430749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 619, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 85055.05745535079, "return_pct": 750.5505745535079, "cagr_pct": 70.78571921549448, "max_drawdown_pct": 83.36817296428663, "mean_exposure_while_solvent": 1.2437304960376785, "realized_annual_volatility_pct": 89.66003547574076, "trading_costs_quote_units": 12045.288485328849, "borrowing_costs_quote_units": 12420.87806118536, "price_pnl_quote_units": 99521.22400186547, "turnover_quote_units": 4015096.1617762875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 722, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17859.576049851414, "return_pct": 78.59576049851414, "cagr_pct": 15.604561402261252, "max_drawdown_pct": 90.70552190701379, "mean_exposure_while_solvent": 1.2848761761413436, "realized_annual_volatility_pct": 95.66093174106109, "trading_costs_quote_units": 5573.951276623265, "borrowing_costs_quote_units": 5330.342792147924, "price_pnl_quote_units": 18763.870118622483, "turnover_quote_units": 1857983.7588744173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 850, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 83819.80678572964, "return_pct": 738.1980678572963, "cagr_pct": 70.16216402380076, "max_drawdown_pct": 83.57565455456033, "mean_exposure_while_solvent": 1.216392243550067, "realized_annual_volatility_pct": 87.73726080520102, "trading_costs_quote_units": 13623.055403317398, "borrowing_costs_quote_units": 10974.200907703282, "price_pnl_quote_units": 98417.06309674957, "turnover_quote_units": 4541018.467772469, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57710.53519602977, "return_pct": 477.1053519602977, "cagr_pct": 55.00135273993509, "max_drawdown_pct": 84.26007415107047, "mean_exposure_while_solvent": 1.201887491722378, "realized_annual_volatility_pct": 86.63032737047493, "trading_costs_quote_units": 12866.270340513074, "borrowing_costs_quote_units": 17090.799799312525, "price_pnl_quote_units": 77667.6053358565, "turnover_quote_units": 4288756.780171029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 614, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59085.499584555786, "return_pct": 490.8549958455579, "cagr_pct": 55.91655577809895, "max_drawdown_pct": 84.9539916757646, "mean_exposure_while_solvent": 1.2404888904823892, "realized_annual_volatility_pct": 88.4345373157534, "trading_costs_quote_units": 13428.881649515253, "borrowing_costs_quote_units": 20431.7911973419, "price_pnl_quote_units": 82946.17243141407, "turnover_quote_units": 4476293.883171753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 721, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63318.33957108564, "return_pct": 533.1833957108564, "cagr_pct": 58.63727496727091, "max_drawdown_pct": 85.46150605639431, "mean_exposure_while_solvent": 1.2801392982747593, "realized_annual_volatility_pct": 91.24796033083129, "trading_costs_quote_units": 12867.422768390208, "borrowing_costs_quote_units": 25013.8362080415, "price_pnl_quote_units": 91199.59854751766, "turnover_quote_units": 4289140.922796733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 831, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64017.365542866144, "return_pct": 540.1736554286615, "cagr_pct": 59.07335731566763, "max_drawdown_pct": 83.25045151816674, "mean_exposure_while_solvent": 1.1829983796749115, "realized_annual_volatility_pct": 85.94893434821466, "trading_costs_quote_units": 11290.846827675112, "borrowing_costs_quote_units": 16029.337204049552, "price_pnl_quote_units": 81337.54957459027, "turnover_quote_units": 3763615.6092250347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 555, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63386.942803597856, "return_pct": 533.8694280359786, "cagr_pct": 58.6802319220257, "max_drawdown_pct": 83.76346103476138, "mean_exposure_while_solvent": 1.215094184730211, "realized_annual_volatility_pct": 87.60567889305968, "trading_costs_quote_units": 11395.955400807203, "borrowing_costs_quote_units": 18327.943936336043, "price_pnl_quote_units": 83110.84214074044, "turnover_quote_units": 3798651.8002690673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 644, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 75550.89789845028, "return_pct": 655.5089789845027, "cagr_pct": 65.80016452092046, "max_drawdown_pct": 82.9885778086267, "mean_exposure_while_solvent": 1.2522986334046184, "realized_annual_volatility_pct": 90.23153051492567, "trading_costs_quote_units": 10899.422902962919, "borrowing_costs_quote_units": 22793.848771907265, "price_pnl_quote_units": 99244.16957331907, "turnover_quote_units": 3633140.9676543036, "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, "trace": "binance-2019_2022-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63425.21479231906, "return_pct": 534.2521479231905, "cagr_pct": 58.70418135855171, "max_drawdown_pct": 83.79381044608134, "mean_exposure_while_solvent": 1.1778763476648562, "realized_annual_volatility_pct": 85.52447421425634, "trading_costs_quote_units": 11306.302059060987, "borrowing_costs_quote_units": 15739.796497018999, "price_pnl_quote_units": 80471.31334839825, "turnover_quote_units": 3768767.3530203323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 540, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64732.966201817595, "return_pct": 547.329662018176, "cagr_pct": 59.51609604768024, "max_drawdown_pct": 84.29017782445659, "mean_exposure_while_solvent": 1.2065685867832034, "realized_annual_volatility_pct": 87.02088333493437, "trading_costs_quote_units": 11729.8283829643, "borrowing_costs_quote_units": 18573.440875259963, "price_pnl_quote_units": 85036.23546004319, "turnover_quote_units": 3909942.794321434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 619, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 77155.2232031575, "return_pct": 671.552232031575, "cagr_pct": 66.67353360963457, "max_drawdown_pct": 83.54043197557527, "mean_exposure_while_solvent": 1.2437730354576109, "realized_annual_volatility_pct": 89.66385106569506, "trading_costs_quote_units": 11192.266414566928, "borrowing_costs_quote_units": 23146.33845158113, "price_pnl_quote_units": 101493.82806930553, "turnover_quote_units": 3730755.471522308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 722, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15932.265817333006, "return_pct": 59.32265817333005, "cagr_pct": 12.350537732780001, "max_drawdown_pct": 91.20437543942103, "mean_exposure_while_solvent": 1.2849253097600828, "realized_annual_volatility_pct": 95.6688580811822, "trading_costs_quote_units": 5256.983569232505, "borrowing_costs_quote_units": 10016.309978299503, "price_pnl_quote_units": 21205.55936486531, "turnover_quote_units": 1752327.8564108326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 850, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 76861.91557928885, "return_pct": 668.6191557928885, "cagr_pct": 66.51488573970698, "max_drawdown_pct": 83.79335996330816, "mean_exposure_while_solvent": 1.2164302214608589, "realized_annual_volatility_pct": 87.74050737059713, "trading_costs_quote_units": 12795.779154810172, "borrowing_costs_quote_units": 20639.192175046348, "price_pnl_quote_units": 100296.8869091449, "turnover_quote_units": 4265259.71827005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62373.397904014666, "return_pct": 523.7339790401467, "cagr_pct": 58.04200339657481, "max_drawdown_pct": 84.01153757816783, "mean_exposure_while_solvent": 1.2013865751284678, "realized_annual_volatility_pct": 86.60964265067683, "trading_costs_quote_units": 13881.973782670477, "borrowing_costs_quote_units": 4540.5315381719165, "price_pnl_quote_units": 70795.90322485776, "turnover_quote_units": 4627324.594223484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 618, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66115.89098963459, "return_pct": 561.1589098963458, "cagr_pct": 60.361408060081324, "max_drawdown_pct": 84.67369337405052, "mean_exposure_while_solvent": 1.2391502620549668, "realized_annual_volatility_pct": 88.37050129517287, "trading_costs_quote_units": 14974.952581700492, "borrowing_costs_quote_units": 5563.174572012106, "price_pnl_quote_units": 76654.01814334799, "turnover_quote_units": 4991650.860566838, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 725, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73231.42302989888, "return_pct": 632.3142302989888, "cagr_pct": 64.51254908621884, "max_drawdown_pct": 85.37824952205125, "mean_exposure_while_solvent": 1.2791310799134596, "realized_annual_volatility_pct": 91.17184368296877, "trading_costs_quote_units": 14970.311916310713, "borrowing_costs_quote_units": 7067.127464230153, "price_pnl_quote_units": 85268.86241044028, "turnover_quote_units": 4990103.972103567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 835, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71528.42773963921, "return_pct": 615.2842773963921, "cagr_pct": 63.54754962744214, "max_drawdown_pct": 82.64031176343073, "mean_exposure_while_solvent": 1.1825057566570774, "realized_annual_volatility_pct": 85.87906793119848, "trading_costs_quote_units": 12312.81088359832, "borrowing_costs_quote_units": 4285.60206399812, "price_pnl_quote_units": 78126.84068723582, "turnover_quote_units": 4104270.294532775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73585.94464985597, "return_pct": 635.8594464985597, "cagr_pct": 64.7113173062837, "max_drawdown_pct": 83.17594568971452, "mean_exposure_while_solvent": 1.2137655483434162, "realized_annual_volatility_pct": 87.49037753832157, "trading_costs_quote_units": 12905.19829079174, "borrowing_costs_quote_units": 5043.707887644053, "price_pnl_quote_units": 81534.85082829144, "turnover_quote_units": 4301732.763597247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 89261.63474537533, "return_pct": 792.6163474537532, "cagr_pct": 72.85952865006126, "max_drawdown_pct": 82.78409791779633, "mean_exposure_while_solvent": 1.2513057647119996, "realized_annual_volatility_pct": 90.12656278845972, "trading_costs_quote_units": 12879.746959487136, "borrowing_costs_quote_units": 6491.445821488189, "price_pnl_quote_units": 98632.82752635071, "turnover_quote_units": 4293248.986495717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 751, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69526.30296900768, "return_pct": 595.2630296900768, "cagr_pct": 62.39075627105477, "max_drawdown_pct": 83.24374872173088, "mean_exposure_while_solvent": 1.17736401716051, "realized_annual_volatility_pct": 85.47321199195974, "trading_costs_quote_units": 12233.399841858307, "borrowing_costs_quote_units": 4160.102476896116, "price_pnl_quote_units": 75919.80528776227, "turnover_quote_units": 4077799.9472861034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 544, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 72943.3178572712, "return_pct": 629.433178572712, "cagr_pct": 64.35048608940674, "max_drawdown_pct": 83.76076357474368, "mean_exposure_while_solvent": 1.2052499203279703, "realized_annual_volatility_pct": 86.92652141129864, "trading_costs_quote_units": 13048.821326061536, "borrowing_costs_quote_units": 5000.896079667962, "price_pnl_quote_units": 80993.03526300065, "turnover_quote_units": 4349607.108687181, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 623, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 88482.11199398231, "return_pct": 784.821119939823, "cagr_pct": 72.48084723890106, "max_drawdown_pct": 83.38253675179533, "mean_exposure_while_solvent": 1.2427901366965537, "realized_annual_volatility_pct": 89.57930697256513, "trading_costs_quote_units": 12996.267011546879, "borrowing_costs_quote_units": 6452.027625248833, "price_pnl_quote_units": 97930.40663077895, "turnover_quote_units": 4332089.003848962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 726, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 19537.294484334157, "return_pct": 95.37294484334157, "cagr_pct": 18.229104968252933, "max_drawdown_pct": 90.70213936909815, "mean_exposure_while_solvent": 1.2852561670197162, "realized_annual_volatility_pct": 94.9094124202271, "trading_costs_quote_units": 6095.164005094535, "borrowing_costs_quote_units": 2875.999453875737, "price_pnl_quote_units": 18508.45794330452, "turnover_quote_units": 2031721.3350315106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 853, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 87187.54698789181, "return_pct": 771.875469878918, "cagr_pct": 71.8464001328565, "max_drawdown_pct": 84.38702773008072, "mean_exposure_while_solvent": 1.21596655299514, "realized_annual_volatility_pct": 87.98465383610906, "trading_costs_quote_units": 14929.986039011264, "borrowing_costs_quote_units": 5917.261369545791, "price_pnl_quote_units": 98034.79439644719, "turnover_quote_units": 4976662.013003758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 654, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59904.30042438355, "return_pct": 499.0430042438355, "cagr_pct": 56.45400150997715, "max_drawdown_pct": 84.11304592146122, "mean_exposure_while_solvent": 1.2014038571200607, "realized_annual_volatility_pct": 86.61122535351085, "trading_costs_quote_units": 13496.652416980527, "borrowing_costs_quote_units": 8836.31245953278, "price_pnl_quote_units": 72237.26530089742, "turnover_quote_units": 4498884.138993505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 618, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63019.19782394681, "return_pct": 530.1919782394681, "cagr_pct": 58.449553847285294, "max_drawdown_pct": 84.79720606259762, "mean_exposure_while_solvent": 1.2391707575115882, "realized_annual_volatility_pct": 88.37225665234422, "trading_costs_quote_units": 14479.113275717475, "borrowing_costs_quote_units": 10768.922014139791, "price_pnl_quote_units": 78267.23311380569, "turnover_quote_units": 4826371.091905828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 725, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69246.02163274305, "return_pct": 592.4602163274305, "cagr_pct": 62.22682814814164, "max_drawdown_pct": 85.49469826595562, "mean_exposure_while_solvent": 1.2791550501353237, "realized_annual_volatility_pct": 91.17389899864135, "trading_costs_quote_units": 14372.413426094754, "borrowing_costs_quote_units": 13592.322510906419, "price_pnl_quote_units": 87210.75756974444, "turnover_quote_units": 4790804.475364917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 835, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68958.08043314089, "return_pct": 589.5808043314089, "cagr_pct": 62.05790097385133, "max_drawdown_pct": 82.72894812123153, "mean_exposure_while_solvent": 1.1825214203234418, "realized_annual_volatility_pct": 85.88043482163307, "trading_costs_quote_units": 11991.280329775895, "borrowing_costs_quote_units": 8353.512759254992, "price_pnl_quote_units": 79302.87352217261, "turnover_quote_units": 3997093.443258629, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70497.16304408982, "return_pct": 604.9716304408981, "cagr_pct": 62.9547791861943, "max_drawdown_pct": 83.28717766816496, "mean_exposure_while_solvent": 1.213783869475243, "realized_annual_volatility_pct": 87.49192673392804, "trading_costs_quote_units": 12513.845820227574, "borrowing_costs_quote_units": 9788.620760328396, "price_pnl_quote_units": 82799.62962464515, "turnover_quote_units": 4171281.9400758618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 84876.74010671333, "return_pct": 748.7674010671333, "cagr_pct": 70.69612576355473, "max_drawdown_pct": 82.8889987396133, "mean_exposure_while_solvent": 1.251327348281218, "realized_annual_volatility_pct": 90.12832367061432, "trading_costs_quote_units": 12402.54918319681, "borrowing_costs_quote_units": 12518.356301632966, "price_pnl_quote_units": 99797.64559154194, "turnover_quote_units": 4134183.061065605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 751, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67096.45312719865, "return_pct": 570.9645312719865, "cagr_pct": 60.95277556151555, "max_drawdown_pct": 83.31457307862507, "mean_exposure_while_solvent": 1.1773792405554897, "realized_annual_volatility_pct": 85.47456152502868, "trading_costs_quote_units": 11916.90149021374, "borrowing_costs_quote_units": 8111.940746019739, "price_pnl_quote_units": 77125.29536343183, "turnover_quote_units": 3972300.4967379156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 544, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70000.33363336728, "return_pct": 600.0033363336728, "cagr_pct": 62.666878138965764, "max_drawdown_pct": 83.8538742385133, "mean_exposure_while_solvent": 1.2052675168749027, "realized_annual_volatility_pct": 86.92801807284324, "trading_costs_quote_units": 12663.548519061085, "borrowing_costs_quote_units": 9715.511103072085, "price_pnl_quote_units": 82379.39325549973, "turnover_quote_units": 4221182.839687033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 623, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 84278.57049320823, "return_pct": 742.7857049320822, "cagr_pct": 70.39454765942897, "max_drawdown_pct": 83.46919671796537, "mean_exposure_while_solvent": 1.2428109956808777, "realized_annual_volatility_pct": 89.58101668125865, "trading_costs_quote_units": 12525.293829432709, "borrowing_costs_quote_units": 12455.279983913746, "price_pnl_quote_units": 99259.14430655335, "turnover_quote_units": 4175097.943144228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 726, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18451.271802231015, "return_pct": 84.51271802231015, "cagr_pct": 16.55050627150444, "max_drawdown_pct": 90.95487520464846, "mean_exposure_while_solvent": 1.2852806878066256, "realized_annual_volatility_pct": 94.91284057130032, "trading_costs_quote_units": 5917.591230527863, "borrowing_costs_quote_units": 5574.589600188128, "price_pnl_quote_units": 19943.45263294725, "turnover_quote_units": 1972530.4101759512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 853, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 83491.11411054354, "return_pct": 734.9111411054354, "cagr_pct": 69.99507976413798, "max_drawdown_pct": 84.49095701754851, "mean_exposure_while_solvent": 1.2159851068096232, "realized_annual_volatility_pct": 87.9861827559275, "trading_costs_quote_units": 14467.448126491123, "borrowing_costs_quote_units": 11475.494816993802, "price_pnl_quote_units": 99434.0570540283, "turnover_quote_units": 4822482.708830375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 654, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 55254.0730778996, "return_pct": 452.540730778996, "cagr_pct": 53.32474410915155, "max_drawdown_pct": 84.31418844163836, "mean_exposure_while_solvent": 1.201438428645568, "realized_annual_volatility_pct": 86.61441647534171, "trading_costs_quote_units": 12759.899774304671, "borrowing_costs_quote_units": 16735.60261368156, "price_pnl_quote_units": 74749.57546588554, "turnover_quote_units": 4253299.9247682225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 618, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57252.46610274977, "return_pct": 472.52466102749776, "cagr_pct": 54.69282256643415, "max_drawdown_pct": 85.04132007605735, "mean_exposure_while_solvent": 1.2392117573558314, "realized_annual_volatility_pct": 88.37579360545908, "trading_costs_quote_units": 13538.994051740008, "borrowing_costs_quote_units": 20180.992414912893, "price_pnl_quote_units": 80972.45256940233, "turnover_quote_units": 4512998.017246672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 725, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61912.00851731004, "return_pct": 519.1200851731004, "cagr_pct": 57.748888097002315, "max_drawdown_pct": 85.7248839240359, "mean_exposure_while_solvent": 1.2792030010754063, "realized_annual_volatility_pct": 91.17803502277764, "trading_costs_quote_units": 13251.001329112481, "borrowing_costs_quote_units": 25148.127315960937, "price_pnl_quote_units": 90311.1371623851, "turnover_quote_units": 4417000.4430375025, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 835, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64089.75494280237, "return_pct": 540.8975494280237, "cagr_pct": 59.118312533954274, "max_drawdown_pct": 82.90491374979798, "mean_exposure_while_solvent": 1.1825527544947758, "realized_annual_volatility_pct": 85.88319332383182, "trading_costs_quote_units": 11374.832776561358, "borrowing_costs_quote_units": 15871.345377378117, "price_pnl_quote_units": 81335.9330967415, "turnover_quote_units": 3791610.9255204545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64701.47317784678, "return_pct": 547.0147317784679, "cagr_pct": 59.4966888795736, "max_drawdown_pct": 83.50750058578438, "mean_exposure_while_solvent": 1.2138205197254035, "realized_annual_volatility_pct": 87.49505083983354, "trading_costs_quote_units": 11768.536880881007, "borrowing_costs_quote_units": 18438.142501086026, "price_pnl_quote_units": 84908.15255981467, "turnover_quote_units": 3922845.6269603358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 648, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 76740.31386803884, "return_pct": 667.4031386803883, "cagr_pct": 66.4489791392255, "max_drawdown_pct": 83.09694373698244, "mean_exposure_while_solvent": 1.2513705248775837, "realized_annual_volatility_pct": 90.13187107340163, "trading_costs_quote_units": 11503.398409536168, "borrowing_costs_quote_units": 23283.39831310442, "price_pnl_quote_units": 101527.11059067983, "turnover_quote_units": 3834466.1365120574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 751, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62487.2103453577, "return_pct": 524.8721034535771, "cagr_pct": 58.11405696128631, "max_drawdown_pct": 83.45536374608233, "mean_exposure_while_solvent": 1.1774096939928733, "realized_annual_volatility_pct": 85.47728514640106, "trading_costs_quote_units": 11309.818888163463, "borrowing_costs_quote_units": 15423.881345411073, "price_pnl_quote_units": 79220.910578933, "turnover_quote_units": 3769939.6293878187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 544, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64464.213976617684, "return_pct": 544.6421397661768, "cagr_pct": 59.35025277301871, "max_drawdown_pct": 84.0385477012189, "mean_exposure_while_solvent": 1.20530271764205, "realized_annual_volatility_pct": 86.93103697618102, "trading_costs_quote_units": 11928.80997796409, "borrowing_costs_quote_units": 18337.879501330728, "price_pnl_quote_units": 84730.90345591227, "turnover_quote_units": 3976269.9926546975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 623, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 76458.90844284269, "return_pct": 664.5890844284269, "cagr_pct": 66.29616003924012, "max_drawdown_pct": 83.64121050001567, "mean_exposure_while_solvent": 1.2428527227942303, "realized_annual_volatility_pct": 89.58446184531948, "trading_costs_quote_units": 11636.601340843265, "borrowing_costs_quote_units": 23214.01979243494, "price_pnl_quote_units": 101309.52957611978, "turnover_quote_units": 3878867.1136144237, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 726, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16456.398727938424, "return_pct": 64.56398727938424, "cagr_pct": 13.263472090944825, "max_drawdown_pct": 91.44006784719866, "mean_exposure_while_solvent": 1.2853297401027726, "realized_annual_volatility_pct": 94.91972129945913, "trading_costs_quote_units": 5579.915337132459, "borrowing_costs_quote_units": 10476.386427503185, "price_pnl_quote_units": 22512.700492573615, "turnover_quote_units": 1859971.7790441497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 853, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 76559.8486440257, "return_pct": 665.598486440257, "cagr_pct": 66.35102473331109, "max_drawdown_pct": 84.69680094615006, "mean_exposure_while_solvent": 1.2160222225819912, "realized_annual_volatility_pct": 87.98926606675364, "trading_costs_quote_units": 13587.21791534093, "borrowing_costs_quote_units": 21583.421917291136, "price_pnl_quote_units": 101730.48847665952, "turnover_quote_units": 4529072.63844698, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 654, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_2022-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_2022-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65128.8266235647, "return_pct": 551.288266235647, "cagr_pct": 75.82123747452063, "max_drawdown_pct": 54.10366942663818, "mean_exposure_while_solvent": 1.2264547017734932, "realized_annual_volatility_pct": 57.49210573144175, "trading_costs_quote_units": 1068.9197113512791, "borrowing_costs_quote_units": 1990.4923100583012, "price_pnl_quote_units": 58188.238644974655, "turnover_quote_units": 1781532.8522521309, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63362.83947211124, "return_pct": 533.6283947211125, "cagr_pct": 74.3716851011794, "max_drawdown_pct": 54.10366942663811, "mean_exposure_while_solvent": 1.2384214322660507, "realized_annual_volatility_pct": 58.100446016645314, "trading_costs_quote_units": 1043.1449112526873, "borrowing_costs_quote_units": 2040.8243486961605, "price_pnl_quote_units": 56446.808732059886, "turnover_quote_units": 1738574.8520878116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59102.114379546125, "return_pct": 491.0211437954612, "cagr_pct": 70.75427427368437, "max_drawdown_pct": 56.11691144405615, "mean_exposure_while_solvent": 1.26029683049894, "realized_annual_volatility_pct": 59.34346378909514, "trading_costs_quote_units": 1044.7114217378085, "borrowing_costs_quote_units": 2249.5557391722973, "price_pnl_quote_units": 52396.381540456074, "turnover_quote_units": 1741185.7028963484, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69500.73669687157, "return_pct": 595.0073669687156, "cagr_pct": 79.29523557589906, "max_drawdown_pct": 54.410226992413094, "mean_exposure_while_solvent": 1.2119787199472387, "realized_annual_volatility_pct": 56.8588902118025, "trading_costs_quote_units": 1001.0040146723373, "borrowing_costs_quote_units": 1978.4336536566782, "price_pnl_quote_units": 62480.17436520076, "turnover_quote_units": 1668340.024453894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65233.03810559521, "return_pct": 552.3303810559521, "cagr_pct": 75.90591342620468, "max_drawdown_pct": 54.410226992413044, "mean_exposure_while_solvent": 1.2210748857100546, "realized_annual_volatility_pct": 57.39152178161632, "trading_costs_quote_units": 953.4273944294937, "borrowing_costs_quote_units": 1958.1374105010932, "price_pnl_quote_units": 58144.60291052567, "turnover_quote_units": 1589045.6573824885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63128.83649311132, "return_pct": 531.2883649311132, "cagr_pct": 74.17750127090683, "max_drawdown_pct": 56.410021865702895, "mean_exposure_while_solvent": 1.239651395017252, "realized_annual_volatility_pct": 58.406420435665666, "trading_costs_quote_units": 967.4795831632451, "borrowing_costs_quote_units": 2167.299906620505, "price_pnl_quote_units": 56263.61598289485, "turnover_quote_units": 1612465.971938742, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69479.11345010399, "return_pct": 594.7911345010399, "cagr_pct": 79.27843452045123, "max_drawdown_pct": 54.91641120986526, "mean_exposure_while_solvent": 1.1930094041188144, "realized_annual_volatility_pct": 56.078038227843486, "trading_costs_quote_units": 937.5451345739491, "borrowing_costs_quote_units": 1795.7492341968878, "price_pnl_quote_units": 62212.407818874526, "turnover_quote_units": 1562575.224289914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65212.74263611634, "return_pct": 552.1274263611634, "cagr_pct": 75.88942997088219, "max_drawdown_pct": 54.91641120986526, "mean_exposure_while_solvent": 1.2021055698816303, "realized_annual_volatility_pct": 56.618015961730336, "trading_costs_quote_units": 892.8501461345827, "borrowing_costs_quote_units": 1786.7457984959765, "price_pnl_quote_units": 57892.3385807471, "turnover_quote_units": 1488083.57689097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63952.04177796014, "return_pct": 539.5204177796014, "cagr_pct": 74.85841593313813, "max_drawdown_pct": 56.89400231822665, "mean_exposure_while_solvent": 1.2190188302445406, "realized_annual_volatility_pct": 57.47084589555145, "trading_costs_quote_units": 913.1379580295074, "borrowing_costs_quote_units": 2000.1747332339655, "price_pnl_quote_units": 56865.354469224054, "turnover_quote_units": 1521896.5967158459, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 48404.79589301982, "return_pct": 384.04795893019826, "cagr_pct": 60.789283369792635, "max_drawdown_pct": 63.26609178281333, "mean_exposure_while_solvent": 1.278489466441022, "realized_annual_volatility_pct": 61.44384901799466, "trading_costs_quote_units": 906.007605435109, "borrowing_costs_quote_units": 2296.1280310974926, "price_pnl_quote_units": 41606.931529552574, "turnover_quote_units": 1510012.6757251823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 46604.01712712739, "return_pct": 366.0401712712739, "cagr_pct": 58.96392652670419, "max_drawdown_pct": 56.39893719274055, "mean_exposure_while_solvent": 1.218369567810516, "realized_annual_volatility_pct": 58.1801032797169, "trading_costs_quote_units": 736.416363969476, "borrowing_costs_quote_units": 1521.6105481104946, "price_pnl_quote_units": 38862.04403920767, "turnover_quote_units": 1227360.6066157925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62727.19940080648, "return_pct": 527.2719940080649, "cagr_pct": 73.8430328840237, "max_drawdown_pct": 54.27971450909006, "mean_exposure_while_solvent": 1.2264740819702131, "realized_annual_volatility_pct": 57.49331374779466, "trading_costs_quote_units": 1042.3562294808962, "borrowing_costs_quote_units": 3886.1270618500453, "price_pnl_quote_units": 57655.68269213747, "turnover_quote_units": 1737260.382468161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60904.94228487181, "return_pct": 509.0494228487181, "cagr_pct": 72.30643711359113, "max_drawdown_pct": 54.27971450909007, "mean_exposure_while_solvent": 1.2384418375292585, "realized_annual_volatility_pct": 58.101790589822286, "trading_costs_quote_units": 1015.5081728455524, "borrowing_costs_quote_units": 3978.948240248058, "price_pnl_quote_units": 55899.398697964796, "turnover_quote_units": 1692513.6214092523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56602.83714874787, "return_pct": 466.02837148747875, "cagr_pct": 68.5467868602879, "max_drawdown_pct": 56.31856295283193, "mean_exposure_while_solvent": 1.260319110820332, "realized_annual_volatility_pct": 59.34510047582348, "trading_costs_quote_units": 1014.8352220353828, "borrowing_costs_quote_units": 4376.824942034979, "price_pnl_quote_units": 51994.49731281819, "turnover_quote_units": 1691392.036725637, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67099.37492844285, "return_pct": 570.9937492844284, "cagr_pct": 77.40662811081593, "max_drawdown_pct": 54.5789463757661, "mean_exposure_while_solvent": 1.2119968580161993, "realized_annual_volatility_pct": 56.85990467740779, "trading_costs_quote_units": 977.4400693160011, "borrowing_costs_quote_units": 3868.3616917641066, "price_pnl_quote_units": 61945.17668952261, "turnover_quote_units": 1629066.782193335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62883.517232606966, "return_pct": 528.8351723260696, "cagr_pct": 73.97338593855505, "max_drawdown_pct": 54.578946375766094, "mean_exposure_while_solvent": 1.221093804517043, "realized_annual_volatility_pct": 57.39271643475497, "trading_costs_quote_units": 930.0074159449928, "borrowing_costs_quote_units": 3825.009457619617, "price_pnl_quote_units": 57638.53410617169, "turnover_quote_units": 1550012.3599083223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60667.4194798761, "return_pct": 506.67419479876105, "cagr_pct": 72.103792014994, "max_drawdown_pct": 56.60445088652195, "mean_exposure_while_solvent": 1.2396719057442793, "realized_annual_volatility_pct": 58.40782247899945, "trading_costs_quote_units": 941.7615199500838, "borrowing_costs_quote_units": 4225.506922584551, "price_pnl_quote_units": 55834.68792241033, "turnover_quote_units": 1569602.5332501398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67290.06590599025, "return_pct": 572.9006590599025, "cagr_pct": 77.55831212847806, "max_drawdown_pct": 55.06490857866131, "mean_exposure_while_solvent": 1.1930259185707126, "realized_annual_volatility_pct": 56.07891953734856, "trading_costs_quote_units": 916.7313421276845, "borrowing_costs_quote_units": 3517.3760968091115, "price_pnl_quote_units": 61724.17334492741, "turnover_quote_units": 1527885.5702128087, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63062.227084755265, "return_pct": 530.6222708475526, "cagr_pct": 74.12213450802199, "max_drawdown_pct": 55.06490857866135, "mean_exposure_while_solvent": 1.2021228650715563, "realized_annual_volatility_pct": 56.619082550304945, "trading_costs_quote_units": 872.0908383481241, "borrowing_costs_quote_units": 3496.343927674762, "price_pnl_quote_units": 57430.66185077831, "turnover_quote_units": 1453484.7305802053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61669.425378021115, "return_pct": 516.6942537802112, "cagr_pct": 72.95493779993603, "max_drawdown_pct": 57.068742111853275, "mean_exposure_while_solvent": 1.2190375733353354, "realized_annual_volatility_pct": 57.47208436895409, "trading_costs_quote_units": 890.1896973590275, "borrowing_costs_quote_units": 3906.8953762726624, "price_pnl_quote_units": 56466.510451652735, "turnover_quote_units": 1483649.49559838, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46216.40819748753, "return_pct": 362.1640819748753, "cagr_pct": 58.56460348738357, "max_drawdown_pct": 63.52357701918704, "mean_exposure_while_solvent": 1.278513306478142, "realized_annual_volatility_pct": 61.44601666301857, "trading_costs_quote_units": 882.2168020016968, "borrowing_costs_quote_units": 4466.878144186808, "price_pnl_quote_units": 41565.50314367578, "turnover_quote_units": 1470361.3366694932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 44943.76404508361, "return_pct": 349.4376404508361, "cagr_pct": 57.236809567633614, "max_drawdown_pct": 56.58154167337802, "mean_exposure_while_solvent": 1.2183882704049378, "realized_annual_volatility_pct": 58.18191811489927, "trading_costs_quote_units": 718.8057321531805, "borrowing_costs_quote_units": 2974.3635290094803, "price_pnl_quote_units": 38636.93330624613, "turnover_quote_units": 1198009.5535886334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58185.11579399891, "return_pct": 481.85115793998915, "cagr_pct": 69.95205096053117, "max_drawdown_pct": 54.64728312453393, "mean_exposure_while_solvent": 1.226512850766135, "realized_annual_volatility_pct": 57.49576733231636, "trading_costs_quote_units": 991.4459832248515, "borrowing_costs_quote_units": 7408.053250511795, "price_pnl_quote_units": 56584.615027735956, "turnover_quote_units": 1652409.9720414192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56270.20611772209, "return_pct": 462.70206117722086, "cagr_pct": 68.24788543670581, "max_drawdown_pct": 54.64728312453395, "mean_exposure_while_solvent": 1.238482656903295, "realized_annual_volatility_pct": 58.1045172180317, "trading_costs_quote_units": 962.6902511940795, "borrowing_costs_quote_units": 7564.481158909461, "price_pnl_quote_units": 54797.37752782568, "turnover_quote_units": 1604483.7519901325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 51915.593419619734, "return_pct": 419.15593419619734, "cagr_pct": 64.21583414062457, "max_drawdown_pct": 56.73580418688336, "mean_exposure_while_solvent": 1.260363681126027, "realized_annual_volatility_pct": 59.34841077964952, "trading_costs_quote_units": 957.9387662774252, "borrowing_costs_quote_units": 8286.875956673397, "price_pnl_quote_units": 51160.408142570894, "turnover_quote_units": 1596564.6104623745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 62541.44321325203, "return_pct": 525.4144321325203, "cagr_pct": 73.68783575146666, "max_drawdown_pct": 54.931902725103356, "mean_exposure_while_solvent": 1.2120331420160846, "realized_annual_volatility_pct": 56.86197094257604, "trading_costs_quote_units": 932.1705665940841, "borrowing_costs_quote_units": 7396.012837500751, "price_pnl_quote_units": 60869.62661734682, "turnover_quote_units": 1553617.6109901397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58434.06643442076, "return_pct": 484.34066434420765, "cagr_pct": 70.1707106125873, "max_drawdown_pct": 54.931902725103384, "mean_exposure_while_solvent": 1.2211316503329126, "realized_annual_volatility_pct": 57.3951432055478, "trading_costs_quote_units": 885.112309385876, "borrowing_costs_quote_units": 7299.270740841246, "price_pnl_quote_units": 56618.449484647695, "turnover_quote_units": 1475187.1823097942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56027.47805228719, "return_pct": 460.27478052287194, "cagr_pct": 68.02899040050514, "max_drawdown_pct": 57.00731687630167, "mean_exposure_while_solvent": 1.239712936092024, "realized_annual_volatility_pct": 58.41066394029154, "trading_costs_quote_units": 892.618017695656, "borrowing_costs_quote_units": 8033.09705107805, "price_pnl_quote_units": 54953.19312106092, "turnover_quote_units": 1487696.6961594282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63115.57054208916, "return_pct": 531.1557054208916, "cagr_pct": 74.16647766566875, "max_drawdown_pct": 55.37764408181802, "mean_exposure_while_solvent": 1.1930589546318302, "realized_annual_volatility_pct": 56.0807188068163, "trading_costs_quote_units": 876.6263824722332, "borrowing_costs_quote_units": 6748.48895073971, "price_pnl_quote_units": 60740.68587530106, "turnover_quote_units": 1461043.9707870558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58970.48824932326, "return_pct": 489.70488249323256, "cagr_pct": 70.63966017555647, "max_drawdown_pct": 55.37764408181809, "mean_exposure_while_solvent": 1.2021574629486582, "realized_annual_volatility_pct": 56.621252724952384, "trading_costs_quote_units": 832.1828545603394, "borrowing_costs_quote_units": 6695.24275920239, "price_pnl_quote_units": 56497.91386308609, "turnover_quote_units": 1386971.4242672303, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57344.51917617167, "return_pct": 473.4451917617167, "cagr_pct": 69.20886737539165, "max_drawdown_pct": 57.43253156392147, "mean_exposure_while_solvent": 1.219075067642716, "realized_annual_volatility_pct": 57.4745986857631, "trading_costs_quote_units": 846.2033069475153, "borrowing_costs_quote_units": 7454.5461832042165, "price_pnl_quote_units": 55645.268666323405, "turnover_quote_units": 1410338.8449125271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42130.86636260744, "return_pct": 321.3086636260744, "cagr_pct": 54.205941352205556, "max_drawdown_pct": 64.06714796619313, "mean_exposure_while_solvent": 1.2785609968949558, "realized_annual_volatility_pct": 61.450387357872216, "trading_costs_quote_units": 836.8360362091147, "borrowing_costs_quote_units": 8455.547054140303, "price_pnl_quote_units": 41423.249452956756, "turnover_quote_units": 1394726.7270151891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 41797.71108414572, "return_pct": 317.9771108414572, "cagr_pct": 53.83769347665026, "max_drawdown_pct": 56.94456770611372, "mean_exposure_while_solvent": 1.2184256837098937, "realized_annual_volatility_pct": 58.185585021109475, "trading_costs_quote_units": 685.0386926850267, "borrowing_costs_quote_units": 5683.890139957403, "price_pnl_quote_units": 38166.63991678824, "turnover_quote_units": 1141731.1544750442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63607.09835326724, "return_pct": 536.0709835326725, "cagr_pct": 74.57384577861697, "max_drawdown_pct": 54.190684694996904, "mean_exposure_while_solvent": 1.2261395287346417, "realized_annual_volatility_pct": 57.6404302172429, "trading_costs_quote_units": 1025.870901611857, "borrowing_costs_quote_units": 1936.3026804325066, "price_pnl_quote_units": 56569.27193531106, "turnover_quote_units": 1709784.8360197626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64677.5298536585, "return_pct": 546.7752985365851, "cagr_pct": 75.45344418150617, "max_drawdown_pct": 54.190684694996904, "mean_exposure_while_solvent": 1.238082351977979, "realized_annual_volatility_pct": 58.1388284567761, "trading_costs_quote_units": 1029.6136965974483, "borrowing_costs_quote_units": 2032.3986622888344, "price_pnl_quote_units": 57739.542212544984, "turnover_quote_units": 1716022.8276624144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60370.03840072644, "return_pct": 503.7003840072644, "cagr_pct": 71.84929502760077, "max_drawdown_pct": 56.37526289945753, "mean_exposure_while_solvent": 1.259974886426299, "realized_annual_volatility_pct": 59.445293556389146, "trading_costs_quote_units": 1043.349063676276, "borrowing_costs_quote_units": 2267.3968923569187, "price_pnl_quote_units": 53680.78435675983, "turnover_quote_units": 1738915.1061271268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67843.48846011276, "return_pct": 578.4348846011276, "cagr_pct": 77.9968346794907, "max_drawdown_pct": 54.4409899397603, "mean_exposure_while_solvent": 1.2116870291480415, "realized_annual_volatility_pct": 57.01766874366528, "trading_costs_quote_units": 964.6588169843641, "borrowing_costs_quote_units": 1936.5885746991778, "price_pnl_quote_units": 60744.735851796286, "turnover_quote_units": 1607764.6949739407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66364.20624098525, "return_pct": 563.6420624098525, "cagr_pct": 76.81900710897939, "max_drawdown_pct": 54.44098993976028, "mean_exposure_while_solvent": 1.2207608052886236, "realized_annual_volatility_pct": 57.437539693310605, "trading_costs_quote_units": 942.0345697350078, "borrowing_costs_quote_units": 1956.8082698305927, "price_pnl_quote_units": 59263.04908055064, "turnover_quote_units": 1570057.616225014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64718.29363352055, "return_pct": 547.1829363352056, "cagr_pct": 75.4867389807287, "max_drawdown_pct": 56.74190063922815, "mean_exposure_while_solvent": 1.2393319735290267, "realized_annual_volatility_pct": 58.457073899443614, "trading_costs_quote_units": 969.9112723535918, "borrowing_costs_quote_units": 2197.7463851286007, "price_pnl_quote_units": 57885.95129100239, "turnover_quote_units": 1616518.787255987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68936.95786212315, "return_pct": 589.3695786212315, "cagr_pct": 78.85598521352104, "max_drawdown_pct": 54.802421183373085, "mean_exposure_while_solvent": 1.1927126342473402, "realized_annual_volatility_pct": 56.264933928988036, "trading_costs_quote_units": 914.7656601971873, "borrowing_costs_quote_units": 1775.78880917231, "price_pnl_quote_units": 61627.512331492864, "turnover_quote_units": 1524609.433661979, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67433.83326872741, "return_pct": 574.3383326872741, "cagr_pct": 77.67247253524943, "max_drawdown_pct": 54.802421183373085, "mean_exposure_while_solvent": 1.201786410387922, "realized_annual_volatility_pct": 56.69038277381373, "trading_costs_quote_units": 894.5931823760745, "borrowing_costs_quote_units": 1803.4424778811135, "price_pnl_quote_units": 60131.86892898496, "turnover_quote_units": 1490988.6372934575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66680.33766809899, "return_pct": 566.8033766809899, "cagr_pct": 77.07224592514224, "max_drawdown_pct": 57.08507817156738, "mean_exposure_while_solvent": 1.218683052535636, "realized_annual_volatility_pct": 57.53439606383056, "trading_costs_quote_units": 929.0577564439162, "borrowing_costs_quote_units": 2049.4993243656277, "price_pnl_quote_units": 59658.89474890853, "turnover_quote_units": 1548429.5940731952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47393.69071621962, "return_pct": 373.93690716219623, "cagr_pct": 59.770339481482935, "max_drawdown_pct": 63.13821356246541, "mean_exposure_while_solvent": 1.2782036970878483, "realized_annual_volatility_pct": 61.44527066132216, "trading_costs_quote_units": 903.9591787316633, "borrowing_costs_quote_units": 2278.345316422536, "price_pnl_quote_units": 40575.995211374175, "turnover_quote_units": 1506598.6312194415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47227.23612562643, "return_pct": 372.2723612562643, "cagr_pct": 59.60114187337076, "max_drawdown_pct": 56.487514679250616, "mean_exposure_while_solvent": 1.217987743596644, "realized_annual_volatility_pct": 58.23631116131587, "trading_costs_quote_units": 749.8037669534702, "borrowing_costs_quote_units": 1553.3755078738086, "price_pnl_quote_units": 39530.41540045367, "turnover_quote_units": 1249672.9449224514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61262.8240180611, "return_pct": 512.628240180611, "cagr_pct": 72.61072729234624, "max_drawdown_pct": 54.26764463483798, "mean_exposure_while_solvent": 1.2261589014524326, "realized_annual_volatility_pct": 57.641361736381526, "trading_costs_quote_units": 1000.2688938427974, "borrowing_costs_quote_units": 3780.5474739931446, "price_pnl_quote_units": 56043.64038589719, "turnover_quote_units": 1667114.8230713282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62170.43798756518, "return_pct": 521.7043798756519, "cagr_pct": 73.37689836206289, "max_drawdown_pct": 54.26764463483798, "mean_exposure_while_solvent": 1.238102746626355, "realized_annual_volatility_pct": 58.13980211091846, "trading_costs_quote_units": 1002.1171522194945, "borrowing_costs_quote_units": 3962.2155722669163, "price_pnl_quote_units": 57134.77071205156, "turnover_quote_units": 1670195.2536991567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57818.85014299955, "return_pct": 478.1885014299955, "cagr_pct": 69.62915886153237, "max_drawdown_pct": 56.546414257786104, "mean_exposure_while_solvent": 1.2599971587810908, "realized_annual_volatility_pct": 59.44653952910349, "trading_costs_quote_units": 1013.2748379429521, "borrowing_costs_quote_units": 4411.247792489599, "price_pnl_quote_units": 53243.37277343242, "turnover_quote_units": 1688791.3965715868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65500.715037913455, "return_pct": 555.0071503791346, "cagr_pct": 76.12297911392727, "max_drawdown_pct": 54.578915524053805, "mean_exposure_while_solvent": 1.211705163185814, "realized_annual_volatility_pct": 57.018425242977955, "trading_costs_quote_units": 941.8622606260246, "borrowing_costs_quote_units": 3786.8849924059505, "price_pnl_quote_units": 60229.46229094536, "turnover_quote_units": 1569770.4343767066, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63975.76497339619, "return_pct": 539.7576497339619, "cagr_pct": 74.87794754687778, "max_drawdown_pct": 54.578915524053805, "mean_exposure_while_solvent": 1.2207797173555217, "realized_annual_volatility_pct": 57.43838541721479, "trading_costs_quote_units": 918.7189899632222, "borrowing_costs_quote_units": 3822.301447519343, "price_pnl_quote_units": 58716.785410878496, "turnover_quote_units": 1531198.316605369, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62196.78824531424, "return_pct": 521.9678824531424, "cagr_pct": 73.39902507809177, "max_drawdown_pct": 56.90579411059762, "mean_exposure_while_solvent": 1.2393524762156067, "realized_annual_volatility_pct": 58.45809825014727, "trading_costs_quote_units": 943.92145111482, "borrowing_costs_quote_units": 4284.710849832146, "price_pnl_quote_units": 57425.42054626111, "turnover_quote_units": 1573202.4185246998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66766.5530588475, "return_pct": 567.665530588475, "cagr_pct": 77.14116358065124, "max_drawdown_pct": 54.920821027703816, "mean_exposure_while_solvent": 1.1927291437669278, "realized_annual_volatility_pct": 56.265567660015456, "trading_costs_quote_units": 894.3514662516452, "borrowing_costs_quote_units": 3478.4861270559827, "price_pnl_quote_units": 61139.390652154725, "turnover_quote_units": 1490585.777086076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65212.13247983858, "return_pct": 552.1213247983859, "cagr_pct": 75.8889343622298, "max_drawdown_pct": 54.920821027703845, "mean_exposure_while_solvent": 1.2018036979366356, "realized_annual_volatility_pct": 56.69110847139473, "trading_costs_quote_units": 873.619485291452, "borrowing_costs_quote_units": 3528.851215431725, "price_pnl_quote_units": 59614.6031805618, "turnover_quote_units": 1456032.4754857535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64302.50579267666, "return_pct": 543.0250579267666, "cagr_pct": 75.1464440045005, "max_drawdown_pct": 57.230184123275976, "mean_exposure_while_solvent": 1.2187017867644778, "realized_annual_volatility_pct": 57.535266542299354, "trading_costs_quote_units": 905.4960572542135, "borrowing_costs_quote_units": 4003.009266090745, "price_pnl_quote_units": 59211.01111602147, "turnover_quote_units": 1509160.0954236889, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45250.87076421465, "return_pct": 352.5087076421465, "cagr_pct": 57.55960621770011, "max_drawdown_pct": 63.395586873026154, "mean_exposure_while_solvent": 1.2782275413952648, "realized_annual_volatility_pct": 61.44699664941836, "trading_costs_quote_units": 880.162559244785, "borrowing_costs_quote_units": 4432.608302684837, "price_pnl_quote_units": 40563.64162614353, "turnover_quote_units": 1466937.5987413093, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45545.98972995222, "return_pct": 355.45989729952214, "cagr_pct": 57.868363336240016, "max_drawdown_pct": 56.67077465955182, "mean_exposure_while_solvent": 1.218006428862457, "realized_annual_volatility_pct": 58.23775753185272, "trading_costs_quote_units": 731.7854655261503, "borrowing_costs_quote_units": 3036.5865945857336, "price_pnl_quote_units": 39314.36179006421, "turnover_quote_units": 1219642.4425435844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56829.034136482485, "return_pct": 468.2903413648249, "cagr_pct": 68.7493464023256, "max_drawdown_pct": 54.5066970676201, "mean_exposure_while_solvent": 1.2261976552868763, "realized_annual_volatility_pct": 57.64326194201451, "trading_costs_quote_units": 951.2643997717821, "borrowing_costs_quote_units": 7207.618546151279, "price_pnl_quote_units": 54987.917082405824, "turnover_quote_units": 1585440.6662863018, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57442.70266247537, "return_pct": 474.4270266247537, "cagr_pct": 69.29606388486462, "max_drawdown_pct": 54.506697067620195, "mean_exposure_while_solvent": 1.238143544765141, "realized_annual_volatility_pct": 58.14178654739618, "trading_costs_quote_units": 949.6185142881336, "borrowing_costs_quote_units": 7531.500407724309, "price_pnl_quote_units": 55923.821584488054, "turnover_quote_units": 1582697.523813557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53034.015714247726, "return_pct": 430.34015714247727, "cagr_pct": 65.27330923972505, "max_drawdown_pct": 56.903190003161065, "mean_exposure_while_solvent": 1.2600417131498802, "realized_annual_volatility_pct": 59.44906798013447, "trading_costs_quote_units": 956.0529755546052, "borrowing_costs_quote_units": 8350.925283030434, "price_pnl_quote_units": 52340.99397283261, "turnover_quote_units": 1593421.6259243437, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61053.82150962766, "return_pct": 510.53821509627664, "cagr_pct": 72.43317357239287, "max_drawdown_pct": 54.87075519548965, "mean_exposure_while_solvent": 1.2117414391218488, "realized_annual_volatility_pct": 57.01997511182386, "trading_costs_quote_units": 898.1291263135787, "borrowing_costs_quote_units": 7241.542774720766, "price_pnl_quote_units": 59193.49341066181, "turnover_quote_units": 1496881.8771892972, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59452.3965044143, "return_pct": 494.523965044143, "cagr_pct": 71.0584176243805, "max_drawdown_pct": 54.87075519548961, "mean_exposure_while_solvent": 1.2208175496880795, "realized_annual_volatility_pct": 57.44011389994681, "trading_costs_quote_units": 874.0703014935006, "borrowing_costs_quote_units": 7293.670585071573, "price_pnl_quote_units": 57620.137390979544, "turnover_quote_units": 1456783.8358225005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57443.347000147594, "return_pct": 474.43347000147594, "cagr_pct": 69.29663577541092, "max_drawdown_pct": 57.248070303189365, "mean_exposure_while_solvent": 1.239393490478473, "realized_annual_volatility_pct": 58.46018388545917, "trading_costs_quote_units": 894.3067692000983, "borrowing_costs_quote_units": 8145.032435943842, "price_pnl_quote_units": 56482.68620529208, "turnover_quote_units": 1490511.2820001629, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62627.4112055008, "return_pct": 526.274112055008, "cagr_pct": 73.75970099569538, "max_drawdown_pct": 55.17380515793817, "mean_exposure_while_solvent": 1.1927621699613635, "realized_annual_volatility_pct": 56.26687131211251, "trading_costs_quote_units": 855.0930695177134, "borrowing_costs_quote_units": 6674.666114599199, "price_pnl_quote_units": 60157.17038961741, "turnover_quote_units": 1425155.1158628555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 60984.71137383736, "return_pct": 509.84711373837354, "cagr_pct": 72.37436905799596, "max_drawdown_pct": 55.17380515793817, "mean_exposure_while_solvent": 1.2018382805275944, "realized_annual_volatility_pct": 56.69259643516254, "trading_costs_quote_units": 833.3573113199022, "borrowing_costs_quote_units": 6756.8504800653845, "price_pnl_quote_units": 58574.91916522299, "turnover_quote_units": 1388928.8521998364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59796.93215807818, "return_pct": 497.9693215807818, "cagr_pct": 71.3563522067468, "max_drawdown_pct": 57.535156221540994, "mean_exposure_while_solvent": 1.2187392633438954, "realized_annual_volatility_pct": 57.537044453742666, "trading_costs_quote_units": 860.394943057699, "borrowing_costs_quote_units": 7637.033272838686, "price_pnl_quote_units": 58294.36037397389, "turnover_quote_units": 1433991.5717628323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 41250.42024068337, "return_pct": 312.5042024068337, "cagr_pct": 53.22827611453109, "max_drawdown_pct": 63.90509351313418, "mean_exposure_while_solvent": 1.2782752403577509, "realized_annual_volatility_pct": 61.45048395916628, "trading_costs_quote_units": 834.7752749397048, "borrowing_costs_quote_units": 8391.912544514596, "price_pnl_quote_units": 40477.10806013797, "turnover_quote_units": 1391292.1248995068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 42360.015661230085, "return_pct": 323.6001566123009, "cagr_pct": 54.45804824633389, "max_drawdown_pct": 57.03508789759057, "mean_exposure_while_solvent": 1.2180438075006925, "realized_annual_volatility_pct": 58.24068729771047, "trading_costs_quote_units": 697.2642347881069, "borrowing_costs_quote_units": 5803.282162031184, "price_pnl_quote_units": 38860.5620580491, "turnover_quote_units": 1162107.0579801782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60121.143870926884, "return_pct": 501.2114387092688, "cagr_pct": 71.63561820637317, "max_drawdown_pct": 54.6932845956985, "mean_exposure_while_solvent": 1.2264547017734932, "realized_annual_volatility_pct": 57.49109235687375, "trading_costs_quote_units": 5074.892898655925, "borrowing_costs_quote_units": 1894.1308097768165, "price_pnl_quote_units": 57090.16757935937, "turnover_quote_units": 1691630.966218641, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58599.26315003332, "return_pct": 485.99263150033323, "cagr_pct": 70.31544798089706, "max_drawdown_pct": 54.69328459569852, "mean_exposure_while_solvent": 1.2384214322660507, "realized_annual_volatility_pct": 58.09890563082899, "trading_costs_quote_units": 4960.38870541699, "borrowing_costs_quote_units": 1946.1058447897929, "price_pnl_quote_units": 55505.75770024023, "turnover_quote_units": 1653462.9018056628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 54691.30517816216, "return_pct": 446.9130517816216, "cagr_pct": 66.81199697221179, "max_drawdown_pct": 56.69436410857453, "mean_exposure_while_solvent": 1.26029683049894, "realized_annual_volatility_pct": 59.342498663199706, "trading_costs_quote_units": 4974.12314739768, "borrowing_costs_quote_units": 2147.9414149775916, "price_pnl_quote_units": 51813.3697405378, "turnover_quote_units": 1658041.0491325606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64835.358463982746, "return_pct": 548.3535846398274, "cagr_pct": 75.58227309577723, "max_drawdown_pct": 54.99482478782256, "mean_exposure_while_solvent": 1.2119787199472387, "realized_annual_volatility_pct": 56.857425016525006, "trading_costs_quote_units": 4785.067876948052, "borrowing_costs_quote_units": 1895.856341749284, "price_pnl_quote_units": 61516.28268267981, "turnover_quote_units": 1595022.6256493512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60829.45246306641, "return_pct": 508.2945246306641, "cagr_pct": 72.24209213651362, "max_drawdown_pct": 54.99482478782256, "mean_exposure_while_solvent": 1.2210748857100546, "realized_annual_volatility_pct": 57.38971666756607, "trading_costs_quote_units": 4557.168541202931, "borrowing_costs_quote_units": 1876.4064129469252, "price_pnl_quote_units": 57263.027417216574, "turnover_quote_units": 1519056.1804009783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58919.81282795068, "return_pct": 489.19812827950676, "cagr_pct": 70.59548663876902, "max_drawdown_pct": 56.98258605647402, "mean_exposure_while_solvent": 1.239651395017252, "realized_annual_volatility_pct": 58.403672720328494, "trading_costs_quote_units": 4629.650816783835, "borrowing_costs_quote_units": 2079.624630309847, "price_pnl_quote_units": 55629.08827504479, "turnover_quote_units": 1543216.9389279443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65217.98121134852, "return_pct": 552.1798121134852, "cagr_pct": 75.89368494939414, "max_drawdown_pct": 55.49171597301674, "mean_exposure_while_solvent": 1.1930094041188144, "realized_annual_volatility_pct": 56.07294114696081, "trading_costs_quote_units": 4497.3673273595805, "borrowing_costs_quote_units": 1728.2277903622673, "price_pnl_quote_units": 61443.57632907039, "turnover_quote_units": 1499122.4424531944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61188.43454897677, "return_pct": 511.88434548976767, "cagr_pct": 72.5475798616541, "max_drawdown_pct": 55.49171597301672, "mean_exposure_while_solvent": 1.2021055698816303, "realized_annual_volatility_pct": 56.612612016802224, "trading_costs_quote_units": 4282.452469971641, "borrowing_costs_quote_units": 1719.5203737185661, "price_pnl_quote_units": 57190.407392667075, "turnover_quote_units": 1427484.1566572133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60070.592897405055, "return_pct": 500.70592897405055, "cagr_pct": 71.59214452222047, "max_drawdown_pct": 57.457530853324876, "mean_exposure_while_solvent": 1.2190188302445406, "realized_annual_volatility_pct": 57.4664845109238, "trading_costs_quote_units": 4385.017910007354, "borrowing_costs_quote_units": 1927.316555518279, "price_pnl_quote_units": 56382.92736293118, "turnover_quote_units": 1461672.6366691187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 44964.89713835507, "return_pct": 349.64897138355064, "cagr_pct": 57.259071640942174, "max_drawdown_pct": 63.51486740434634, "mean_exposure_while_solvent": 1.278489466441022, "realized_annual_volatility_pct": 61.448107385421736, "trading_costs_quote_units": 4328.84092914119, "borrowing_costs_quote_units": 2190.665440562591, "price_pnl_quote_units": 41484.40350805894, "turnover_quote_units": 1442946.9763803978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43474.93044588361, "return_pct": 334.74930445883615, "cagr_pct": 55.67124611131038, "max_drawdown_pct": 56.927934069291055, "mean_exposure_while_solvent": 1.218369567810516, "realized_annual_volatility_pct": 58.17896270824438, "trading_costs_quote_units": 3524.6633174289923, "borrowing_costs_quote_units": 1460.5561922691459, "price_pnl_quote_units": 38460.149955581415, "turnover_quote_units": 1174887.7724763302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57903.82296738165, "return_pct": 479.03822967381655, "cagr_pct": 69.7041961822938, "max_drawdown_pct": 54.87948028004177, "mean_exposure_while_solvent": 1.2264740819702131, "realized_annual_volatility_pct": 57.49232846658746, "trading_costs_quote_units": 4949.634370676865, "borrowing_costs_quote_units": 3698.6295985277297, "price_pnl_quote_units": 56552.086936586755, "turnover_quote_units": 1649878.1235589555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56325.78194966919, "return_pct": 463.25781949669187, "cagr_pct": 68.29791150360182, "max_drawdown_pct": 54.87948028004166, "mean_exposure_while_solvent": 1.2384418375292585, "realized_annual_volatility_pct": 58.100277331643866, "trading_costs_quote_units": 4829.811278071952, "borrowing_costs_quote_units": 3794.9510879875197, "price_pnl_quote_units": 54950.54431572847, "turnover_quote_units": 1609937.0926906485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 52377.99306911713, "return_pct": 423.7799306911713, "cagr_pct": 64.65494772468519, "max_drawdown_pct": 56.905295759758445, "mean_exposure_while_solvent": 1.260319110820332, "realized_annual_volatility_pct": 59.3441633276225, "trading_costs_quote_units": 4832.763090108348, "borrowing_costs_quote_units": 4179.914706314033, "price_pnl_quote_units": 51390.670865539054, "turnover_quote_units": 1610921.0300361163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62594.93905295708, "return_pct": 525.9493905295708, "cagr_pct": 73.73256389298047, "max_drawdown_pct": 55.17373361875519, "mean_exposure_while_solvent": 1.2119968580161993, "realized_annual_volatility_pct": 56.85846725935782, "trading_costs_quote_units": 4673.078418104373, "borrowing_costs_quote_units": 3707.4104379474056, "price_pnl_quote_units": 60975.4279090091, "turnover_quote_units": 1557692.8060347897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58638.23307247783, "return_pct": 486.3823307247783, "cagr_pct": 70.349549964006, "max_drawdown_pct": 55.173733618755314, "mean_exposure_while_solvent": 1.221093804517043, "realized_annual_volatility_pct": 57.39093852653665, "trading_costs_quote_units": 4445.880822354347, "borrowing_costs_quote_units": 3665.884423134501, "price_pnl_quote_units": 56749.99831796712, "turnover_quote_units": 1481960.2741181145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56622.01409492994, "return_pct": 466.2201409492994, "cagr_pct": 68.56398175101724, "max_drawdown_pct": 57.18633774868651, "mean_exposure_while_solvent": 1.2396719057442793, "realized_annual_volatility_pct": 58.40510295997442, "trading_costs_quote_units": 4507.265070470423, "borrowing_costs_quote_units": 4055.191261173854, "price_pnl_quote_units": 55184.47042657381, "turnover_quote_units": 1502421.6901568081, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63162.92987710442, "return_pct": 531.6292987710442, "cagr_pct": 74.20582442027803, "max_drawdown_pct": 55.65053881517863, "mean_exposure_while_solvent": 1.1930259185707126, "realized_annual_volatility_pct": 56.07384944615503, "trading_costs_quote_units": 4398.004966441383, "borrowing_costs_quote_units": 3385.482026639041, "price_pnl_quote_units": 60946.41687018511, "turnover_quote_units": 1466001.6554804605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59170.32047176786, "return_pct": 491.7032047176786, "cagr_pct": 70.8135949077656, "max_drawdown_pct": 55.65053881517854, "mean_exposure_while_solvent": 1.2021228650715563, "realized_annual_volatility_pct": 56.61370510860526, "trading_costs_quote_units": 4183.368946784837, "borrowing_costs_quote_units": 3365.1733131444403, "price_pnl_quote_units": 56718.86273169669, "turnover_quote_units": 1394456.3155949463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57926.013430250714, "return_pct": 479.2601343025072, "cagr_pct": 69.7237793370995, "max_drawdown_pct": 57.6417354047332, "mean_exposure_while_solvent": 1.2190375733353354, "realized_annual_volatility_pct": 57.467751100985595, "trading_costs_quote_units": 4275.319984535186, "borrowing_costs_quote_units": 3765.025783782449, "price_pnl_quote_units": 55966.35919856849, "turnover_quote_units": 1425106.6615117292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 42931.46773733292, "return_pct": 329.3146773733292, "cagr_pct": 55.08262653207814, "max_drawdown_pct": 63.77072604446299, "mean_exposure_while_solvent": 1.278513306478142, "realized_annual_volatility_pct": 61.450302414478756, "trading_costs_quote_units": 4215.980256587771, "borrowing_costs_quote_units": 4262.4636544231835, "price_pnl_quote_units": 41409.91164834403, "turnover_quote_units": 1405326.7521959222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 41925.57842331445, "return_pct": 319.25578423314454, "cagr_pct": 53.979271323447534, "max_drawdown_pct": 57.10856508300025, "mean_exposure_while_solvent": 1.2183882704049378, "realized_annual_volatility_pct": 58.18080119227667, "trading_costs_quote_units": 3440.893327507846, "borrowing_costs_quote_units": 2855.4177769784337, "price_pnl_quote_units": 38221.889527800646, "turnover_quote_units": 1146964.4425026146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53710.17366137289, "return_pct": 437.101736613729, "cagr_pct": 65.90508111183604, "max_drawdown_pct": 55.249680450029445, "mean_exposure_while_solvent": 1.226512850766135, "realized_annual_volatility_pct": 57.494838317470155, "trading_costs_quote_units": 4709.525253448471, "borrowing_costs_quote_units": 7053.0475266230105, "price_pnl_quote_units": 55472.74644144426, "turnover_quote_units": 1569841.7511494898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52038.62383954722, "return_pct": 420.3862383954721, "cagr_pct": 64.33293484904917, "max_drawdown_pct": 55.249680450029445, "mean_exposure_while_solvent": 1.238482656903295, "realized_annual_volatility_pct": 58.1030582238465, "trading_costs_quote_units": 4580.209960436125, "borrowing_costs_quote_units": 7217.242344369845, "price_pnl_quote_units": 53836.076144353014, "turnover_quote_units": 1526736.6534787107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48039.377896430036, "return_pct": 380.3937789643004, "cagr_pct": 60.422764152154194, "max_drawdown_pct": 57.32419641782075, "mean_exposure_while_solvent": 1.260363681126027, "realized_annual_volatility_pct": 59.34752960847411, "trading_costs_quote_units": 4563.500351647017, "borrowing_costs_quote_units": 7917.06714255135, "price_pnl_quote_units": 50519.94539062856, "turnover_quote_units": 1521166.7838823409, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58342.323068233134, "return_pct": 483.42323068233134, "cagr_pct": 70.0902059792673, "max_drawdown_pct": 55.52951782591214, "mean_exposure_while_solvent": 1.2120331420160846, "realized_annual_volatility_pct": 56.86058915475984, "trading_costs_quote_units": 4457.895982036422, "borrowing_costs_quote_units": 7090.230029031259, "price_pnl_quote_units": 59890.449079300764, "turnover_quote_units": 1485965.3273454732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54488.38333217359, "return_pct": 444.8838333217359, "cagr_pct": 66.62536297096389, "max_drawdown_pct": 55.529517825912066, "mean_exposure_while_solvent": 1.2211316503329126, "realized_annual_volatility_pct": 57.39341971421046, "trading_costs_quote_units": 4232.509513346838, "borrowing_costs_quote_units": 6997.6228232489175, "price_pnl_quote_units": 55718.51566876941, "turnover_quote_units": 1410836.5044489463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52290.33592552264, "return_pct": 422.90335925522635, "cagr_pct": 64.57191362561562, "max_drawdown_pct": 57.59106121360807, "mean_exposure_while_solvent": 1.239712936092024, "realized_annual_volatility_pct": 58.40800083400923, "trading_costs_quote_units": 4273.360995497399, "borrowing_costs_quote_units": 7711.670595909821, "price_pnl_quote_units": 54275.367516929924, "turnover_quote_units": 1424453.6651657994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59243.87679452327, "return_pct": 492.43876794523266, "cagr_pct": 70.87751524612187, "max_drawdown_pct": 55.96657287361021, "mean_exposure_while_solvent": 1.1930589546318302, "realized_annual_volatility_pct": 56.07570267600309, "trading_costs_quote_units": 4206.526588818022, "borrowing_costs_quote_units": 6496.822769554516, "price_pnl_quote_units": 59947.22615289614, "turnover_quote_units": 1402175.5296060059, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55330.382800984866, "return_pct": 453.3038280098487, "cagr_pct": 67.39663425965934, "max_drawdown_pct": 55.96657287361023, "mean_exposure_while_solvent": 1.2021574629486582, "realized_annual_volatility_pct": 56.6159282010305, "trading_costs_quote_units": 3992.865188489276, "borrowing_costs_quote_units": 6445.506437434935, "price_pnl_quote_units": 55768.75442690929, "turnover_quote_units": 1330955.062829757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 53862.54170179731, "return_pct": 438.62541701797306, "cagr_pct": 66.04667877645298, "max_drawdown_pct": 58.00785545234726, "mean_exposure_while_solvent": 1.219075067642716, "realized_annual_volatility_pct": 57.470321579191875, "trading_costs_quote_units": 4065.0272038785174, "borrowing_costs_quote_units": 7185.54002032394, "price_pnl_quote_units": 55113.10892599951, "turnover_quote_units": 1355009.0679595056, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39135.15430458768, "return_pct": 291.3515430458768, "cagr_pct": 50.818330234026554, "max_drawdown_pct": 64.3441590005154, "mean_exposure_while_solvent": 1.2785609968949558, "realized_annual_volatility_pct": 61.45472760171279, "trading_costs_quote_units": 4000.6535144713007, "borrowing_costs_quote_units": 8071.459672806258, "price_pnl_quote_units": 41207.267491865154, "turnover_quote_units": 1333551.1714904339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 38989.558524949454, "return_pct": 289.8955852494945, "cagr_pct": 50.64913413033372, "max_drawdown_pct": 57.46769884608225, "mean_exposure_while_solvent": 1.2184256837098937, "realized_annual_volatility_pct": 58.18451525327676, "trading_costs_quote_units": 3280.2433443594764, "borrowing_costs_quote_units": 5458.117352761465, "price_pnl_quote_units": 37727.919222070355, "turnover_quote_units": 1093414.4481198268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58793.33273093095, "return_pct": 487.93332730930956, "cagr_pct": 70.48511855512518, "max_drawdown_pct": 54.551367515589355, "mean_exposure_while_solvent": 1.2261395287346417, "realized_annual_volatility_pct": 57.64123958539109, "trading_costs_quote_units": 4875.377639907362, "borrowing_costs_quote_units": 1844.794749269879, "price_pnl_quote_units": 55513.50512010804, "turnover_quote_units": 1625125.8799691217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59897.85688069754, "return_pct": 498.9785688069754, "cagr_pct": 71.44339884681617, "max_drawdown_pct": 54.55136751558942, "mean_exposure_while_solvent": 1.238082351977979, "realized_annual_volatility_pct": 58.13151095232438, "trading_costs_quote_units": 4899.705854495929, "borrowing_costs_quote_units": 1939.8572933929183, "price_pnl_quote_units": 56737.420028586435, "turnover_quote_units": 1633235.284831976, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55938.5660303535, "return_pct": 459.38566030353496, "cagr_pct": 67.94864265383688, "max_drawdown_pct": 56.85971144647126, "mean_exposure_while_solvent": 1.259974886426299, "realized_annual_volatility_pct": 59.43612793570754, "trading_costs_quote_units": 4971.573772604854, "borrowing_costs_quote_units": 2167.021224981644, "price_pnl_quote_units": 53077.16102793985, "turnover_quote_units": 1657191.257534951, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63368.76111843146, "return_pct": 533.6876111843145, "cagr_pct": 74.37659258319597, "max_drawdown_pct": 54.9319736260396, "mean_exposure_while_solvent": 1.2116870291480415, "realized_annual_volatility_pct": 57.02050341665061, "trading_costs_quote_units": 4616.0551926644775, "borrowing_costs_quote_units": 1858.017509109878, "price_pnl_quote_units": 59842.83382020601, "turnover_quote_units": 1538685.0642214944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61968.68421745757, "return_pct": 519.6868421745756, "cagr_pct": 73.20726504633588, "max_drawdown_pct": 54.93197362603954, "mean_exposure_while_solvent": 1.2207608052886236, "realized_annual_volatility_pct": 57.432952656369885, "trading_costs_quote_units": 4506.466220733492, "borrowing_costs_quote_units": 1877.0356018052382, "price_pnl_quote_units": 58352.186039996064, "turnover_quote_units": 1502155.4069111624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60484.004092799005, "return_pct": 504.84004092799006, "cagr_pct": 71.94692951950745, "max_drawdown_pct": 57.22098650652261, "mean_exposure_while_solvent": 1.2393319735290267, "realized_annual_volatility_pct": 58.45280887931479, "trading_costs_quote_units": 4645.219797067839, "borrowing_costs_quote_units": 2110.9565288738368, "price_pnl_quote_units": 57240.180418740274, "turnover_quote_units": 1548406.599022613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64771.703176341085, "return_pct": 547.7170317634109, "cagr_pct": 75.53034033823987, "max_drawdown_pct": 55.28686971628902, "mean_exposure_while_solvent": 1.1927126342473402, "realized_annual_volatility_pct": 56.26940257760984, "trading_costs_quote_units": 4391.518358807845, "borrowing_costs_quote_units": 1710.6762354483187, "price_pnl_quote_units": 60873.8977705981, "turnover_quote_units": 1463839.452935949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 63340.62950765381, "return_pct": 533.4062950765381, "cagr_pct": 74.35327604611605, "max_drawdown_pct": 55.28686971628901, "mean_exposure_while_solvent": 1.201786410387922, "realized_annual_volatility_pct": 56.687320562858524, "trading_costs_quote_units": 4293.496131374347, "borrowing_costs_quote_units": 1736.9716246046376, "price_pnl_quote_units": 59371.09726363302, "turnover_quote_units": 1431165.377124782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62695.97924806771, "return_pct": 526.9597924806772, "cagr_pct": 73.81697128493659, "max_drawdown_pct": 57.55785736276087, "mean_exposure_while_solvent": 1.218683052535636, "realized_annual_volatility_pct": 57.53418796063987, "trading_costs_quote_units": 4464.185564540409, "borrowing_costs_quote_units": 1976.3306005037539, "price_pnl_quote_units": 59136.49541311203, "turnover_quote_units": 1488061.8548468023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44010.79108573846, "return_pct": 340.1079108573846, "cagr_pct": 56.24661843524586, "max_drawdown_pct": 63.38755620585036, "mean_exposure_while_solvent": 1.2782036970878483, "realized_annual_volatility_pct": 61.442030885616475, "trading_costs_quote_units": 4318.4863704086665, "borrowing_costs_quote_units": 2173.4785608188668, "price_pnl_quote_units": 40502.75601696605, "turnover_quote_units": 1439495.4568028897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44075.69389827781, "return_pct": 340.75693898277814, "cagr_pct": 56.31597385566358, "max_drawdown_pct": 57.0154306662934, "mean_exposure_while_solvent": 1.217987743596644, "realized_annual_volatility_pct": 58.23582049550061, "trading_costs_quote_units": 3590.0985735291756, "borrowing_costs_quote_units": 1491.8899156577465, "price_pnl_quote_units": 39157.68238746448, "turnover_quote_units": 1196699.5245097259, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56626.44946078152, "return_pct": 466.2644946078152, "cagr_pct": 68.5679581149838, "max_drawdown_pct": 54.738118720309956, "mean_exposure_while_solvent": 1.2261589014524326, "realized_annual_volatility_pct": 57.642197611082345, "trading_costs_quote_units": 4754.5326420384545, "borrowing_costs_quote_units": 3602.503985519335, "price_pnl_quote_units": 54983.48608833922, "turnover_quote_units": 1584844.2140128193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57575.93522782473, "return_pct": 475.7593522782473, "cagr_pct": 69.41422098691564, "max_drawdown_pct": 54.73811872030976, "mean_exposure_while_solvent": 1.238102746626355, "realized_annual_volatility_pct": 58.13250971140593, "trading_costs_quote_units": 4769.678686818682, "borrowing_costs_quote_units": 3782.4738974337606, "price_pnl_quote_units": 56128.087812077174, "turnover_quote_units": 1589892.8956062272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 53574.42772287892, "return_pct": 435.7442772287892, "cagr_pct": 65.77869394138722, "max_drawdown_pct": 57.06982182549281, "mean_exposure_while_solvent": 1.2599971587810908, "realized_annual_volatility_pct": 59.437398138551664, "trading_costs_quote_units": 4829.148011848204, "borrowing_costs_quote_units": 4216.764250398283, "price_pnl_quote_units": 52620.339985124774, "turnover_quote_units": 1609716.0039494012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61180.60737387999, "return_pct": 511.8060737387999, "cagr_pct": 72.54093244206868, "max_drawdown_pct": 55.11112070572391, "mean_exposure_while_solvent": 1.211705163185814, "realized_annual_volatility_pct": 57.021285483144, "trading_costs_quote_units": 4507.603765918534, "borrowing_costs_quote_units": 3633.7476390742145, "price_pnl_quote_units": 59321.95877887277, "turnover_quote_units": 1502534.5886395113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59738.408846544, "return_pct": 497.3840884654401, "cagr_pct": 71.30582935281855, "max_drawdown_pct": 55.11112070572386, "mean_exposure_while_solvent": 1.2207797173555217, "realized_annual_volatility_pct": 57.433822807641235, "trading_costs_quote_units": 4395.571909860531, "borrowing_costs_quote_units": 3667.0063375068635, "price_pnl_quote_units": 57800.98709391183, "turnover_quote_units": 1465190.6366201763, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58127.31594449139, "return_pct": 481.2731594449139, "cagr_pct": 69.90119040248099, "max_drawdown_pct": 57.42360830631361, "mean_exposure_while_solvent": 1.2393524762156067, "realized_annual_volatility_pct": 58.45385722500139, "trading_costs_quote_units": 4521.424050752619, "borrowing_costs_quote_units": 4116.134680876561, "price_pnl_quote_units": 56764.87467612082, "turnover_quote_units": 1507141.3502508735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62732.529621890404, "return_pct": 527.3252962189041, "cagr_pct": 73.84748147852234, "max_drawdown_pct": 55.44641030382108, "mean_exposure_while_solvent": 1.1927291437669278, "realized_annual_volatility_pct": 56.2700627211719, "trading_costs_quote_units": 4293.991607262755, "borrowing_costs_quote_units": 3351.306656246948, "price_pnl_quote_units": 60377.8278854001, "turnover_quote_units": 1431330.5357542504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 61253.74793402913, "return_pct": 512.5374793402913, "cagr_pct": 72.60302569406953, "max_drawdown_pct": 55.44641030382101, "mean_exposure_while_solvent": 1.2018036979366356, "realized_annual_volatility_pct": 56.68807156477247, "trading_costs_quote_units": 4193.319600100045, "borrowing_costs_quote_units": 3399.1709213841036, "price_pnl_quote_units": 58846.23845551277, "turnover_quote_units": 1397773.200033348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60460.09284576784, "return_pct": 504.60092845767844, "cagr_pct": 71.9264554007037, "max_drawdown_pct": 57.74162518452126, "mean_exposure_while_solvent": 1.2187017867644778, "realized_annual_volatility_pct": 57.5350839107933, "trading_costs_quote_units": 4351.480676883119, "borrowing_costs_quote_units": 3860.5578939750076, "price_pnl_quote_units": 58672.131416625925, "turnover_quote_units": 1450493.5589610394, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42020.58782793225, "return_pct": 320.2058782793225, "cagr_pct": 54.084272775666605, "max_drawdown_pct": 63.643288257890404, "mean_exposure_while_solvent": 1.2782275413952648, "realized_annual_volatility_pct": 61.443779889457836, "trading_costs_quote_units": 4205.631222690011, "borrowing_costs_quote_units": 4229.34709777406, "price_pnl_quote_units": 40455.5661483962, "turnover_quote_units": 1401877.0742300022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42506.20428747017, "return_pct": 325.0620428747017, "cagr_pct": 54.61838537776727, "max_drawdown_pct": 57.1966561029814, "mean_exposure_while_solvent": 1.218006428862457, "realized_annual_volatility_pct": 58.23729243056353, "trading_costs_quote_units": 3504.349198036041, "borrowing_costs_quote_units": 2916.8004852698036, "price_pnl_quote_units": 38927.353970776036, "turnover_quote_units": 1168116.399345347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52527.843154252, "return_pct": 425.27843154251997, "cagr_pct": 64.79667007866053, "max_drawdown_pct": 55.10943648940376, "mean_exposure_while_solvent": 1.2261976552868763, "realized_annual_volatility_pct": 57.64415118183557, "trading_costs_quote_units": 4523.174726975631, "borrowing_costs_quote_units": 6870.540928644559, "price_pnl_quote_units": 53921.55880987201, "turnover_quote_units": 1507724.9089918784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 576, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53197.067866393, "return_pct": 431.97067866393, "cagr_pct": 65.4261706444166, "max_drawdown_pct": 55.109436489403784, "mean_exposure_while_solvent": 1.238143544765141, "realized_annual_volatility_pct": 58.13454471492573, "trading_costs_quote_units": 4521.367387835828, "borrowing_costs_quote_units": 7192.383330693164, "price_pnl_quote_units": 54910.81858492212, "turnover_quote_units": 1507122.4626119416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 604, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 49140.13594899073, "return_pct": 391.40135948990735, "cagr_pct": 61.52101913537711, "max_drawdown_pct": 57.487103790211805, "mean_exposure_while_solvent": 1.2600417131498802, "realized_annual_volatility_pct": 59.43997540250844, "trading_costs_quote_units": 4558.096210724324, "borrowing_costs_quote_units": 7985.766421938241, "price_pnl_quote_units": 51683.99858165339, "turnover_quote_units": 1519365.4035747754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 656, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57026.88917162773, "return_pct": 470.26889171627727, "cagr_pct": 68.92606424929481, "max_drawdown_pct": 55.46739149696993, "mean_exposure_while_solvent": 1.2117414391218488, "realized_annual_volatility_pct": 57.02288673831255, "trading_costs_quote_units": 4299.511200178822, "borrowing_costs_quote_units": 6950.620496994962, "price_pnl_quote_units": 58277.02086880169, "turnover_quote_units": 1433170.4000596069, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 55514.29184222099, "return_pct": 455.14291842220996, "cagr_pct": 67.56400189586789, "max_drawdown_pct": 55.46739149697002, "mean_exposure_while_solvent": 1.2208175496880795, "realized_annual_volatility_pct": 57.43560040306571, "trading_costs_quote_units": 4183.173205092601, "borrowing_costs_quote_units": 6999.345085397768, "price_pnl_quote_units": 56696.8101327113, "turnover_quote_units": 1394391.068364201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53684.313766453124, "return_pct": 436.84313766453124, "cagr_pct": 65.88102130896729, "max_drawdown_pct": 57.826099402972154, "mean_exposure_while_solvent": 1.239393490478473, "realized_annual_volatility_pct": 58.45599110829524, "trading_costs_quote_units": 4285.053186551713, "borrowing_costs_quote_units": 7826.961502114576, "price_pnl_quote_units": 55796.32845511902, "turnover_quote_units": 1428351.0621839042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58843.33509546989, "return_pct": 488.43335095469894, "cagr_pct": 70.52877104496544, "max_drawdown_pct": 55.763885283025175, "mean_exposure_while_solvent": 1.1927621699613635, "realized_annual_volatility_pct": 56.27141945178346, "trading_costs_quote_units": 4106.4092367003, "borrowing_costs_quote_units": 6432.019834338952, "price_pnl_quote_units": 59381.76416650893, "turnover_quote_units": 1368803.078900101, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57282.55784088523, "return_pct": 472.82557840885227, "cagr_pct": 69.15378595756209, "max_drawdown_pct": 55.7638852830252, "mean_exposure_while_solvent": 1.2018382805275944, "realized_annual_volatility_pct": 56.68961039696613, "trading_costs_quote_units": 4000.985709765432, "borrowing_costs_quote_units": 6510.0105844093805, "price_pnl_quote_units": 57793.55413505976, "turnover_quote_units": 1333661.9032551444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56223.19623197423, "return_pct": 462.23196231974225, "cagr_pct": 68.20554296318362, "max_drawdown_pct": 58.10688914067376, "mean_exposure_while_solvent": 1.2187392633438954, "realized_annual_volatility_pct": 57.53691302465992, "trading_costs_quote_units": 4135.710628338711, "borrowing_costs_quote_units": 7367.0022596809395, "price_pnl_quote_units": 57725.909119994285, "turnover_quote_units": 1378570.2094462365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38304.97010862867, "return_pct": 283.04970108628675, "cagr_pct": 49.84760376202543, "max_drawdown_pct": 64.14954374764154, "mean_exposure_while_solvent": 1.2782752403577509, "realized_annual_volatility_pct": 61.447313574775265, "trading_costs_quote_units": 3990.33429724359, "borrowing_costs_quote_units": 8009.981301686515, "price_pnl_quote_units": 40305.285707558935, "turnover_quote_units": 1330111.432414529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39531.82343284333, "return_pct": 295.31823432843333, "cagr_pct": 51.2770764607976, "max_drawdown_pct": 57.55694468317396, "mean_exposure_while_solvent": 1.2180438075006925, "realized_annual_volatility_pct": 58.24027375458155, "trading_costs_quote_units": 3340.0312925739677, "borrowing_costs_quote_units": 5575.907446221885, "price_pnl_quote_units": 38447.76217163944, "turnover_quote_units": 1113343.7641913225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2023_frozen_end-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023_frozen_end-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65708.13130774585, "return_pct": 557.0813130774584, "cagr_pct": 76.29075206870839, "max_drawdown_pct": 54.088776543465855, "mean_exposure_while_solvent": 1.2260166061883364, "realized_annual_volatility_pct": 56.96303646986583, "trading_costs_quote_units": 1065.134124544798, "borrowing_costs_quote_units": 1984.1712428296053, "price_pnl_quote_units": 58757.43667512022, "turnover_quote_units": 1775223.5409079974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63931.35472386029, "return_pct": 539.313547238603, "cagr_pct": 74.84137988062507, "max_drawdown_pct": 54.08877654346595, "mean_exposure_while_solvent": 1.2379812666557335, "realized_annual_volatility_pct": 57.56853513200468, "trading_costs_quote_units": 1039.6872889494045, "borrowing_costs_quote_units": 2034.9226614991167, "price_pnl_quote_units": 57005.96467430839, "turnover_quote_units": 1732812.1482490061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59575.33210022841, "return_pct": 495.75332100228405, "cagr_pct": 71.16486336683354, "max_drawdown_pct": 56.16337594064592, "mean_exposure_while_solvent": 1.2668429177035703, "realized_annual_volatility_pct": 59.05760860205257, "trading_costs_quote_units": 1049.2764430419106, "borrowing_costs_quote_units": 2346.5429436218806, "price_pnl_quote_units": 52971.15148689228, "turnover_quote_units": 1748794.071736518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70511.98533808017, "return_pct": 605.1198533808017, "cagr_pct": 80.07691889151812, "max_drawdown_pct": 54.39004314342648, "mean_exposure_while_solvent": 1.2119451586432675, "realized_annual_volatility_pct": 56.452333238562346, "trading_costs_quote_units": 1002.8807048780534, "borrowing_costs_quote_units": 1984.355559158594, "price_pnl_quote_units": 63499.22160211679, "turnover_quote_units": 1671467.841463422, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66205.46598593194, "return_pct": 562.0546598593194, "cagr_pct": 76.69152931404703, "max_drawdown_pct": 54.39004314342646, "mean_exposure_while_solvent": 1.2210396753723596, "realized_annual_volatility_pct": 56.98179566833309, "trading_costs_quote_units": 955.6579714816475, "borrowing_costs_quote_units": 1964.9730820224993, "price_pnl_quote_units": 59126.09703943601, "turnover_quote_units": 1592763.2858027464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 63990.59375088134, "return_pct": 539.9059375088133, "cagr_pct": 74.89015370066299, "max_drawdown_pct": 56.451029148071676, "mean_exposure_while_solvent": 1.2466029786905286, "realized_annual_volatility_pct": 58.246465834917906, "trading_costs_quote_units": 978.2021512302076, "borrowing_costs_quote_units": 2285.5625376802977, "price_pnl_quote_units": 57254.35843979157, "turnover_quote_units": 1630336.918717012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70454.08721144572, "return_pct": 604.5408721144572, "cagr_pct": 80.0323765169294, "max_drawdown_pct": 54.8979039660686, "mean_exposure_while_solvent": 1.1929782344621283, "realized_annual_volatility_pct": 55.6669321655638, "trading_costs_quote_units": 939.1350053933872, "borrowing_costs_quote_units": 1800.6785546243182, "price_pnl_quote_units": 63193.900771463166, "turnover_quote_units": 1565225.0089889795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66151.10398725607, "return_pct": 561.5110398725607, "cagr_pct": 76.64782432212537, "max_drawdown_pct": 54.897903966068675, "mean_exposure_while_solvent": 1.2020727511912204, "realized_annual_volatility_pct": 56.203793496367574, "trading_costs_quote_units": 894.75709522299, "borrowing_costs_quote_units": 1792.5395381512537, "price_pnl_quote_units": 58838.40062063041, "turnover_quote_units": 1491261.825371651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64774.00165183562, "return_pct": 547.7400165183562, "cagr_pct": 75.53221615525443, "max_drawdown_pct": 56.9359411647971, "mean_exposure_while_solvent": 1.225973374305503, "realized_annual_volatility_pct": 57.31704306919514, "trading_costs_quote_units": 923.6275256190164, "borrowing_costs_quote_units": 2120.8847967487523, "price_pnl_quote_units": 57818.513974203546, "turnover_quote_units": 1539379.2093650268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 48491.203599451794, "return_pct": 384.91203599451796, "cagr_pct": 60.87566861672242, "max_drawdown_pct": 63.13566683622296, "mean_exposure_while_solvent": 1.278517750642387, "realized_annual_volatility_pct": 61.01820407138771, "trading_costs_quote_units": 901.3340331617122, "borrowing_costs_quote_units": 2287.06202415059, "price_pnl_quote_units": 41679.59965676403, "turnover_quote_units": 1502223.3886028505, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 47011.477528711024, "return_pct": 370.1147752871102, "cagr_pct": 59.38120644127265, "max_drawdown_pct": 56.29210405843465, "mean_exposure_while_solvent": 1.2183320794476973, "realized_annual_volatility_pct": 57.75647530297711, "trading_costs_quote_units": 733.9735317885971, "borrowing_costs_quote_units": 1518.1121895990182, "price_pnl_quote_units": 39263.563250098734, "turnover_quote_units": 1223289.2196476609, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63289.507959404684, "return_pct": 532.8950795940468, "cagr_pct": 74.3108860524603, "max_drawdown_pct": 54.277333833435634, "mean_exposure_while_solvent": 1.2260359495547581, "realized_annual_volatility_pct": 56.964220532502054, "trading_costs_quote_units": 1038.7167847915573, "borrowing_costs_quote_units": 3873.9534804539, "price_pnl_quote_units": 58202.178224650226, "turnover_quote_units": 1731194.6413192628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61455.64468334777, "return_pct": 514.5564468334777, "cagr_pct": 72.77415903213593, "max_drawdown_pct": 54.277333833435605, "mean_exposure_while_solvent": 1.2380016349070015, "realized_annual_volatility_pct": 57.5698563875255, "trading_costs_quote_units": 1012.193216517283, "borrowing_costs_quote_units": 3967.612739072997, "price_pnl_quote_units": 56435.45063893785, "turnover_quote_units": 1686988.6941954729, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56993.60098476418, "return_pct": 469.93600984764186, "cagr_pct": 68.89636230867787, "max_drawdown_pct": 56.427449808565044, "mean_exposure_while_solvent": 1.2668657585821228, "realized_annual_volatility_pct": 59.05926556105946, "trading_costs_quote_units": 1019.0919440713619, "borrowing_costs_quote_units": 4562.736824932548, "price_pnl_quote_units": 52575.42975376826, "turnover_quote_units": 1698486.5734522713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68075.80131018336, "return_pct": 580.7580131018336, "cagr_pct": 78.18017057280345, "max_drawdown_pct": 54.57121115358362, "mean_exposure_while_solvent": 1.2119632938180127, "realized_annual_volatility_pct": 56.45332609721768, "trading_costs_quote_units": 979.2550104633852, "borrowing_costs_quote_units": 3879.89816215868, "price_pnl_quote_units": 62934.9544828053, "turnover_quote_units": 1632091.6841056414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63821.03609619804, "return_pct": 538.2103609619804, "cagr_pct": 74.75046597679705, "max_drawdown_pct": 54.571211153583675, "mean_exposure_while_solvent": 1.2210585911279679, "realized_annual_volatility_pct": 56.982969091491164, "trading_costs_quote_units": 932.1663607123476, "borrowing_costs_quote_units": 3838.317451383605, "price_pnl_quote_units": 58591.51990829422, "turnover_quote_units": 1553610.601187247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 61424.143950149955, "return_pct": 514.2414395014996, "cagr_pct": 72.74748402331757, "max_drawdown_pct": 56.70750749889368, "mean_exposure_while_solvent": 1.2466240840036906, "realized_annual_volatility_pct": 58.24789222326431, "trading_costs_quote_units": 951.9470333212614, "borrowing_costs_quote_units": 4453.105515440427, "price_pnl_quote_units": 56829.19649891161, "turnover_quote_units": 1586578.3888687694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68234.43539866275, "return_pct": 582.3443539866275, "cagr_pct": 78.3051098318383, "max_drawdown_pct": 55.058703747058225, "mean_exposure_while_solvent": 1.192994746200956, "realized_annual_volatility_pct": 55.66779116189201, "trading_costs_quote_units": 918.2693597196857, "borrowing_costs_quote_units": 3527.0028035902706, "price_pnl_quote_units": 62679.707561972915, "turnover_quote_units": 1530448.9328661424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63969.755489757845, "return_pct": 539.6975548975785, "cagr_pct": 74.87300033999237, "max_drawdown_pct": 55.05870374705819, "mean_exposure_while_solvent": 1.2020900435109112, "realized_annual_volatility_pct": 56.204838192430394, "trading_costs_quote_units": 873.9374327943847, "borrowing_costs_quote_units": 3507.6503044773794, "price_pnl_quote_units": 58351.343227029975, "turnover_quote_units": 1456562.3879906405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 62389.48436791671, "return_pct": 523.8948436791671, "cagr_pct": 73.56063617698013, "max_drawdown_pct": 57.172075672143684, "mean_exposure_while_solvent": 1.2259927122422216, "realized_annual_volatility_pct": 57.31830781626288, "trading_costs_quote_units": 900.171981689256, "borrowing_costs_quote_units": 4139.947136837316, "price_pnl_quote_units": 57429.60348644371, "turnover_quote_units": 1500286.6361487599, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 46298.87675214161, "return_pct": 362.9887675214161, "cagr_pct": 58.64975981826053, "max_drawdown_pct": 63.41695090182403, "mean_exposure_while_solvent": 1.2785415968063927, "realized_annual_volatility_pct": 61.020373296306275, "trading_costs_quote_units": 877.6649235552634, "borrowing_costs_quote_units": 4449.247128745768, "price_pnl_quote_units": 41625.788804442695, "turnover_quote_units": 1462774.8725921074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 45336.737203137905, "return_pct": 353.36737203137903, "cagr_pct": 57.6495855470506, "max_drawdown_pct": 56.47514947632148, "mean_exposure_while_solvent": 1.2183507787031205, "realized_annual_volatility_pct": 57.758281640009, "trading_costs_quote_units": 716.4112522003957, "borrowing_costs_quote_units": 2967.5168145564335, "price_pnl_quote_units": 39020.66526989456, "turnover_quote_units": 1194018.7536673255, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58714.814798611216, "return_pct": 487.1481479861122, "cagr_pct": 70.41651934402677, "max_drawdown_pct": 54.65223697929851, "mean_exposure_while_solvent": 1.226074644674349, "realized_annual_volatility_pct": 56.96662655806378, "trading_costs_quote_units": 988.0919473716255, "borrowing_costs_quote_units": 7385.479219861362, "price_pnl_quote_units": 57088.385965844485, "turnover_quote_units": 1646819.9122860418, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56786.84516400166, "return_pct": 467.8684516400166, "cagr_pct": 68.71160895114916, "max_drawdown_pct": 54.65223697929849, "mean_exposure_while_solvent": 1.238042380241347, "realized_annual_volatility_pct": 57.57253673530598, "trading_costs_quote_units": 959.651429070109, "borrowing_costs_quote_units": 7543.574162587556, "price_pnl_quote_units": 55290.070755658795, "turnover_quote_units": 1599419.0484501817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52159.61514412596, "return_pct": 421.5961514412596, "cagr_pct": 64.44790618026339, "max_drawdown_pct": 56.95098337006313, "mean_exposure_while_solvent": 1.26691145024557, "realized_annual_volatility_pct": 59.06261655636015, "trading_costs_quote_units": 961.6377883603278, "borrowing_costs_quote_units": 8628.428838427102, "price_pnl_quote_units": 51749.681770913565, "turnover_quote_units": 1602729.647267213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63451.7682368778, "return_pct": 534.517682368778, "cagr_pct": 74.44534986967138, "max_drawdown_pct": 54.93149577201966, "mean_exposure_while_solvent": 1.2119995720282133, "realized_annual_volatility_pct": 56.45534943927522, "trading_costs_quote_units": 933.8773796128266, "borrowing_costs_quote_units": 7417.906915594491, "price_pnl_quote_units": 61803.552532085516, "turnover_quote_units": 1556462.2993547115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59305.4694498692, "return_pct": 493.05469449869196, "cagr_pct": 70.93099652368777, "max_drawdown_pct": 54.9314957720196, "mean_exposure_while_solvent": 1.2210964308397514, "realized_annual_volatility_pct": 56.9853536958152, "trading_costs_quote_units": 887.1422650269427, "borrowing_costs_quote_units": 7324.494466390641, "price_pnl_quote_units": 57517.106181286705, "turnover_quote_units": 1478570.441711572, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56594.58644295638, "return_pct": 465.9458644295638, "cagr_pct": 68.53938766312378, "max_drawdown_pct": 57.216086114082046, "mean_exposure_while_solvent": 1.2466663037816677, "realized_annual_volatility_pct": 58.250782618176004, "trading_costs_quote_units": 901.8108987288418, "borrowing_costs_quote_units": 8454.591600112783, "price_pnl_quote_units": 55950.98894179773, "turnover_quote_units": 1503018.164548069, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64001.56288643543, "return_pct": 540.0156288643543, "cagr_pct": 74.8991815585029, "max_drawdown_pct": 55.37867908580997, "mean_exposure_while_solvent": 1.1930277768347375, "realized_annual_volatility_pct": 55.6695461041829, "trading_costs_quote_units": 878.0801867705067, "borrowing_costs_quote_units": 6766.848658115296, "price_pnl_quote_units": 61646.49173132112, "turnover_quote_units": 1463466.9779508447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59819.33739553939, "return_pct": 498.1933739553939, "cagr_pct": 71.37568537829995, "max_drawdown_pct": 55.37867908581, "mean_exposure_while_solvent": 1.2021246356462756, "realized_annual_volatility_pct": 56.206964885193415, "trading_costs_quote_units": 833.9266693425436, "borrowing_costs_quote_units": 6716.77367731558, "price_pnl_quote_units": 57370.03774219789, "turnover_quote_units": 1389877.782237572, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57879.3253885115, "return_pct": 478.793253885115, "cagr_pct": 69.6825708982403, "max_drawdown_pct": 57.64060103234168, "mean_exposure_while_solvent": 1.2260313964995186, "realized_annual_volatility_pct": 57.32087510337218, "trading_costs_quote_units": 855.2493605553544, "borrowing_costs_quote_units": 7888.900012225704, "price_pnl_quote_units": 56623.47476129261, "turnover_quote_units": 1425415.6009255908, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42205.98422737371, "return_pct": 322.0598422737371, "cagr_pct": 54.28869033637076, "max_drawdown_pct": 64.01881786465853, "mean_exposure_while_solvent": 1.2785892994804855, "realized_annual_volatility_pct": 61.02474741072762, "trading_costs_quote_units": 832.516206229896, "borrowing_costs_quote_units": 8422.19729477546, "price_pnl_quote_units": 41460.6977283792, "turnover_quote_units": 1387527.01038316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 42163.223395017194, "return_pct": 321.6322339501719, "cagr_pct": 54.24159812126559, "max_drawdown_pct": 56.8390581469345, "mean_exposure_while_solvent": 1.2183881853285972, "realized_annual_volatility_pct": 57.76193187660941, "trading_costs_quote_units": 682.7476807240563, "borrowing_costs_quote_units": 5670.774617007896, "price_pnl_quote_units": 38516.74569274904, "turnover_quote_units": 1137912.8012067608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64610.56156233889, "return_pct": 546.1056156233889, "cagr_pct": 75.39871436627121, "max_drawdown_pct": 54.15584264265759, "mean_exposure_while_solvent": 1.225719531388992, "realized_annual_volatility_pct": 57.12124775003723, "trading_costs_quote_units": 1029.7078348139198, "borrowing_costs_quote_units": 1943.2555841122435, "price_pnl_quote_units": 57583.52498126503, "turnover_quote_units": 1716179.7246898664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65671.43565370484, "return_pct": 556.7143565370484, "cagr_pct": 76.26109700142027, "max_drawdown_pct": 54.1558426426576, "mean_exposure_while_solvent": 1.2376612720708142, "realized_annual_volatility_pct": 57.61724338787584, "trading_costs_quote_units": 1033.4300771725439, "borrowing_costs_quote_units": 2039.8363154043461, "price_pnl_quote_units": 58744.702046281986, "turnover_quote_units": 1722383.461954238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60329.40250663538, "return_pct": 503.2940250663538, "cagr_pct": 71.81445107645499, "max_drawdown_pct": 57.00493888165459, "mean_exposure_while_solvent": 1.266582638427042, "realized_annual_volatility_pct": 59.187740821418245, "trading_costs_quote_units": 1055.7670277615748, "borrowing_costs_quote_units": 2376.7199173215977, "price_pnl_quote_units": 53761.88945171864, "turnover_quote_units": 1759611.7129359592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68846.96446195993, "return_pct": 588.4696446195993, "cagr_pct": 78.78563760629267, "max_drawdown_pct": 54.40667590135171, "mean_exposure_while_solvent": 1.211675971422867, "realized_annual_volatility_pct": 56.611868069930274, "trading_costs_quote_units": 967.5216178660744, "borrowing_costs_quote_units": 1943.2226548680542, "price_pnl_quote_units": 61757.7087346943, "turnover_quote_units": 1612536.0297767902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67343.05561106309, "return_pct": 573.4305561106308, "cagr_pct": 77.60040913273325, "max_drawdown_pct": 54.40667590135179, "mean_exposure_while_solvent": 1.220748795034217, "realized_annual_volatility_pct": 57.02932040647455, "trading_costs_quote_units": 945.0980279555191, "borrowing_costs_quote_units": 1964.230648954358, "price_pnl_quote_units": 60252.384287972745, "turnover_quote_units": 1575163.3799258664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64625.058001590274, "return_pct": 546.2505800159028, "cagr_pct": 75.4105649374971, "max_drawdown_pct": 57.36400479736006, "mean_exposure_while_solvent": 1.2463494992381126, "realized_annual_volatility_pct": 58.3189686887651, "trading_costs_quote_units": 982.2417149933692, "borrowing_costs_quote_units": 2314.0801266420985, "price_pnl_quote_units": 57921.3798432257, "turnover_quote_units": 1637069.5249889481, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69919.45332825993, "return_pct": 599.1945332825993, "cagr_pct": 79.61985652927355, "max_drawdown_pct": 54.76739360148335, "mean_exposure_while_solvent": 1.19270314678103, "realized_annual_volatility_pct": 55.85647884294922, "trading_costs_quote_units": 917.1156771664554, "borrowing_costs_quote_units": 1781.0683398587164, "price_pnl_quote_units": 62617.63734528514, "turnover_quote_units": 1528526.1286107576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68392.1167850729, "return_pct": 583.921167850729, "cagr_pct": 78.42909774559546, "max_drawdown_pct": 54.76739360148331, "mean_exposure_while_solvent": 1.2017759703923803, "realized_annual_volatility_pct": 56.279537053944985, "trading_costs_quote_units": 897.1029877306776, "borrowing_costs_quote_units": 1809.456604083546, "price_pnl_quote_units": 61098.67637688701, "turnover_quote_units": 1495171.6462177958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66534.9603892738, "return_pct": 565.349603892738, "cagr_pct": 76.95589509771108, "max_drawdown_pct": 57.70132519319348, "mean_exposure_while_solvent": 1.2257031371980274, "realized_annual_volatility_pct": 57.404568722336926, "trading_costs_quote_units": 941.2359675132303, "borrowing_costs_quote_units": 2170.148682418763, "price_pnl_quote_units": 59646.34503920569, "turnover_quote_units": 1568726.6125220524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47484.811592068545, "return_pct": 374.8481159206855, "cagr_pct": 59.86278610803622, "max_drawdown_pct": 63.003806684298254, "mean_exposure_while_solvent": 1.2782473223071644, "realized_annual_volatility_pct": 61.02339312367003, "trading_costs_quote_units": 899.0071533405081, "borrowing_costs_quote_units": 2269.299882309655, "price_pnl_quote_units": 40653.1186277183, "turnover_quote_units": 1498345.2555675143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 47729.83965465398, "return_pct": 377.29839654653983, "cagr_pct": 60.11076579029291, "max_drawdown_pct": 56.3825907515878, "mean_exposure_while_solvent": 1.217976917697472, "realized_annual_volatility_pct": 57.81310358133399, "trading_costs_quote_units": 748.9020908423943, "borrowing_costs_quote_units": 1552.302008216734, "price_pnl_quote_units": 40031.04375371287, "turnover_quote_units": 1248170.1514039903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62233.660428211806, "return_pct": 522.3366042821181, "cagr_pct": 73.42997622162164, "max_drawdown_pct": 54.23285347335369, "mean_exposure_while_solvent": 1.2257388686936415, "realized_annual_volatility_pct": 57.12215885025989, "trading_costs_quote_units": 1004.0788559827207, "borrowing_costs_quote_units": 3794.276697815594, "price_pnl_quote_units": 57032.015982010416, "turnover_quote_units": 1673464.7599712021, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63130.23123928564, "return_pct": 531.3023123928564, "cagr_pct": 74.17866016886327, "max_drawdown_pct": 54.23285347335367, "mean_exposure_while_solvent": 1.237681631232893, "realized_annual_volatility_pct": 57.61819771371712, "trading_costs_quote_units": 1005.9028207667328, "borrowing_costs_quote_units": 3976.8813523098943, "price_pnl_quote_units": 58113.01541236283, "turnover_quote_units": 1676504.7012778884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57716.58978466605, "return_pct": 477.1658978466605, "cagr_pct": 69.53875311249138, "max_drawdown_pct": 57.22354764262625, "mean_exposure_while_solvent": 1.2666054785407823, "realized_annual_volatility_pct": 59.189027837027254, "trading_costs_quote_units": 1025.135147400239, "borrowing_costs_quote_units": 4621.190517149342, "price_pnl_quote_units": 53362.9154492159, "turnover_quote_units": 1708558.5790004006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66469.63240739712, "return_pct": 564.6963240739713, "cagr_pct": 76.90355283032983, "max_drawdown_pct": 54.54469820647665, "mean_exposure_while_solvent": 1.2116941052100327, "realized_annual_volatility_pct": 56.612608570064246, "trading_costs_quote_units": 944.662859388278, "borrowing_costs_quote_units": 3799.816645971099, "price_pnl_quote_units": 61214.11191275631, "turnover_quote_units": 1574438.0989804624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64919.476586898876, "return_pct": 549.1947658689887, "cagr_pct": 75.65084569924012, "max_drawdown_pct": 54.544698206476674, "mean_exposure_while_solvent": 1.2207677067741551, "realized_annual_volatility_pct": 57.03015087462791, "trading_costs_quote_units": 921.7133372496016, "borrowing_costs_quote_units": 3836.7612652349194, "price_pnl_quote_units": 59677.95118938357, "turnover_quote_units": 1536188.895416002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62034.84671493538, "return_pct": 520.3484671493538, "cagr_pct": 73.2629365389146, "max_drawdown_pct": 57.57505832855288, "mean_exposure_while_solvent": 1.2463706049271461, "realized_annual_volatility_pct": 58.32004061442, "trading_costs_quote_units": 955.6491078667333, "borrowing_costs_quote_units": 4508.592130135185, "price_pnl_quote_units": 57499.087952937516, "turnover_quote_units": 1592748.5131112223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67718.2037528812, "return_pct": 577.1820375288121, "cagr_pct": 77.89778074954047, "max_drawdown_pct": 54.88587790956111, "mean_exposure_while_solvent": 1.1927196561374294, "realized_annual_volatility_pct": 55.857096133094956, "trading_costs_quote_units": 896.6566890156437, "borrowing_costs_quote_units": 3488.7998948267527, "price_pnl_quote_units": 62103.66033672378, "turnover_quote_units": 1494427.8150260707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66138.92967087906, "return_pct": 561.3892967087907, "cagr_pct": 76.63803319227284, "max_drawdown_pct": 54.88587790956112, "mean_exposure_while_solvent": 1.2017932577015515, "realized_annual_volatility_pct": 56.2802470821083, "trading_costs_quote_units": 876.0789195591794, "borrowing_costs_quote_units": 3540.5927741399305, "price_pnl_quote_units": 60555.60136457852, "turnover_quote_units": 1460131.532598632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64087.57086518884, "return_pct": 540.8757086518884, "cagr_pct": 74.96993070670462, "max_drawdown_pct": 57.89349266804062, "mean_exposure_while_solvent": 1.2257224746261746, "realized_annual_volatility_pct": 57.405489039159875, "trading_costs_quote_units": 917.0981438524956, "borrowing_costs_quote_units": 4235.931706882944, "price_pnl_quote_units": 59240.60071592411, "turnover_quote_units": 1528496.9064208253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 45337.84052217515, "return_pct": 353.37840522175156, "cagr_pct": 57.65074093834417, "max_drawdown_pct": 63.26210909679043, "mean_exposure_while_solvent": 1.27827116972541, "realized_annual_volatility_pct": 61.0251257108312, "trading_costs_quote_units": 875.3320499583042, "borrowing_costs_quote_units": 4415.014638918913, "price_pnl_quote_units": 40628.18721105221, "turnover_quote_units": 1458886.7499305084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 46030.732975595834, "return_pct": 360.30732975595834, "cagr_pct": 58.37248739860386, "max_drawdown_pct": 56.56628345092416, "mean_exposure_while_solvent": 1.2179956029739454, "realized_annual_volatility_pct": 57.81454276556695, "trading_costs_quote_units": 730.9065032128274, "borrowing_costs_quote_units": 3034.4722249560036, "price_pnl_quote_units": 39796.11170376438, "turnover_quote_units": 1218177.5053547116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57737.74354446589, "return_pct": 477.3774354446589, "cagr_pct": 69.5574637842453, "max_drawdown_pct": 54.51191100382714, "mean_exposure_while_solvent": 1.2257775516866374, "realized_annual_volatility_pct": 57.12401839117673, "trading_costs_quote_units": 954.9760716099224, "borrowing_costs_quote_units": 7234.37699325911, "price_pnl_quote_units": 55927.09660933531, "turnover_quote_units": 1591626.7860165362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58337.71961127866, "return_pct": 483.3771961127867, "cagr_pct": 70.08616412407329, "max_drawdown_pct": 54.511911003827194, "mean_exposure_while_solvent": 1.23772235838389, "realized_annual_volatility_pct": 57.620143672927014, "trading_costs_quote_units": 953.2984218363524, "borrowing_costs_quote_units": 7560.0035020279665, "price_pnl_quote_units": 56851.02153514304, "turnover_quote_units": 1588830.703060586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 52824.22006689584, "return_pct": 428.24220066895833, "cagr_pct": 65.07614187654396, "max_drawdown_pct": 57.708116081589246, "mean_exposure_while_solvent": 1.2666511686747575, "realized_annual_volatility_pct": 59.191638275017965, "trading_costs_quote_units": 966.8395025712434, "borrowing_costs_quote_units": 8738.091019422314, "price_pnl_quote_units": 52529.15058888944, "turnover_quote_units": 1611399.1709520728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61957.173576828645, "return_pct": 519.5717357682864, "cagr_pct": 73.19757534001499, "max_drawdown_pct": 54.87351295356733, "mean_exposure_while_solvent": 1.2117303806449986, "realized_annual_volatility_pct": 56.61412658692283, "trading_costs_quote_units": 900.7688385988109, "borrowing_costs_quote_units": 7266.116950006051, "price_pnl_quote_units": 60124.0593654335, "turnover_quote_units": 1501281.3976646876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 60329.592543537176, "return_pct": 503.29592543537177, "cagr_pct": 71.81461406505456, "max_drawdown_pct": 54.87351295356727, "mean_exposure_while_solvent": 1.2208055384529026, "realized_annual_volatility_pct": 57.03184899422259, "trading_costs_quote_units": 876.8920045166828, "borrowing_costs_quote_units": 7321.116602255864, "price_pnl_quote_units": 58527.6011503095, "turnover_quote_units": 1461486.6741944717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57160.392928493995, "return_pct": 471.6039292849399, "cagr_pct": 69.04506361109, "max_drawdown_pct": 58.04431019351085, "mean_exposure_while_solvent": 1.2464128254575626, "realized_annual_volatility_pct": 58.32222142409852, "trading_costs_quote_units": 904.8762396029505, "borrowing_costs_quote_units": 8559.626619717403, "price_pnl_quote_units": 56624.89578781472, "turnover_quote_units": 1508127.0660049166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 63520.27226185307, "return_pct": 535.2027226185306, "cagr_pct": 74.50204647949215, "max_drawdown_pct": 55.17556697025247, "mean_exposure_while_solvent": 1.1927526820056522, "realized_annual_volatility_pct": 55.85836705006197, "trading_costs_quote_units": 857.2694118315383, "borrowing_costs_quote_units": 6694.351336179575, "price_pnl_quote_units": 61071.89300986392, "turnover_quote_units": 1428782.3530525647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61851.62948177663, "return_pct": 518.5162948177664, "cagr_pct": 73.10866916339087, "max_drawdown_pct": 55.1755669702525, "mean_exposure_while_solvent": 1.2018278398135562, "realized_annual_volatility_pct": 56.28170385709155, "trading_costs_quote_units": 835.6786487703353, "borrowing_costs_quote_units": 6779.2328897499965, "price_pnl_quote_units": 59466.54102029645, "turnover_quote_units": 1392797.7479505595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59458.287976459564, "return_pct": 494.5828797645956, "cagr_pct": 71.06352235664207, "max_drawdown_pct": 58.32514048760857, "mean_exposure_while_solvent": 1.2257611578669259, "realized_annual_volatility_pct": 57.40736682127202, "trading_costs_quote_units": 870.8825126933197, "borrowing_costs_quote_units": 8071.103654952387, "price_pnl_quote_units": 58400.27414410465, "turnover_quote_units": 1451470.8544888666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 41329.65940131655, "return_pct": 313.2965940131656, "cagr_pct": 53.31685867271317, "max_drawdown_pct": 63.77345527273568, "mean_exposure_while_solvent": 1.2783188749109848, "realized_annual_volatility_pct": 61.02862628458702, "trading_costs_quote_units": 830.1757700220647, "borrowing_costs_quote_units": 8358.626273447326, "price_pnl_quote_units": 40518.46144478597, "turnover_quote_units": 1383626.2833701062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 42810.94576316477, "return_pct": 328.1094576316477, "cagr_pct": 54.95138562191444, "max_drawdown_pct": 56.931455743349126, "mean_exposure_while_solvent": 1.2180329816338968, "realized_annual_volatility_pct": 57.81745832610008, "trading_costs_quote_units": 696.3871796089306, "borrowing_costs_quote_units": 5799.18345147288, "price_pnl_quote_units": 39306.516394246675, "turnover_quote_units": 1160645.2993482167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60663.351051554244, "return_pct": 506.6335105155424, "cagr_pct": 72.1003161663009, "max_drawdown_pct": 54.697950350795296, "mean_exposure_while_solvent": 1.2260166061883364, "realized_annual_volatility_pct": 56.96231617896007, "trading_costs_quote_units": 5057.249003908907, "borrowing_costs_quote_units": 1888.2023788243155, "price_pnl_quote_units": 57608.802434287056, "turnover_quote_units": 1685749.6679696366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59132.4480410457, "return_pct": 491.324480410457, "cagr_pct": 70.78066216166035, "max_drawdown_pct": 54.697950350795324, "mean_exposure_while_solvent": 1.2379812666557335, "realized_annual_volatility_pct": 57.56716820754424, "trading_costs_quote_units": 4944.292376607163, "borrowing_costs_quote_units": 1940.5778347741425, "price_pnl_quote_units": 56017.318252426776, "turnover_quote_units": 1648097.4588690535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 55117.13443425667, "return_pct": 451.1713443425667, "cagr_pct": 67.20207871480879, "max_drawdown_pct": 56.773767841952115, "mean_exposure_while_solvent": 1.2668429177035703, "realized_annual_volatility_pct": 59.05712603614296, "trading_costs_quote_units": 4995.2663844917215, "borrowing_costs_quote_units": 2238.380469798471, "price_pnl_quote_units": 52350.78128854606, "turnover_quote_units": 1665088.7948305737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65785.12996603892, "return_pct": 557.8512996603891, "cagr_pct": 76.35293983039439, "max_drawdown_pct": 54.99415944615076, "mean_exposure_while_solvent": 1.2119451586432675, "realized_annual_volatility_pct": 56.450564120349235, "trading_costs_quote_units": 4794.236753815274, "borrowing_costs_quote_units": 1901.6187227455482, "price_pnl_quote_units": 62480.985442600344, "turnover_quote_units": 1598078.9179384233, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 61742.26058248532, "return_pct": 517.4226058248532, "cagr_pct": 73.01642919723238, "max_drawdown_pct": 54.99415944615072, "mean_exposure_while_solvent": 1.2210396753723596, "realized_annual_volatility_pct": 56.97956849537592, "trading_costs_quote_units": 4568.021607298289, "borrowing_costs_quote_units": 1883.042576972718, "price_pnl_quote_units": 58193.324766756166, "turnover_quote_units": 1522673.8690994296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59709.2927437462, "return_pct": 497.092927437462, "cagr_pct": 71.28068069496875, "max_drawdown_pct": 57.05640412932338, "mean_exposure_while_solvent": 1.2466029786905286, "realized_annual_volatility_pct": 58.24363334861995, "trading_costs_quote_units": 4680.28554394007, "borrowing_costs_quote_units": 2191.1104614022265, "price_pnl_quote_units": 56580.688749088746, "turnover_quote_units": 1560095.1813133569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66139.2909492451, "return_pct": 561.3929094924509, "cagr_pct": 76.63832376662963, "max_drawdown_pct": 55.49254404755737, "mean_exposure_while_solvent": 1.1929782344621283, "realized_annual_volatility_pct": 55.66165512051864, "trading_costs_quote_units": 4505.2031134675635, "borrowing_costs_quote_units": 1733.0590069909083, "price_pnl_quote_units": 62377.55306970388, "turnover_quote_units": 1501734.3711558566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 62074.656364397175, "return_pct": 520.7465636439717, "cagr_pct": 73.29641381016307, "max_drawdown_pct": 55.49254404755739, "mean_exposure_while_solvent": 1.2020727511912204, "realized_annual_volatility_pct": 56.198088660282075, "trading_costs_quote_units": 4291.799596655515, "borrowing_costs_quote_units": 1725.182185791919, "price_pnl_quote_units": 58091.63814684468, "turnover_quote_units": 1430599.865551839, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60827.14525677801, "return_pct": 508.2714525677801, "cagr_pct": 72.24012467308954, "max_drawdown_pct": 57.53195189484879, "mean_exposure_while_solvent": 1.225973374305503, "realized_annual_volatility_pct": 57.31264353530302, "trading_costs_quote_units": 4434.8015045142065, "borrowing_costs_quote_units": 2041.782602667536, "price_pnl_quote_units": 57303.72936395936, "turnover_quote_units": 1478267.1681714028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 45048.829299127225, "return_pct": 350.4882929912722, "cagr_pct": 57.34741553750309, "max_drawdown_pct": 63.395902605374765, "mean_exposure_while_solvent": 1.278517750642387, "realized_annual_volatility_pct": 61.02222837331607, "trading_costs_quote_units": 4306.7764072998325, "borrowing_costs_quote_units": 2182.1549587981303, "price_pnl_quote_units": 41537.760665224516, "turnover_quote_units": 1435592.1357666103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 43858.23087931754, "return_pct": 338.58230879317534, "cagr_pct": 56.08331001647733, "max_drawdown_pct": 56.82208745190294, "mean_exposure_while_solvent": 1.2183320794476973, "realized_annual_volatility_pct": 57.75581818632415, "trading_costs_quote_units": 3513.09303462047, "borrowing_costs_quote_units": 1457.2583467492761, "price_pnl_quote_units": 38828.58226068725, "turnover_quote_units": 1171031.0115401566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58430.0488184195, "return_pct": 484.30048818419505, "cagr_pct": 70.1671870120985, "max_drawdown_pct": 54.88411739169855, "mean_exposure_while_solvent": 1.2260359495547581, "realized_annual_volatility_pct": 56.96352861898052, "trading_costs_quote_units": 4932.669685192671, "borrowing_costs_quote_units": 3687.2079038556362, "price_pnl_quote_units": 57049.92640746771, "turnover_quote_units": 1644223.228397557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56842.18847217932, "return_pct": 468.42188472179316, "cagr_pct": 68.76110876922698, "max_drawdown_pct": 54.88411739169856, "mean_exposure_while_solvent": 1.2380016349070015, "realized_annual_volatility_pct": 57.56851684492135, "trading_costs_quote_units": 4814.377945152241, "borrowing_costs_quote_units": 3784.3295208883906, "price_pnl_quote_units": 55440.8959382204, "turnover_quote_units": 1604792.6483840828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 52728.011700806164, "return_pct": 427.28011700806167, "cagr_pct": 64.9855415550952, "max_drawdown_pct": 57.03436512139426, "mean_exposure_while_solvent": 1.2668657585821228, "realized_annual_volatility_pct": 59.0588116832763, "trading_costs_quote_units": 4852.476750354669, "borrowing_costs_quote_units": 4353.27200659617, "price_pnl_quote_units": 51933.76045775716, "turnover_quote_units": 1617492.2501182249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63511.9998467373, "return_pct": 535.1199984673731, "cagr_pct": 74.49520217444892, "max_drawdown_pct": 55.173060434955715, "mean_exposure_while_solvent": 1.2119632938180127, "realized_annual_volatility_pct": 56.45158499492704, "trading_costs_quote_units": 4681.946503441484, "borrowing_costs_quote_units": 3718.636127874101, "price_pnl_quote_units": 61912.58247805317, "turnover_quote_units": 1560648.8344804952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59518.26630050028, "return_pct": 495.18266300500284, "cagr_pct": 71.11547114435626, "max_drawdown_pct": 55.17306043495569, "mean_exposure_while_solvent": 1.2210585911279679, "realized_annual_volatility_pct": 56.98076934596574, "trading_costs_quote_units": 4456.386076283546, "borrowing_costs_quote_units": 3678.80406176395, "price_pnl_quote_units": 57653.45643854759, "turnover_quote_units": 1485462.0254278511, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57314.03379941877, "return_pct": 473.14033799418775, "cagr_pct": 69.18177216293951, "max_drawdown_pct": 57.30953698060601, "mean_exposure_while_solvent": 1.2466240840036906, "realized_annual_volatility_pct": 58.245088687966714, "trading_costs_quote_units": 4555.372087437484, "borrowing_costs_quote_units": 4269.754121396364, "price_pnl_quote_units": 56139.16000825338, "turnover_quote_units": 1518457.3624791624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64055.32534289806, "return_pct": 540.5532534289806, "cagr_pct": 74.94341370027628, "max_drawdown_pct": 55.65135387604827, "mean_exposure_while_solvent": 1.192994746200956, "realized_annual_volatility_pct": 55.66254134740063, "trading_costs_quote_units": 4405.586816835651, "borrowing_costs_quote_units": 3394.9172853217347, "price_pnl_quote_units": 61855.82944505553, "turnover_quote_units": 1468528.938945217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60027.42664258355, "return_pct": 500.27426642583555, "cagr_pct": 71.55500143205798, "max_drawdown_pct": 55.65135387604828, "mean_exposure_while_solvent": 1.2020900435109112, "realized_annual_volatility_pct": 56.19916008297376, "trading_costs_quote_units": 4192.421506566979, "borrowing_costs_quote_units": 3376.222404317752, "price_pnl_quote_units": 57596.07055346821, "turnover_quote_units": 1397473.835522327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58587.40589355246, "return_pct": 485.87405893552454, "cagr_pct": 70.3050687324195, "max_drawdown_pct": 57.76503469375574, "mean_exposure_while_solvent": 1.2259927122422216, "realized_annual_volatility_pct": 57.31393721355923, "trading_costs_quote_units": 4322.703232317913, "borrowing_costs_quote_units": 3986.0276535877456, "price_pnl_quote_units": 56896.136779457855, "turnover_quote_units": 1440901.0774393044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 43011.58773329573, "return_pct": 330.11587733295727, "cagr_pct": 55.16972979657984, "max_drawdown_pct": 63.698322654203565, "mean_exposure_while_solvent": 1.2785415968063927, "realized_annual_volatility_pct": 61.0244252844134, "trading_costs_quote_units": 4194.486913215785, "borrowing_costs_quote_units": 4245.910912088722, "price_pnl_quote_units": 41451.985558600296, "turnover_quote_units": 1398162.3044052615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 42295.257946738, "return_pct": 322.95257946737996, "cagr_pct": 54.38689951288369, "max_drawdown_pct": 57.00314740971273, "mean_exposure_while_solvent": 1.2183507787031205, "realized_annual_volatility_pct": 57.75764854810584, "trading_costs_quote_units": 3429.5495802368537, "borrowing_costs_quote_units": 2848.96182490652, "price_pnl_quote_units": 38573.76935188171, "turnover_quote_units": 1143183.1934122848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54205.763439552524, "return_pct": 442.0576343955252, "cagr_pct": 66.364616929107, "max_drawdown_pct": 55.254290718890346, "mean_exposure_while_solvent": 1.226074644674349, "realized_annual_volatility_pct": 56.96599164860574, "trading_costs_quote_units": 4693.890118015179, "borrowing_costs_quote_units": 7031.856967981655, "price_pnl_quote_units": 55931.510525548816, "turnover_quote_units": 1564630.0393383938, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52522.974203347316, "return_pct": 425.2297420334732, "cagr_pct": 64.79206965926542, "max_drawdown_pct": 55.25429071889037, "mean_exposure_while_solvent": 1.238042380241347, "realized_annual_volatility_pct": 57.57125213898354, "trading_costs_quote_units": 4566.0629324690935, "borrowing_costs_quote_units": 7197.6434687506135, "price_pnl_quote_units": 54286.68060456678, "turnover_quote_units": 1522020.977489696, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 48254.54364520852, "return_pct": 382.54543645208526, "cagr_pct": 60.6388132006406, "max_drawdown_pct": 57.55102544730022, "mean_exposure_while_solvent": 1.26691145024557, "realized_annual_volatility_pct": 59.06222024456861, "trading_costs_quote_units": 4580.630708970585, "borrowing_costs_quote_units": 8235.5494130392, "price_pnl_quote_units": 51070.72376721844, "turnover_quote_units": 1526876.9029901954, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 59197.30849523241, "return_pct": 491.97308495232414, "cagr_pct": 70.8370539073462, "max_drawdown_pct": 55.52885897807103, "mean_exposure_while_solvent": 1.2119995720282133, "realized_annual_volatility_pct": 56.453664615479994, "trading_costs_quote_units": 4466.238308847718, "borrowing_costs_quote_units": 7111.5398695701915, "price_pnl_quote_units": 60775.08667365082, "turnover_quote_units": 1488746.1029492402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 55306.362060369676, "return_pct": 453.06362060369673, "cagr_pct": 67.37474533470204, "max_drawdown_pct": 55.52885897807099, "mean_exposure_while_solvent": 1.2210964308397514, "realized_annual_volatility_pct": 56.9832089859808, "trading_costs_quote_units": 4242.389741306159, "borrowing_costs_quote_units": 7022.116345328675, "price_pnl_quote_units": 56570.86814700451, "turnover_quote_units": 1414129.9137687192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 52806.473390617415, "return_pct": 428.0647339061741, "cagr_pct": 65.05943834379353, "max_drawdown_pct": 57.81150050142703, "mean_exposure_while_solvent": 1.2466663037816677, "realized_annual_volatility_pct": 58.248037175559276, "trading_costs_quote_units": 4316.797552259711, "borrowing_costs_quote_units": 8109.052123422095, "price_pnl_quote_units": 55232.323066299185, "turnover_quote_units": 1438932.517419904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 60081.09960739594, "return_pct": 500.81099607395936, "cagr_pct": 71.60118236511963, "max_drawdown_pct": 55.96739165911488, "mean_exposure_while_solvent": 1.1930277768347375, "realized_annual_volatility_pct": 55.66435092951176, "trading_costs_quote_units": 4213.694413758323, "borrowing_costs_quote_units": 6514.819745072386, "price_pnl_quote_units": 60809.61376622616, "turnover_quote_units": 1404564.8045861074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56132.06296599396, "return_pct": 461.3206296599396, "cagr_pct": 68.12338740676765, "max_drawdown_pct": 55.96739165911495, "mean_exposure_while_solvent": 1.2021246356462756, "realized_annual_volatility_pct": 56.201340342233216, "trading_costs_quote_units": 4001.4150740408036, "borrowing_costs_quote_units": 6466.549999669886, "price_pnl_quote_units": 56600.0280397043, "turnover_quote_units": 1333805.024680269, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54350.96285953681, "return_pct": 443.5096285953681, "cagr_pct": 66.49869674698678, "max_drawdown_pct": 58.22752391277161, "mean_exposure_while_solvent": 1.2260313964995186, "realized_annual_volatility_pct": 57.316562488317324, "trading_costs_quote_units": 4107.980539746489, "borrowing_costs_quote_units": 7597.456025105654, "price_pnl_quote_units": 56056.399424388685, "turnover_quote_units": 1369326.846582163, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39208.15538235595, "return_pct": 292.08155382355955, "cagr_pct": 50.90299887398564, "max_drawdown_pct": 64.29592021796853, "mean_exposure_while_solvent": 1.2785892994804855, "realized_annual_volatility_pct": 61.02885455260929, "trading_costs_quote_units": 3980.2493707432295, "borrowing_costs_quote_units": 8040.143027278276, "price_pnl_quote_units": 41228.54778037754, "turnover_quote_units": 1326749.7902477414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 39333.39593370474, "return_pct": 293.3339593370474, "cagr_pct": 51.04800000883918, "max_drawdown_pct": 57.36316360561019, "mean_exposure_while_solvent": 1.2183881853285972, "realized_annual_volatility_pct": 57.76134691653749, "trading_costs_quote_units": 3269.3849894316377, "borrowing_costs_quote_units": 5445.7446060081, "price_pnl_quote_units": 38048.525529144375, "turnover_quote_units": 1089794.9964772128, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59721.90606292497, "return_pct": 497.2190606292497, "cagr_pct": 71.29157633846116, "max_drawdown_pct": 54.55618298707003, "mean_exposure_while_solvent": 1.225719531388992, "realized_annual_volatility_pct": 57.123287223607576, "trading_costs_quote_units": 4893.480634164856, "borrowing_costs_quote_units": 1851.3018460451958, "price_pnl_quote_units": 56466.68854313487, "turnover_quote_units": 1631160.2113882857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60819.37650090577, "return_pct": 508.1937650090577, "cagr_pct": 72.23349950573112, "max_drawdown_pct": 54.55618298707003, "mean_exposure_while_solvent": 1.2376612720708142, "realized_annual_volatility_pct": 57.61122136159348, "trading_costs_quote_units": 4917.767207164999, "borrowing_costs_quote_units": 1946.8479990604221, "price_pnl_quote_units": 57683.991707131114, "turnover_quote_units": 1639255.7357216654, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 55872.63994331447, "return_pct": 458.72639943314465, "cagr_pct": 67.88900912656865, "max_drawdown_pct": 57.5391753530889, "mean_exposure_while_solvent": 1.266582638427042, "realized_annual_volatility_pct": 59.18033915391976, "trading_costs_quote_units": 5029.535268316104, "borrowing_costs_quote_units": 2269.132456816447, "price_pnl_quote_units": 53171.30766844661, "turnover_quote_units": 1676511.7561053678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64306.57097396333, "return_pct": 543.0657097396332, "cagr_pct": 75.14977852085158, "max_drawdown_pct": 54.93434764665576, "mean_exposure_while_solvent": 1.211675971422867, "realized_annual_volatility_pct": 56.6144476176145, "trading_costs_quote_units": 4629.636895791861, "borrowing_costs_quote_units": 1864.3115105253648, "price_pnl_quote_units": 60800.51938028066, "turnover_quote_units": 1543212.2985972892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62883.16688101781, "return_pct": 528.8316688101781, "cagr_pct": 73.97309403456704, "max_drawdown_pct": 54.93434764665568, "mean_exposure_while_solvent": 1.220748795034217, "realized_annual_volatility_pct": 57.02457102788249, "trading_costs_quote_units": 4521.023634636162, "borrowing_costs_quote_units": 1884.0885663184665, "price_pnl_quote_units": 59288.279081972316, "turnover_quote_units": 1507007.878212053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60365.62611749167, "return_pct": 503.65626117491666, "cagr_pct": 71.84551243231138, "max_drawdown_pct": 57.89251678331606, "mean_exposure_while_solvent": 1.2463494992381126, "realized_annual_volatility_pct": 58.3149909628914, "trading_costs_quote_units": 4703.13425346614, "borrowing_costs_quote_units": 2220.5552351038864, "price_pnl_quote_units": 57289.31560606187, "turnover_quote_units": 1567711.4178220474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65695.27327357727, "return_pct": 556.9527327357728, "cagr_pct": 76.28036235004953, "max_drawdown_pct": 55.288309987657016, "mean_exposure_while_solvent": 1.19270314678103, "realized_annual_volatility_pct": 55.86075098864926, "trading_costs_quote_units": 4402.715676529931, "borrowing_costs_quote_units": 1715.70851654441, "price_pnl_quote_units": 61813.69746665185, "turnover_quote_units": 1467571.892176642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64241.130727201686, "return_pct": 542.4113072720169, "cagr_pct": 75.09608241909218, "max_drawdown_pct": 55.288309987656945, "mean_exposure_while_solvent": 1.2017759703923803, "realized_annual_volatility_pct": 56.276370874072356, "trading_costs_quote_units": 4305.472084503799, "borrowing_costs_quote_units": 1742.7135992781102, "price_pnl_quote_units": 60289.31641098322, "turnover_quote_units": 1435157.3615012658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 62526.724072161975, "return_pct": 525.2672407216197, "cagr_pct": 73.67552431321099, "max_drawdown_pct": 58.223244567220966, "mean_exposure_while_solvent": 1.2257031371980274, "realized_annual_volatility_pct": 57.40471859467278, "trading_costs_quote_units": 4521.655378585834, "borrowing_costs_quote_units": 2090.64844225356, "price_pnl_quote_units": 59139.0278930011, "turnover_quote_units": 1507218.4595286115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44099.96983795142, "return_pct": 340.99969837951426, "cagr_pct": 56.34189688719415, "max_drawdown_pct": 63.25361894746002, "mean_exposure_while_solvent": 1.2782473223071644, "realized_annual_volatility_pct": 61.01999105487587, "trading_costs_quote_units": 4295.137871551012, "borrowing_costs_quote_units": 2165.0129644313765, "price_pnl_quote_units": 40560.12067393356, "turnover_quote_units": 1431712.6238503377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 44544.988202731634, "return_pct": 345.44988202731633, "cagr_pct": 56.81535196806444, "max_drawdown_pct": 56.911609287269194, "mean_exposure_while_solvent": 1.217976917697472, "realized_annual_volatility_pct": 57.81236113173473, "trading_costs_quote_units": 3585.70769755552, "borrowing_costs_quote_units": 1490.817153846236, "price_pnl_quote_units": 39621.51305413328, "turnover_quote_units": 1195235.8991851748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57524.792122136256, "return_pct": 475.24792122136256, "cagr_pct": 69.36888741871586, "max_drawdown_pct": 54.74288834698976, "mean_exposure_while_solvent": 1.2257388686936415, "realized_annual_volatility_pct": 57.124224257350456, "trading_costs_quote_units": 4772.510317419283, "borrowing_costs_quote_units": 3615.3528219024647, "price_pnl_quote_units": 55912.65526145802, "turnover_quote_units": 1590836.772473092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58465.78590421412, "return_pct": 484.65785904214124, "cagr_pct": 70.19852383855904, "max_drawdown_pct": 54.7428883469898, "mean_exposure_while_solvent": 1.237681631232893, "realized_annual_volatility_pct": 57.61220022278988, "trading_costs_quote_units": 4787.596091035163, "borrowing_costs_quote_units": 3796.2580711500914, "price_pnl_quote_units": 57049.64006639901, "turnover_quote_units": 1595865.3636783876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 53452.65109417729, "return_pct": 434.52651094177287, "cagr_pct": 65.66512241409185, "max_drawdown_pct": 57.795173983132756, "mean_exposure_while_solvent": 1.2666054785407823, "realized_annual_volatility_pct": 59.18165054631089, "trading_costs_quote_units": 4884.520003165925, "borrowing_costs_quote_units": 4412.862698156785, "price_pnl_quote_units": 52750.03379550046, "turnover_quote_units": 1628173.3343886423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62086.099835480534, "return_pct": 520.8609983548054, "cagr_pct": 73.30603423286601, "max_drawdown_pct": 55.11345895693947, "mean_exposure_while_solvent": 1.2116941052100327, "realized_annual_volatility_pct": 56.61521312629494, "trading_costs_quote_units": 4520.8909029149245, "borrowing_costs_quote_units": 3646.015556668219, "price_pnl_quote_units": 60253.00629506396, "turnover_quote_units": 1506963.6343049752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60620.04272362676, "return_pct": 506.20042723626756, "cagr_pct": 72.06330573416821, "max_drawdown_pct": 55.11345895693941, "mean_exposure_while_solvent": 1.2207677067741551, "realized_annual_volatility_pct": 57.025425370972435, "trading_costs_quote_units": 4409.801597375442, "borrowing_costs_quote_units": 3680.7458595832013, "price_pnl_quote_units": 58710.59018058499, "turnover_quote_units": 1469933.8657918144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 57946.02149488804, "return_pct": 479.4602149488804, "cagr_pct": 69.74143202430211, "max_drawdown_pct": 58.14075211546712, "mean_exposure_while_solvent": 1.2463706049271461, "realized_annual_volatility_pct": 58.31608713934937, "trading_costs_quote_units": 4576.512532825645, "borrowing_costs_quote_units": 4327.058085097035, "price_pnl_quote_units": 56849.59211281097, "turnover_quote_units": 1525504.177608548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63627.083952182795, "return_pct": 536.270839521828, "cagr_pct": 74.59036281735072, "max_drawdown_pct": 55.447819131445584, "mean_exposure_while_solvent": 1.1927196561374294, "realized_annual_volatility_pct": 55.86139412782827, "trading_costs_quote_units": 4304.975618254165, "borrowing_costs_quote_units": 3361.1365106975163, "price_pnl_quote_units": 61293.19608113454, "turnover_quote_units": 1434991.8727513894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 62124.63913471445, "return_pct": 521.2463913471446, "cagr_pct": 73.33842476203962, "max_drawdown_pct": 55.447819131445655, "mean_exposure_while_solvent": 1.2017932577015515, "realized_annual_volatility_pct": 56.277105649605254, "trading_costs_quote_units": 4205.055404826059, "borrowing_costs_quote_units": 3410.380377470163, "price_pnl_quote_units": 59740.07491701107, "turnover_quote_units": 1401685.1349420196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60226.67779980155, "return_pct": 502.2667779980155, "cagr_pct": 71.72629479937302, "max_drawdown_pct": 58.45256196096034, "mean_exposure_while_solvent": 1.2257224746261746, "realized_annual_volatility_pct": 57.405664686518435, "trading_costs_quote_units": 4406.234884806039, "borrowing_costs_quote_units": 4081.2596694425656, "price_pnl_quote_units": 58714.1723540498, "turnover_quote_units": 1468744.9616020133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42105.71830985458, "return_pct": 321.0571830985458, "cagr_pct": 54.17821550775448, "max_drawdown_pct": 63.510277129798375, "mean_exposure_while_solvent": 1.27827116972541, "realized_annual_volatility_pct": 61.021747223710165, "trading_costs_quote_units": 4182.850845146458, "borrowing_costs_quote_units": 4212.877721431538, "price_pnl_quote_units": 40501.44687643292, "turnover_quote_units": 1394283.6150488218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 42958.82348327835, "return_pct": 329.5882348327835, "cagr_pct": 55.11237937033655, "max_drawdown_pct": 57.093242173121574, "mean_exposure_while_solvent": 1.2179956029739454, "realized_annual_volatility_pct": 57.81382550327756, "trading_costs_quote_units": 3500.068929906658, "borrowing_costs_quote_units": 2914.6877841813566, "price_pnl_quote_units": 39373.58019736601, "turnover_quote_units": 1166689.64330222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53368.80690914695, "return_pct": 433.6880690914695, "cagr_pct": 65.58682235961368, "max_drawdown_pct": 55.11414935323846, "mean_exposure_while_solvent": 1.2257775516866374, "realized_annual_volatility_pct": 57.12613567530761, "trading_costs_quote_units": 4540.702314085344, "borrowing_costs_quote_units": 6895.603274024628, "price_pnl_quote_units": 54805.112497256865, "turnover_quote_units": 1513567.438028448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 575, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 54026.970656374855, "return_pct": 440.26970656374857, "cagr_pct": 66.1991711190401, "max_drawdown_pct": 55.11414935323853, "mean_exposure_while_solvent": 1.23772235838389, "realized_annual_volatility_pct": 57.614195270425675, "trading_costs_quote_units": 4538.797316166085, "borrowing_costs_quote_units": 7219.192926218154, "price_pnl_quote_units": 55784.96089875904, "turnover_quote_units": 1512932.4387220284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 603, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 48921.21576768537, "return_pct": 389.2121576768536, "cagr_pct": 61.303976610077896, "max_drawdown_pct": 58.30274626069729, "mean_exposure_while_solvent": 1.2666511686747575, "realized_annual_volatility_pct": 59.18430968207842, "trading_costs_quote_units": 4608.48760387392, "borrowing_costs_quote_units": 8347.443059188336, "price_pnl_quote_units": 51877.14643074789, "turnover_quote_units": 1536162.5346246406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 672, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57871.21915643272, "return_pct": 478.7121915643272, "cagr_pct": 69.67541369807735, "max_drawdown_pct": 55.4696927268153, "mean_exposure_while_solvent": 1.2117303806449986, "realized_annual_volatility_pct": 56.61678116295219, "trading_costs_quote_units": 4312.042380088636, "borrowing_costs_quote_units": 6973.944917342259, "price_pnl_quote_units": 59157.20645386395, "turnover_quote_units": 1437347.4600295436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 537, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56333.890148737686, "return_pct": 463.3389014873768, "cagr_pct": 68.30520713957429, "max_drawdown_pct": 55.46969272681538, "mean_exposure_while_solvent": 1.2208055384529026, "realized_annual_volatility_pct": 57.02717125145503, "trading_costs_quote_units": 4196.590292423927, "borrowing_costs_quote_units": 7025.436318942429, "price_pnl_quote_units": 57555.91676010428, "turnover_quote_units": 1398863.4308079754, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 559, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 53392.484475597754, "return_pct": 433.9248447559776, "cagr_pct": 65.60894297107107, "max_drawdown_pct": 58.633032576980646, "mean_exposure_while_solvent": 1.2464128254575626, "realized_annual_volatility_pct": 58.31831638729932, "trading_costs_quote_units": 4334.7151650894175, "borrowing_costs_quote_units": 8217.588308690802, "price_pnl_quote_units": 55944.78794937815, "turnover_quote_units": 1444905.055029807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 620, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59682.74125274994, "return_pct": 496.8274125274994, "cagr_pct": 71.25773971529586, "max_drawdown_pct": 55.7652653967363, "mean_exposure_while_solvent": 1.1927526820056522, "realized_annual_volatility_pct": 55.862716743052665, "trading_costs_quote_units": 4116.7855711664515, "borrowing_costs_quote_units": 6450.791520328454, "price_pnl_quote_units": 60250.31834424508, "turnover_quote_units": 1372261.857055483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 489, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58097.28978440257, "return_pct": 480.97289784402574, "cagr_pct": 69.87475515060294, "max_drawdown_pct": 55.7652653967363, "mean_exposure_while_solvent": 1.2018278398135562, "realized_annual_volatility_pct": 56.27861192823425, "trading_costs_quote_units": 4012.0693063431427, "borrowing_costs_quote_units": 6531.389382629922, "price_pnl_quote_units": 58640.7484733757, "turnover_quote_units": 1337356.4354477143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 511, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 55875.94324029406, "return_pct": 458.7594324029406, "cagr_pct": 67.8919982979981, "max_drawdown_pct": 58.907608382908585, "mean_exposure_while_solvent": 1.2257611578669259, "realized_annual_volatility_pct": 57.40759395028604, "trading_costs_quote_units": 4185.214939312699, "borrowing_costs_quote_units": 7778.323302279357, "price_pnl_quote_units": 57839.48148188601, "turnover_quote_units": 1395071.6464375665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 568, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38382.614833052, "return_pct": 283.82614833052, "cagr_pct": 49.93901263770709, "max_drawdown_pct": 64.0183662658593, "mean_exposure_while_solvent": 1.2783188749109848, "realized_annual_volatility_pct": 61.025294687259404, "trading_costs_quote_units": 3968.6387720075104, "borrowing_costs_quote_units": 7978.819912502122, "price_pnl_quote_units": 40330.0735175613, "turnover_quote_units": 1322879.590669171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 698, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 39953.00333747059, "return_pct": 299.53003337470585, "cagr_pct": 51.76066157253032, "max_drawdown_pct": 57.45433481324649, "mean_exposure_while_solvent": 1.2180329816338968, "realized_annual_volatility_pct": 57.81679165184441, "trading_costs_quote_units": 3335.7707970731303, "borrowing_costs_quote_units": 5571.824374706465, "price_pnl_quote_units": 38860.598509250034, "turnover_quote_units": 1111923.5990243775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 552, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023_frozen_end-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023_frozen_end-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1773.42590043298, "return_pct": -82.2657409956702, "cagr_pct": -82.30073890761447, "max_drawdown_pct": 87.33058358026437, "mean_exposure_while_solvent": 1.1508785324522397, "realized_annual_volatility_pct": 97.69825570436505, "trading_costs_quote_units": 37.72561310395477, "borrowing_costs_quote_units": 39.341236529332996, "price_pnl_quote_units": -8149.507249933715, "turnover_quote_units": 62876.02183992464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1670.3731635168856, "return_pct": -83.29626836483115, "cagr_pct": -83.33037233651307, "max_drawdown_pct": 89.20473100428929, "mean_exposure_while_solvent": 1.1752735375092582, "realized_annual_volatility_pct": 100.66932517576308, "trading_costs_quote_units": 37.594012278966204, "borrowing_costs_quote_units": 46.46496982150867, "price_pnl_quote_units": -8245.567854382649, "turnover_quote_units": 62656.68713161038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1640.787662353137, "return_pct": -83.59212337646863, "cagr_pct": -83.62595749267152, "max_drawdown_pct": 89.39593585025504, "mean_exposure_while_solvent": 1.1781002265421885, "realized_annual_volatility_pct": 101.19878571340024, "trading_costs_quote_units": 37.63998588839794, "borrowing_costs_quote_units": 47.15828953308648, "price_pnl_quote_units": -8274.41406222538, "turnover_quote_units": 62733.30981399656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2090.328074009287, "return_pct": -79.09671925990713, "cagr_pct": -79.13405357519949, "max_drawdown_pct": 85.85037707301728, "mean_exposure_while_solvent": 1.0904597918570649, "realized_annual_volatility_pct": 93.28250818594042, "trading_costs_quote_units": 27.08655090108196, "borrowing_costs_quote_units": 26.579067698004643, "price_pnl_quote_units": -7856.00630739164, "turnover_quote_units": 45144.2515018033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1756.45974789871, "return_pct": -82.4354025210129, "cagr_pct": -82.47025806670646, "max_drawdown_pct": 89.2981625287874, "mean_exposure_while_solvent": 1.1177329996665335, "realized_annual_volatility_pct": 97.9329249707274, "trading_costs_quote_units": 33.00495229619452, "borrowing_costs_quote_units": 35.682551107861414, "price_pnl_quote_units": -8174.852748697246, "turnover_quote_units": 55008.25382699083, "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": 1, "trace": "reference-2018-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1725.3494887958118, "return_pct": -82.74650511204187, "cagr_pct": -82.78109473392969, "max_drawdown_pct": 89.48771252388681, "mean_exposure_while_solvent": 1.1205596886994638, "realized_annual_volatility_pct": 98.47714069914808, "trading_costs_quote_units": 33.105553551729166, "borrowing_costs_quote_units": 36.43714439854111, "price_pnl_quote_units": -8205.107813253908, "turnover_quote_units": 55175.922586215216, "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": 1, "trace": "reference-2018-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2453.92832618143, "return_pct": -75.46071673818571, "cagr_pct": -75.50005830106741, "max_drawdown_pct": 83.38913353504776, "mean_exposure_while_solvent": 1.0544425889367648, "realized_annual_volatility_pct": 90.14305396829687, "trading_costs_quote_units": 18.85627391328258, "borrowing_costs_quote_units": 17.059549170806207, "price_pnl_quote_units": -7510.155850734468, "turnover_quote_units": 31427.12318880431, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2131.5372253105247, "return_pct": -78.68462774689475, "cagr_pct": -78.72222367402058, "max_drawdown_pct": 87.01287349374078, "mean_exposure_while_solvent": 1.0803661995141125, "realized_annual_volatility_pct": 94.52367307947269, "trading_costs_quote_units": 26.23154751296484, "borrowing_costs_quote_units": 27.631137132716223, "price_pnl_quote_units": -7814.600090043798, "turnover_quote_units": 43719.24585494141, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2062.2929746986283, "return_pct": -79.37707025301371, "cagr_pct": -79.41422130162448, "max_drawdown_pct": 87.43476799872501, "mean_exposure_while_solvent": 1.0818126242413892, "realized_annual_volatility_pct": 94.78373124189636, "trading_costs_quote_units": 26.214400510075514, "borrowing_costs_quote_units": 27.896045973782847, "price_pnl_quote_units": -7883.596578817499, "turnover_quote_units": 43690.66751679253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1517.2522170181574, "return_pct": -84.82747782981843, "cagr_pct": -84.86011807521511, "max_drawdown_pct": 90.33219392944835, "mean_exposure_while_solvent": 1.3820844756738249, "realized_annual_volatility_pct": 125.08336164476654, "trading_costs_quote_units": 38.63262738428746, "borrowing_costs_quote_units": 75.40346362001927, "price_pnl_quote_units": -8368.71169197752, "turnover_quote_units": 64387.71230714573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1281.156903926034, "return_pct": -87.18843096073967, "cagr_pct": -87.21846136624426, "max_drawdown_pct": 92.19410921466273, "mean_exposure_while_solvent": 1.1271838182494536, "realized_annual_volatility_pct": 105.17172092462374, "trading_costs_quote_units": 31.472489750841913, "borrowing_costs_quote_units": 35.35723873137445, "price_pnl_quote_units": -8652.013367591739, "turnover_quote_units": 52454.149584736566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 99, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1759.960996653753, "return_pct": -82.40039003346247, "cagr_pct": -82.43527511135571, "max_drawdown_pct": 87.41988086913696, "mean_exposure_while_solvent": 1.1508915335185843, "realized_annual_volatility_pct": 97.7006850188872, "trading_costs_quote_units": 37.63713151929964, "borrowing_costs_quote_units": 78.44598153971381, "price_pnl_quote_units": -8123.955890287247, "turnover_quote_units": 62728.55253216608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1655.6649185131128, "return_pct": -83.44335081486886, "cagr_pct": -83.47732138365346, "max_drawdown_pct": 89.28778653013481, "mean_exposure_while_solvent": 1.1752886038771893, "realized_annual_volatility_pct": 100.67218990175559, "trading_costs_quote_units": 37.4918244676979, "borrowing_costs_quote_units": 92.62834896452776, "price_pnl_quote_units": -8214.21490805467, "turnover_quote_units": 62486.374112829835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1626.1111010898596, "return_pct": -83.7388889891014, "cagr_pct": -83.77258698534997, "max_drawdown_pct": 89.47900082570108, "mean_exposure_while_solvent": 1.1781155408999757, "realized_annual_volatility_pct": 101.20174352510591, "trading_costs_quote_units": 37.536117689123714, "borrowing_costs_quote_units": 94.00588993666068, "price_pnl_quote_units": -8242.346891284347, "turnover_quote_units": 62560.196148539486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2080.787962762473, "return_pct": -79.19212037237527, "cagr_pct": -79.2293928081435, "max_drawdown_pct": 85.91495496320702, "mean_exposure_while_solvent": 1.0904676140956222, "realized_annual_volatility_pct": 93.28393954356446, "trading_costs_quote_units": 27.041801731122003, "borrowing_costs_quote_units": 53.05555888795466, "price_pnl_quote_units": -7839.114676618458, "turnover_quote_units": 45069.66955187001, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1746.0053984580206, "return_pct": -82.5399460154198, "cagr_pct": -82.57471290661849, "max_drawdown_pct": 89.35795553774585, "mean_exposure_while_solvent": 1.117743144933999, "realized_annual_volatility_pct": 97.93547583166406, "trading_costs_quote_units": 32.94252165539055, "borrowing_costs_quote_units": 71.20506862161251, "price_pnl_quote_units": -8149.847011264986, "turnover_quote_units": 54904.20275898425, "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": 1, "trace": "reference-2018-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1714.8389926297325, "return_pct": -82.85161007370267, "cagr_pct": -82.88610841323273, "max_drawdown_pct": 89.54791730810821, "mean_exposure_while_solvent": 1.1205700819567852, "realized_annual_volatility_pct": 98.47979126811875, "trading_costs_quote_units": 33.04159125916724, "borrowing_costs_quote_units": 72.70668205106959, "price_pnl_quote_units": -8179.412734060037, "turnover_quote_units": 55069.31876527872, "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": 1, "trace": "reference-2018-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2447.165383472932, "return_pct": -75.52834616527069, "cagr_pct": -75.56765631164954, "max_drawdown_pct": 83.43491251605646, "mean_exposure_while_solvent": 1.0544472924517299, "realized_annual_volatility_pct": 90.14363211762726, "trading_costs_quote_units": 18.83461423900133, "borrowing_costs_quote_units": 34.077838953628465, "price_pnl_quote_units": -7499.922163334428, "turnover_quote_units": 31391.023731668873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2122.858951217024, "return_pct": -78.77141048782977, "cagr_pct": -78.80895208366145, "max_drawdown_pct": 87.06100258000494, "mean_exposure_while_solvent": 1.080373108609461, "realized_annual_volatility_pct": 94.52531426929043, "trading_costs_quote_units": 26.196607607084914, "borrowing_costs_quote_units": 55.17615212516661, "price_pnl_quote_units": -7795.768289050723, "turnover_quote_units": 43661.012678474835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2053.7419922187196, "return_pct": -79.4625800778128, "cagr_pct": -79.49967436529386, "max_drawdown_pct": 87.48227604880712, "mean_exposure_while_solvent": 1.0818196642796367, "realized_annual_volatility_pct": 94.78550496742915, "trading_costs_quote_units": 26.17899578580918, "borrowing_costs_quote_units": 55.703828584122, "price_pnl_quote_units": -7864.375183411345, "turnover_quote_units": 43631.65964301529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1488.3644239251046, "return_pct": -85.11635576074895, "cagr_pct": -85.14870060325865, "max_drawdown_pct": 90.50575367696338, "mean_exposure_while_solvent": 1.38211730422559, "realized_annual_volatility_pct": 125.08784254573504, "trading_costs_quote_units": 38.43019030987867, "borrowing_costs_quote_units": 149.66765222387642, "price_pnl_quote_units": -8323.537733541132, "turnover_quote_units": 64050.317183131054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1272.8358743405724, "return_pct": -87.27164125659428, "cagr_pct": -87.3015711172442, "max_drawdown_pct": 92.24196214980364, "mean_exposure_while_solvent": 1.12719482363012, "realized_annual_volatility_pct": 105.17574253486184, "trading_costs_quote_units": 31.413530956435498, "borrowing_costs_quote_units": 70.55704440608494, "price_pnl_quote_units": -8625.193550296903, "turnover_quote_units": 52355.88492739249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 99, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1733.3294754581846, "return_pct": -82.66670524541814, "cagr_pct": -82.70136368432652, "max_drawdown_pct": 87.5966426707375, "mean_exposure_while_solvent": 1.1509175413217783, "realized_annual_volatility_pct": 97.70556453471563, "trading_costs_quote_units": 37.462290960666884, "borrowing_costs_quote_units": 155.95210050252285, "price_pnl_quote_units": -8073.256133078627, "turnover_quote_units": 62437.15160111147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1626.6275766471306, "return_pct": -83.73372423352869, "cagr_pct": -83.76742704548542, "max_drawdown_pct": 89.45203266884766, "mean_exposure_while_solvent": 1.175318743172654, "realized_annual_volatility_pct": 100.67794158636443, "trading_costs_quote_units": 37.28982392825875, "borrowing_costs_quote_units": 184.05919804339845, "price_pnl_quote_units": -8152.023401381206, "turnover_quote_units": 62149.70654709791, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1597.1424211906963, "return_pct": -84.02857578809304, "cagr_pct": -84.06200066102005, "max_drawdown_pct": 89.64323098674997, "mean_exposure_while_solvent": 1.178146176285886, "realized_annual_volatility_pct": 101.20768140753881, "trading_costs_quote_units": 37.33080729020026, "borrowing_costs_quote_units": 186.77827785468926, "price_pnl_quote_units": -8178.748493664403, "turnover_quote_units": 62218.01215033381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2061.8329024727022, "return_pct": -79.38167097527298, "cagr_pct": -79.41881898025531, "max_drawdown_pct": 86.0432635091206, "mean_exposure_while_solvent": 1.090483261991883, "realized_annual_volatility_pct": 93.28681724759008, "trading_costs_quote_units": 26.952899318520934, "borrowing_costs_quote_units": 105.70240420129942, "price_pnl_quote_units": -7805.511794007485, "turnover_quote_units": 44921.49886420155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1725.2772725333132, "return_pct": -82.74722727466687, "cagr_pct": -82.78181627186322, "max_drawdown_pct": 89.47657418374936, "mean_exposure_while_solvent": 1.1177634398943819, "realized_annual_volatility_pct": 97.94059574857306, "trading_costs_quote_units": 32.81851570780729, "borrowing_costs_quote_units": 141.77321393140292, "price_pnl_quote_units": -8100.130997827484, "turnover_quote_units": 54697.52617967883, "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": 1, "trace": "reference-2018-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1694.003937864442, "return_pct": -83.05996062135557, "cagr_pct": -83.09427583375458, "max_drawdown_pct": 89.66732764851355, "mean_exposure_while_solvent": 1.1205908730076142, "realized_annual_volatility_pct": 98.4851107627986, "trading_costs_quote_units": 32.91456324196767, "borrowing_costs_quote_units": 144.74638064568202, "price_pnl_quote_units": -8128.3351182479055, "turnover_quote_units": 54857.60540327944, "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": 1, "trace": "reference-2018-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2433.6915951072056, "return_pct": -75.66308404892794, "cagr_pct": -75.702330967771, "max_drawdown_pct": 83.5261178283438, "mean_exposure_while_solvent": 1.0544567015256925, "realized_annual_volatility_pct": 90.1447984489617, "trading_costs_quote_units": 18.791639102748707, "borrowing_costs_quote_units": 67.99101618539635, "price_pnl_quote_units": -7479.525749604655, "turnover_quote_units": 31319.398504581182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2105.60346930738, "return_pct": -78.9439653069262, "cagr_pct": -78.98139766828622, "max_drawdown_pct": 87.15675314312799, "mean_exposure_while_solvent": 1.0803869297979816, "realized_annual_volatility_pct": 94.52861069721212, "trading_costs_quote_units": 26.127200566903806, "borrowing_costs_quote_units": 110.00898383942237, "price_pnl_quote_units": -7758.260346286308, "turnover_quote_units": 43545.334278172995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2036.7415284598271, "return_pct": -79.63258471540173, "cagr_pct": -79.66956494572688, "max_drawdown_pct": 87.57678042663134, "mean_exposure_while_solvent": 1.0818337474147088, "realized_annual_volatility_pct": 94.78906667683435, "trading_costs_quote_units": 26.108670143031134, "borrowing_costs_quote_units": 111.0558212806012, "price_pnl_quote_units": -7826.093980116546, "turnover_quote_units": 43514.45023838522, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1432.2129362295339, "return_pct": -85.67787063770467, "cagr_pct": -85.70962286582959, "max_drawdown_pct": 90.84367494510158, "mean_exposure_while_solvent": 1.3821829756283666, "realized_annual_volatility_pct": 125.09682017082872, "trading_costs_quote_units": 38.03242333692752, "borrowing_costs_quote_units": 294.85364593358554, "price_pnl_quote_units": -8234.900994499953, "turnover_quote_units": 63387.372228212604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1256.3510437256678, "return_pct": -87.43648956274332, "cagr_pct": -87.46621839722903, "max_drawdown_pct": 92.33681610585242, "mean_exposure_while_solvent": 1.1272168392091289, "realized_annual_volatility_pct": 105.18380439552774, "trading_costs_quote_units": 31.29641910112562, "borrowing_costs_quote_units": 140.48758772530684, "price_pnl_quote_units": -8571.864949447896, "turnover_quote_units": 52160.698501876046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 99, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1947.2178107859015, "return_pct": -80.52782189214098, "cagr_pct": -80.5641744590535, "max_drawdown_pct": 86.64112555523653, "mean_exposure_while_solvent": 1.150162976522398, "realized_annual_volatility_pct": 97.8183379713045, "trading_costs_quote_units": 38.48102171535001, "borrowing_costs_quote_units": 42.4382357625413, "price_pnl_quote_units": -7971.862931736207, "turnover_quote_units": 64135.036192250016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1691.1685043578816, "return_pct": -83.08831495642119, "cagr_pct": -83.1226050218803, "max_drawdown_pct": 89.58797635968058, "mean_exposure_while_solvent": 1.1742294572174987, "realized_annual_volatility_pct": 101.50527440401575, "trading_costs_quote_units": 36.80613230946494, "borrowing_costs_quote_units": 47.48460109337234, "price_pnl_quote_units": -8224.540762239298, "turnover_quote_units": 61343.553849108204, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1682.7638922660235, "return_pct": -83.17236107733976, "cagr_pct": -83.20657628478826, "max_drawdown_pct": 89.63972106729703, "mean_exposure_while_solvent": 1.177048894810752, "realized_annual_volatility_pct": 101.9608149130211, "trading_costs_quote_units": 36.962132349243724, "borrowing_costs_quote_units": 48.441247736332556, "price_pnl_quote_units": -8231.8327276484, "turnover_quote_units": 61603.553915406206, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2209.2106702054257, "return_pct": -77.90789329794575, "cagr_pct": -77.94595774087347, "max_drawdown_pct": 85.42604859575249, "mean_exposure_while_solvent": 1.0895312409317872, "realized_annual_volatility_pct": 93.40612254416001, "trading_costs_quote_units": 27.165461276669788, "borrowing_costs_quote_units": 28.044406044839864, "price_pnl_quote_units": -7735.579462473061, "turnover_quote_units": 45275.768794449636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1744.4725071377072, "return_pct": -82.55527492862292, "cagr_pct": -82.59002876072343, "max_drawdown_pct": 89.78888189234016, "mean_exposure_while_solvent": 1.116975242499875, "realized_annual_volatility_pct": 98.83001729992658, "trading_costs_quote_units": 32.38222704917292, "borrowing_costs_quote_units": 36.25737300068106, "price_pnl_quote_units": -8186.88789281243, "turnover_quote_units": 53970.378415288236, "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": 1, "trace": "reference-2018-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1735.8029897657698, "return_pct": -82.6419701023423, "cagr_pct": -82.6766497868977, "max_drawdown_pct": 89.83962815830826, "mean_exposure_while_solvent": 1.1197946800931282, "realized_annual_volatility_pct": 99.29783877518776, "trading_costs_quote_units": 32.542482175399904, "borrowing_costs_quote_units": 37.15879929898395, "price_pnl_quote_units": -8194.495728759823, "turnover_quote_units": 54237.4702923332, "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": 1, "trace": "reference-2018-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2562.494101674268, "return_pct": -74.37505898325732, "cagr_pct": -74.41487614731169, "max_drawdown_pct": 83.09547160208173, "mean_exposure_while_solvent": 1.05354812810904, "realized_annual_volatility_pct": 90.11397525091859, "trading_costs_quote_units": 18.870669399041667, "borrowing_costs_quote_units": 17.73007478299929, "price_pnl_quote_units": -7400.905154143677, "turnover_quote_units": 31451.11566506944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2141.4460061451773, "return_pct": -78.58553993854822, "cagr_pct": -78.6231974076892, "max_drawdown_pct": 87.4652320397969, "mean_exposure_while_solvent": 1.079484426438587, "realized_annual_volatility_pct": 95.27604275993143, "trading_costs_quote_units": 26.075697818160688, "borrowing_costs_quote_units": 28.175609645265347, "price_pnl_quote_units": -7804.302686391375, "turnover_quote_units": 43459.49636360113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2084.284067418544, "return_pct": -79.15715932581456, "cagr_pct": -79.19445449601406, "max_drawdown_pct": 87.79982447688735, "mean_exposure_while_solvent": 1.0809629371797447, "realized_annual_volatility_pct": 95.54729041246955, "trading_costs_quote_units": 26.0260629979769, "borrowing_costs_quote_units": 28.45138111175526, "price_pnl_quote_units": -7861.238488471701, "turnover_quote_units": 43376.77166329483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1679.4878138933254, "return_pct": -83.20512186106674, "cagr_pct": -83.23930775960453, "max_drawdown_pct": 89.63735894142597, "mean_exposure_while_solvent": 1.3814896503916823, "realized_annual_volatility_pct": 124.10392024436061, "trading_costs_quote_units": 40.18370058331547, "borrowing_costs_quote_units": 80.86526252902406, "price_pnl_quote_units": -8199.463222994342, "turnover_quote_units": 66972.83430552571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1434.1565095734272, "return_pct": -85.65843490426572, "cagr_pct": -85.6902080586299, "max_drawdown_pct": 91.60528959659469, "mean_exposure_while_solvent": 1.126431093466926, "realized_annual_volatility_pct": 104.76822491141445, "trading_costs_quote_units": 32.08869009587045, "borrowing_costs_quote_units": 37.29224885961419, "price_pnl_quote_units": -8496.462551471079, "turnover_quote_units": 53481.15015978407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1932.462093188823, "return_pct": -80.67537906811178, "cagr_pct": -80.71162372779125, "max_drawdown_pct": 86.73541344909815, "mean_exposure_while_solvent": 1.1501760004204518, "realized_annual_volatility_pct": 97.82024954667166, "trading_costs_quote_units": 38.390625867812545, "borrowing_costs_quote_units": 84.61894469862182, "price_pnl_quote_units": -7944.528336244742, "turnover_quote_units": 63984.37644635425, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1676.309996397085, "return_pct": -83.23690003602916, "cagr_pct": -83.27105743506222, "max_drawdown_pct": 89.66838586733653, "mean_exposure_while_solvent": 1.1742445059893296, "realized_annual_volatility_pct": 101.50802461287891, "trading_costs_quote_units": 36.708491975653224, "borrowing_costs_quote_units": 94.6623776166773, "price_pnl_quote_units": -8192.31913401056, "turnover_quote_units": 61180.819959422006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1667.7489758518805, "return_pct": -83.3225102414812, "cagr_pct": -83.35659052062424, "max_drawdown_pct": 89.72115007028523, "mean_exposure_while_solvent": 1.1770641872391783, "realized_annual_volatility_pct": 101.96358705198377, "trading_costs_quote_units": 36.86217373577476, "borrowing_costs_quote_units": 96.56369317746841, "price_pnl_quote_units": -8198.825157234882, "turnover_quote_units": 61436.95622629123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2199.1424855330565, "return_pct": -78.00857514466944, "cagr_pct": -78.04658063968391, "max_drawdown_pct": 85.49246744666745, "mean_exposure_while_solvent": 1.0895390518633954, "realized_annual_volatility_pct": 93.40736522035581, "trading_costs_quote_units": 27.12215461255384, "borrowing_costs_quote_units": 55.97978113958718, "price_pnl_quote_units": -7717.75557871479, "turnover_quote_units": 45203.59102092307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1734.0760409230986, "return_pct": -82.65923959076902, "cagr_pct": -82.6939044463603, "max_drawdown_pct": 89.84625489665741, "mean_exposure_while_solvent": 1.1169854122349765, "realized_annual_volatility_pct": 98.832637290917, "trading_costs_quote_units": 32.32319196349499, "borrowing_costs_quote_units": 72.35283690199881, "price_pnl_quote_units": -8161.247930211425, "turnover_quote_units": 53871.98660582495, "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": 1, "trace": "reference-2018-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1725.220005556613, "return_pct": -82.74779994443386, "cagr_pct": -82.78238844622986, "max_drawdown_pct": 89.89811071129033, "mean_exposure_while_solvent": 1.1198050934848254, "realized_annual_volatility_pct": 99.30048243010194, "trading_costs_quote_units": 32.48168972856936, "borrowing_costs_quote_units": 74.14690963291186, "price_pnl_quote_units": -8168.151395081936, "turnover_quote_units": 54136.14954761556, "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": 1, "trace": "reference-2018-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2555.4413317804433, "return_pct": -74.44558668219557, "cagr_pct": -74.48537456899014, "max_drawdown_pct": 83.14199805023091, "mean_exposure_while_solvent": 1.053552838289418, "realized_annual_volatility_pct": 90.11446435376682, "trading_costs_quote_units": 18.8516610872413, "borrowing_costs_quote_units": 35.417278635430286, "price_pnl_quote_units": -7390.289728496884, "turnover_quote_units": 31419.43514540217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2132.7153684122545, "return_pct": -78.67284631587745, "cagr_pct": -78.71044958777212, "max_drawdown_pct": 87.51205384435632, "mean_exposure_while_solvent": 1.0794913529203793, "realized_annual_volatility_pct": 95.2777865099263, "trading_costs_quote_units": 26.043352955884046, "borrowing_costs_quote_units": 56.26402487144596, "price_pnl_quote_units": -7784.977253760425, "turnover_quote_units": 43405.58825980672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2075.6328266734886, "return_pct": -79.24367173326512, "cagr_pct": -79.28091052392512, "max_drawdown_pct": 87.84629615264507, "mean_exposure_while_solvent": 1.080969996150459, "realized_annual_volatility_pct": 95.5491263517942, "trading_costs_quote_units": 25.993326105959365, "borrowing_costs_quote_units": 56.81334544155321, "price_pnl_quote_units": -7841.56050177902, "turnover_quote_units": 43322.21017659892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1647.5710689141074, "return_pct": -83.52428931085892, "cagr_pct": -83.55818583380069, "max_drawdown_pct": 89.82304897830605, "mean_exposure_while_solvent": 1.3815227280131253, "realized_annual_volatility_pct": 124.10793059452212, "trading_costs_quote_units": 39.97933314223343, "borrowing_costs_quote_units": 160.50299164141865, "price_pnl_quote_units": -8151.946606302222, "turnover_quote_units": 66632.22190372241, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1424.8602391182883, "return_pct": -85.75139760881711, "cagr_pct": -85.78307039868712, "max_drawdown_pct": 91.65684356714063, "mean_exposure_while_solvent": 1.126442334639004, "realized_annual_volatility_pct": 104.77183008950361, "trading_costs_quote_units": 32.02868392094498, "borrowing_costs_quote_units": 74.4160700016394, "price_pnl_quote_units": -8468.695006959131, "turnover_quote_units": 53381.13986824168, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1903.2772921827604, "return_pct": -80.9672270781724, "cagr_pct": -81.00325451585614, "max_drawdown_pct": 86.92204855734104, "mean_exposure_while_solvent": 1.1502020538996953, "realized_annual_volatility_pct": 97.82409263677285, "trading_costs_quote_units": 38.21109435776086, "borrowing_costs_quote_units": 168.21442920351328, "price_pnl_quote_units": -7890.297184255962, "turnover_quote_units": 63685.15726293476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1646.9754880595046, "return_pct": -83.53024511940495, "cagr_pct": -83.5641361758362, "max_drawdown_pct": 89.827390346219, "mean_exposure_while_solvent": 1.1742746100913912, "realized_annual_volatility_pct": 101.51354655437284, "trading_costs_quote_units": 36.514647395104895, "borrowing_costs_quote_units": 188.10645840343892, "price_pnl_quote_units": -8128.403406141941, "turnover_quote_units": 60857.745658508175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1638.111806632941, "return_pct": -83.6188819336706, "cagr_pct": -83.65269134430149, "max_drawdown_pct": 89.8821372273363, "mean_exposure_while_solvent": 1.1770947787613841, "realized_annual_volatility_pct": 101.96915284096654, "trading_costs_quote_units": 36.66376169308908, "borrowing_costs_quote_units": 191.86167051958446, "price_pnl_quote_units": -8133.362761154388, "turnover_quote_units": 61106.26948848184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2179.1380793918665, "return_pct": -78.20861920608134, "cagr_pct": -78.24650601435583, "max_drawdown_pct": 85.62443459987037, "mean_exposure_while_solvent": 1.0895546771335745, "realized_annual_volatility_pct": 93.40986529974187, "trading_costs_quote_units": 27.035907274293173, "borrowing_costs_quote_units": 111.5251316908527, "price_pnl_quote_units": -7682.300881642989, "turnover_quote_units": 45059.84545715529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1713.462969456956, "return_pct": -82.86537030543045, "cagr_pct": -82.89985664004784, "max_drawdown_pct": 89.96006703799561, "mean_exposure_while_solvent": 1.1170057561486824, "realized_annual_volatility_pct": 98.83789526315859, "trading_costs_quote_units": 32.20572884802201, "borrowing_costs_quote_units": 144.06129121025475, "price_pnl_quote_units": -8110.270010484753, "turnover_quote_units": 53676.214746703336, "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": 1, "trace": "reference-2018-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1704.2414661573673, "return_pct": -82.95758533842633, "cagr_pct": -82.99199089549204, "max_drawdown_pct": 90.0140998805998, "mean_exposure_while_solvent": 1.1198259248186753, "realized_annual_volatility_pct": 99.3057878406121, "trading_costs_quote_units": 32.360752131329065, "borrowing_costs_quote_units": 147.61458019198267, "price_pnl_quote_units": -8115.7832015193035, "turnover_quote_units": 53934.58688554844, "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": 1, "trace": "reference-2018-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2541.390123380558, "return_pct": -74.58609876619443, "cagr_pct": -74.62582766103993, "max_drawdown_pct": 83.23469252756287, "mean_exposure_while_solvent": 1.0535622607008626, "realized_annual_volatility_pct": 90.11545242580497, "trading_costs_quote_units": 18.813737274927107, "borrowing_costs_quote_units": 70.66346456421958, "price_pnl_quote_units": -7369.132674780295, "turnover_quote_units": 31356.228791545178, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2115.355974871439, "return_pct": -78.84644025128561, "cagr_pct": -78.88393454758982, "max_drawdown_pct": 87.60519920356633, "mean_exposure_while_solvent": 1.079505208901039, "realized_annual_volatility_pct": 95.28128805071596, "trading_costs_quote_units": 25.97888248296628, "borrowing_costs_quote_units": 112.18045620222654, "price_pnl_quote_units": -7746.484686443369, "turnover_quote_units": 43298.13747161048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2058.433207357623, "return_pct": -79.41566792642377, "cagr_pct": -79.45279340423542, "max_drawdown_pct": 87.93873472784533, "mean_exposure_while_solvent": 1.0809841171697274, "realized_annual_volatility_pct": 95.5528124080938, "trading_costs_quote_units": 25.92808192271446, "borrowing_costs_quote_units": 113.27025906870314, "price_pnl_quote_units": -7802.368451650976, "turnover_quote_units": 43213.469871190784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1585.5283551900188, "return_pct": -84.14471644809981, "cagr_pct": -84.1780301434112, "max_drawdown_pct": 90.18460604216861, "mean_exposure_while_solvent": 1.3815888979210837, "realized_annual_volatility_pct": 124.11596647878567, "trading_costs_quote_units": 39.57753125323052, "borrowing_costs_quote_units": 316.1772829531208, "price_pnl_quote_units": -8058.716830603627, "turnover_quote_units": 65962.55208871761, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1406.4429123654852, "return_pct": -85.93557087634515, "cagr_pct": -85.96704278113728, "max_drawdown_pct": 91.75903255177386, "mean_exposure_while_solvent": 1.1264648221550866, "realized_annual_volatility_pct": 104.77905881619647, "trading_costs_quote_units": 31.90928903215894, "borrowing_costs_quote_units": 148.16191065025828, "price_pnl_quote_units": -8413.485887952105, "turnover_quote_units": 53182.14838693158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1725.1105972317953, "return_pct": -82.74889402768204, "cagr_pct": -82.78348158295739, "max_drawdown_pct": 87.5935628178055, "mean_exposure_while_solvent": 1.1508785324522397, "realized_annual_volatility_pct": 97.7237141257723, "trading_costs_quote_units": 186.70904961458328, "borrowing_costs_quote_units": 38.85822690352941, "price_pnl_quote_units": -8049.322126250084, "turnover_quote_units": 62236.349871527775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1624.3564519357255, "return_pct": -83.75643548064275, "cagr_pct": -83.79011710225204, "max_drawdown_pct": 89.43799575720556, "mean_exposure_while_solvent": 1.1752735375092582, "realized_annual_volatility_pct": 100.70130261658178, "trading_costs_quote_units": 186.01082460169678, "borrowing_costs_quote_units": 45.90829527667252, "price_pnl_quote_units": -8143.724428185914, "turnover_quote_units": 62003.60820056559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1595.3789378448514, "return_pct": -84.04621062155148, "cagr_pct": -84.07961867545863, "max_drawdown_pct": 89.62641537803984, "mean_exposure_while_solvent": 1.1781002265421885, "realized_annual_volatility_pct": 101.22486773750667, "trading_costs_quote_units": 186.23936956611018, "borrowing_costs_quote_units": 46.59407898990389, "price_pnl_quote_units": -8171.787613599132, "turnover_quote_units": 62079.78985537008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2052.54571889595, "return_pct": -79.47454281104051, "cagr_pct": -79.51162912533889, "max_drawdown_pct": 86.07280401417387, "mean_exposure_while_solvent": 1.0904597918570649, "realized_annual_volatility_pct": 93.30801473991895, "trading_costs_quote_units": 134.40646984473733, "borrowing_costs_quote_units": 26.350384742705863, "price_pnl_quote_units": -7786.697426516608, "turnover_quote_units": 44802.156614912434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1717.6337445948195, "return_pct": -82.82366255405181, "cagr_pct": -82.85818523721547, "max_drawdown_pct": 89.49262500383097, "mean_exposure_while_solvent": 1.1177329996665335, "realized_annual_volatility_pct": 97.9657498656487, "trading_costs_quote_units": 163.6006989282982, "borrowing_costs_quote_units": 35.33307502669695, "price_pnl_quote_units": -8083.432481450177, "turnover_quote_units": 54533.56630943272, "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": 1, "trace": "reference-2018-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1686.9922213148482, "return_pct": -83.13007778685152, "cagr_pct": -83.16433071480752, "max_drawdown_pct": 89.68007007270532, "mean_exposure_while_solvent": 1.1205596886994638, "realized_annual_volatility_pct": 98.50390285595, "trading_costs_quote_units": 164.09754175683787, "borrowing_costs_quote_units": 36.07914089078468, "price_pnl_quote_units": -8112.831096037553, "turnover_quote_units": 54699.18058561262, "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": 1, "trace": "reference-2018-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2425.4647325263923, "return_pct": -75.74535267473608, "cagr_pct": -75.78456056953856, "max_drawdown_pct": 83.54242618051187, "mean_exposure_while_solvent": 1.0544425889367648, "realized_annual_volatility_pct": 90.15348053445025, "trading_costs_quote_units": 93.78479107297319, "borrowing_costs_quote_units": 16.9631544987159, "price_pnl_quote_units": -7463.787321901905, "turnover_quote_units": 31261.597024324405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2098.4226513933763, "return_pct": -79.01577348606624, "cagr_pct": -79.05315991500055, "max_drawdown_pct": 87.16320416501439, "mean_exposure_while_solvent": 1.0803661995141125, "realized_annual_volatility_pct": 94.54239619033733, "trading_costs_quote_units": 130.3112238936614, "borrowing_costs_quote_units": 27.428597044545022, "price_pnl_quote_units": -7743.837527668433, "turnover_quote_units": 43437.07463122046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2029.8802811044243, "return_pct": -79.70119718895576, "cagr_pct": -79.7381309287958, "max_drawdown_pct": 87.5825021614695, "mean_exposure_while_solvent": 1.0818126242413892, "realized_annual_volatility_pct": 94.80345928791402, "trading_costs_quote_units": 130.22472299107153, "borrowing_costs_quote_units": 27.69025338437523, "price_pnl_quote_units": -7812.204742520142, "turnover_quote_units": 43408.240997023844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1469.6135497344844, "return_pct": -85.30386450265516, "cagr_pct": -85.33601418508533, "max_drawdown_pct": 90.60076917076088, "mean_exposure_while_solvent": 1.3820844756738249, "realized_annual_volatility_pct": 125.11448755967436, "trading_costs_quote_units": 190.80951468361397, "borrowing_costs_quote_units": 74.1900620164829, "price_pnl_quote_units": -8265.386873565409, "turnover_quote_units": 63603.171561204574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1251.4037797645115, "return_pct": -87.48596220235488, "cagr_pct": -87.51563022698419, "max_drawdown_pct": 92.34471910732586, "mean_exposure_while_solvent": 1.1271838182494536, "realized_annual_volatility_pct": 105.18515472150631, "trading_costs_quote_units": 156.05434453360562, "borrowing_costs_quote_units": 35.033647716597024, "price_pnl_quote_units": -8557.508227985289, "turnover_quote_units": 52018.11484453521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 99, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1712.0077306429364, "return_pct": -82.87992269357063, "cagr_pct": -82.91439631845086, "max_drawdown_pct": 87.68103570409774, "mean_exposure_while_solvent": 1.1508915335185843, "realized_annual_volatility_pct": 97.72618973492621, "trading_costs_quote_units": 186.27477558654562, "borrowing_costs_quote_units": 77.48373622450686, "price_pnl_quote_units": -8024.23375754601, "turnover_quote_units": 62091.59186218186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1610.0486374412922, "return_pct": -83.89951362558708, "cagr_pct": -83.93306091535366, "max_drawdown_pct": 89.51928670460634, "mean_exposure_while_solvent": 1.1752886038771893, "realized_annual_volatility_pct": 100.70422158665349, "trading_costs_quote_units": 185.5093086369024, "borrowing_costs_quote_units": 91.52000250706281, "price_pnl_quote_units": -8112.922051414749, "turnover_quote_units": 61836.436212300774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1581.1038101155116, "return_pct": -84.18896189884488, "cagr_pct": -84.22223298449872, "max_drawdown_pct": 89.70770488622618, "mean_exposure_while_solvent": 1.1781155408999757, "realized_annual_volatility_pct": 101.22787961165403, "trading_costs_quote_units": 185.7296095858553, "borrowing_costs_quote_units": 92.88259925166163, "price_pnl_quote_units": -8140.283981046987, "turnover_quote_units": 61909.869861951775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2043.175680811043, "return_pct": -79.56824319188956, "cagr_pct": -79.60526677909188, "max_drawdown_pct": 86.13638279617213, "mean_exposure_while_solvent": 1.0904676140956222, "realized_annual_volatility_pct": 93.30947430548613, "trading_costs_quote_units": 134.18569175171777, "borrowing_costs_quote_units": 52.59931515628994, "price_pnl_quote_units": -7770.039312280941, "turnover_quote_units": 44728.56391723926, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1707.4060396220384, "return_pct": -82.92593960377963, "cagr_pct": -82.96037294555532, "max_drawdown_pct": 89.55136049693982, "mean_exposure_while_solvent": 1.117743144933999, "realized_annual_volatility_pct": 97.96834482503205, "trading_costs_quote_units": 163.29336334086338, "borrowing_costs_quote_units": 70.50822630459942, "price_pnl_quote_units": -8058.792370732504, "turnover_quote_units": 54431.121113621106, "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": 1, "trace": "reference-2018-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1676.7109588383921, "return_pct": -83.23289041161608, "cagr_pct": -83.26705141037274, "max_drawdown_pct": 89.73920206841314, "mean_exposure_while_solvent": 1.1205700819567852, "realized_annual_volatility_pct": 98.50659742164038, "trading_costs_quote_units": 163.78267536770844, "borrowing_costs_quote_units": 71.99287894433823, "price_pnl_quote_units": -8087.513486849562, "turnover_quote_units": 54594.225122569536, "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": 1, "trace": "reference-2018-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2418.7811004899872, "return_pct": -75.81218899510013, "cagr_pct": -75.851364951697, "max_drawdown_pct": 83.58777681626688, "mean_exposure_while_solvent": 1.0544472924517299, "realized_annual_volatility_pct": 90.1540761481337, "trading_costs_quote_units": 93.67756285351282, "borrowing_costs_quote_units": 33.885349752704094, "price_pnl_quote_units": -7453.655986903795, "turnover_quote_units": 31225.85428450426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2089.8775119391203, "return_pct": -79.1012248806088, "cagr_pct": -79.13855628464243, "max_drawdown_pct": 87.21078863429695, "mean_exposure_while_solvent": 1.080373108609461, "realized_annual_volatility_pct": 94.54407141834646, "trading_costs_quote_units": 130.13867796561422, "borrowing_costs_quote_units": 54.7718904984085, "price_pnl_quote_units": -7725.211919596883, "turnover_quote_units": 43379.55932187145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2021.462453100293, "return_pct": -79.78537546899706, "cagr_pct": -79.82225180959657, "max_drawdown_pct": 87.62946132831283, "mean_exposure_while_solvent": 1.0818196642796367, "realized_annual_volatility_pct": 94.80526778021611, "trading_costs_quote_units": 130.04989706713167, "borrowing_costs_quote_units": 55.29308902590748, "price_pnl_quote_units": -7793.194560806685, "turnover_quote_units": 43349.965689043915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1441.6251592276662, "return_pct": -85.58374840772333, "cagr_pct": -85.61560169697177, "max_drawdown_pct": 90.7695571188304, "mean_exposure_while_solvent": 1.38211730422559, "realized_annual_volatility_pct": 125.11901906083227, "trading_costs_quote_units": 189.81887747991317, "borrowing_costs_quote_units": 147.2650253207304, "price_pnl_quote_units": -8221.290937971662, "turnover_quote_units": 63272.959159971055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1243.268968480529, "return_pct": -87.56731031519472, "cagr_pct": -87.59687786443831, "max_drawdown_pct": 92.3916930387161, "mean_exposure_while_solvent": 1.12719482363012, "realized_annual_volatility_pct": 105.18922270761854, "trading_costs_quote_units": 155.7639432439677, "borrowing_costs_quote_units": 69.91181291644467, "price_pnl_quote_units": -8531.055275359036, "turnover_quote_units": 51921.314414655935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 99, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1686.09097667433, "return_pct": -83.1390902332567, "cagr_pct": -83.17333513144895, "max_drawdown_pct": 87.85419558510841, "mean_exposure_while_solvent": 1.1509175413217783, "realized_annual_volatility_pct": 97.7311620448021, "trading_costs_quote_units": 185.4166100580194, "borrowing_costs_quote_units": 154.04257812783578, "price_pnl_quote_units": -7974.449835139801, "turnover_quote_units": 61805.53668600647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1581.800649724533, "return_pct": -84.18199350275466, "cagr_pct": -84.21527130853936, "max_drawdown_pct": 89.68005116052264, "mean_exposure_while_solvent": 1.175318743172654, "realized_annual_volatility_pct": 100.71008196577556, "trading_costs_quote_units": 184.5178887869532, "borrowing_costs_quote_units": 181.8623297710215, "price_pnl_quote_units": -8051.819131717489, "turnover_quote_units": 61505.96292898438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1552.926322616817, "return_pct": -84.47073677383183, "cagr_pct": -84.50373317073802, "max_drawdown_pct": 89.86843240728584, "mean_exposure_while_solvent": 1.178146176285886, "realized_annual_volatility_pct": 101.23392582512703, "trading_costs_quote_units": 184.72195117208798, "borrowing_costs_quote_units": 184.55202561529873, "price_pnl_quote_units": -8077.799700595779, "turnover_quote_units": 61573.983724029276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2024.558326461158, "return_pct": -79.75441673538842, "cagr_pct": -79.79131423246206, "max_drawdown_pct": 86.2627076523648, "mean_exposure_while_solvent": 1.090483261991883, "realized_annual_volatility_pct": 93.31240842796909, "trading_costs_quote_units": 133.74707161096958, "borrowing_costs_quote_units": 104.79438016054074, "price_pnl_quote_units": -7736.90022176733, "turnover_quote_units": 44582.35720365652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1687.1271651935563, "return_pct": -83.12872834806444, "cagr_pct": -83.16298247784863, "max_drawdown_pct": 89.66788197248096, "mean_exposure_while_solvent": 1.1177634398943819, "realized_annual_volatility_pct": 97.9735529657568, "trading_costs_quote_units": 162.68289404472887, "borrowing_costs_quote_units": 140.38791619428986, "price_pnl_quote_units": -8009.80202456741, "turnover_quote_units": 54227.63134824296, "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": 1, "trace": "reference-2018-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1656.3301986803651, "return_pct": -83.43669801319635, "cagr_pct": -83.47067464812577, "max_drawdown_pct": 89.8564853566647, "mean_exposure_while_solvent": 1.1205908730076142, "realized_annual_volatility_pct": 98.51200493788906, "trading_costs_quote_units": 163.1573471190695, "borrowing_costs_quote_units": 143.32753428463326, "price_pnl_quote_units": -8037.184919915931, "turnover_quote_units": 54385.78237302317, "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": 1, "trace": "reference-2018-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2405.465029701685, "return_pct": -75.94534970298315, "cagr_pct": -75.98446139879027, "max_drawdown_pct": 83.67813072454892, "mean_exposure_while_solvent": 1.0544567015256925, "realized_annual_volatility_pct": 90.15527738878114, "trading_costs_quote_units": 93.46481020232844, "borrowing_costs_quote_units": 67.6072304979102, "price_pnl_quote_units": -7433.462929598084, "turnover_quote_units": 31154.936734109477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2072.8865225050754, "return_pct": -79.27113477494925, "cagr_pct": -79.308355582158, "max_drawdown_pct": 87.30545708110932, "mean_exposure_while_solvent": 1.0803869297979816, "realized_annual_volatility_pct": 94.54743593012529, "trading_costs_quote_units": 129.7959181667832, "borrowing_costs_quote_units": 109.20371789441154, "price_pnl_quote_units": -7688.113841433722, "turnover_quote_units": 43265.306055594374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2004.7264943885855, "return_pct": -79.95273505611415, "cagr_pct": -79.98949608802741, "max_drawdown_pct": 87.72287520452493, "mean_exposure_while_solvent": 1.0818337474147088, "realized_annual_volatility_pct": 94.80889903002279, "trading_costs_quote_units": 129.7026315149539, "borrowing_costs_quote_units": 110.23770699276903, "price_pnl_quote_units": -7755.333167103691, "turnover_quote_units": 43234.210504984614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1387.2210498723634, "return_pct": -86.12778950127637, "cagr_pct": -86.15904881068012, "max_drawdown_pct": 91.09819331778668, "mean_exposure_while_solvent": 1.3821829756283666, "realized_annual_volatility_pct": 125.12809811404644, "trading_costs_quote_units": 187.8722523783883, "borrowing_costs_quote_units": 290.1432873816859, "price_pnl_quote_units": -8134.763410367542, "turnover_quote_units": 62624.08412612952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1227.1530446455768, "return_pct": -87.72846955354423, "cagr_pct": -87.7578362536863, "max_drawdown_pct": 92.48480472801063, "mean_exposure_while_solvent": 1.1272168392091289, "realized_annual_volatility_pct": 105.19737736540804, "trading_costs_quote_units": 155.1871012680357, "borrowing_costs_quote_units": 139.20487737092654, "price_pnl_quote_units": -8478.454976715462, "turnover_quote_units": 51729.03375601189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 99, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1896.3615217368435, "return_pct": -81.03638478263157, "cagr_pct": -81.07236000074496, "max_drawdown_pct": 86.90621308757846, "mean_exposure_while_solvent": 1.150162976522398, "realized_annual_volatility_pct": 97.82351596875841, "trading_costs_quote_units": 190.49181436569714, "borrowing_costs_quote_units": 41.93884818756645, "price_pnl_quote_units": -7871.207815709876, "turnover_quote_units": 63497.271455232316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1646.0680637402122, "return_pct": -83.53931936259788, "cagr_pct": -83.57320208555346, "max_drawdown_pct": 89.80656154466166, "mean_exposure_while_solvent": 1.1742294572174987, "realized_annual_volatility_pct": 101.53698589702145, "trading_costs_quote_units": 182.1619755827363, "borrowing_costs_quote_units": 46.93158753373701, "price_pnl_quote_units": -8124.838373143317, "turnover_quote_units": 60720.658527578795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1637.8206040481728, "return_pct": -83.62179395951827, "cagr_pct": -83.65560067853376, "max_drawdown_pct": 89.85763475034227, "mean_exposure_while_solvent": 1.177048894810752, "realized_annual_volatility_pct": 101.99332201513343, "trading_costs_quote_units": 182.93430631893042, "borrowing_costs_quote_units": 47.877774195712064, "price_pnl_quote_units": -8131.367315437179, "turnover_quote_units": 60978.102106310194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2170.782570914555, "return_pct": -78.29217429085445, "cagr_pct": -78.33001090616591, "max_drawdown_pct": 85.64520663109376, "mean_exposure_while_solvent": 1.0895312409317872, "realized_annual_volatility_pct": 93.41902320156558, "trading_costs_quote_units": 134.82582499526882, "borrowing_costs_quote_units": 27.81611534508967, "price_pnl_quote_units": -7666.575488745079, "turnover_quote_units": 44941.9416650896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1706.6638190933306, "return_pct": -82.9333618090667, "cagr_pct": -82.96778864021603, "max_drawdown_pct": 89.96989103248048, "mean_exposure_while_solvent": 1.116975242499875, "realized_annual_volatility_pct": 98.86469525070983, "trading_costs_quote_units": 160.54289497994344, "borrowing_costs_quote_units": 35.910440304127896, "price_pnl_quote_units": -8096.8828456225965, "turnover_quote_units": 53514.29832664783, "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": 1, "trace": "reference-2018-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1698.1127504188978, "return_pct": -83.01887249581102, "cagr_pct": -83.05322405244296, "max_drawdown_pct": 90.02014589206897, "mean_exposure_while_solvent": 1.1197946800931282, "realized_annual_volatility_pct": 99.33331699622505, "trading_costs_quote_units": 161.33611812141305, "borrowing_costs_quote_units": 36.80210515391469, "price_pnl_quote_units": -8103.7490263057925, "turnover_quote_units": 53778.706040471014, "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": 1, "trace": "reference-2018-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2533.6081686956386, "return_pct": -74.66391831304362, "cagr_pct": -74.70361415519397, "max_drawdown_pct": 83.24593986210404, "mean_exposure_while_solvent": 1.05354812810904, "realized_annual_volatility_pct": 90.11571636474233, "trading_costs_quote_units": 93.86424653622346, "borrowing_costs_quote_units": 17.6320083074444, "price_pnl_quote_units": -7354.895576460677, "turnover_quote_units": 31288.082178741155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2108.530886418837, "return_pct": -78.91469113581164, "cagr_pct": -78.95214214227391, "max_drawdown_pct": 87.60810751622026, "mean_exposure_while_solvent": 1.079484426438587, "realized_annual_volatility_pct": 95.307801508978, "trading_costs_quote_units": 129.54431308317763, "borrowing_costs_quote_units": 27.9692403177082, "price_pnl_quote_units": -7733.9555601802585, "turnover_quote_units": 43181.43769439257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2052.001620462122, "return_pct": -79.47998379537879, "cagr_pct": -79.51706648061915, "max_drawdown_pct": 87.94033152604368, "mean_exposure_while_solvent": 1.0809629371797447, "realized_annual_volatility_pct": 95.57503003075945, "trading_costs_quote_units": 129.29814978344064, "borrowing_costs_quote_units": 28.241757429675268, "price_pnl_quote_units": -7790.458472324753, "turnover_quote_units": 43099.383261146904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1628.388284740116, "return_pct": -83.71611715259884, "cagr_pct": -83.74983636764611, "max_drawdown_pct": 89.91856075008025, "mean_exposure_while_solvent": 1.3814896503916823, "realized_annual_volatility_pct": 124.1157500932845, "trading_costs_quote_units": 198.49604966155215, "borrowing_costs_quote_units": 79.56882994836917, "price_pnl_quote_units": -8093.5468356499605, "turnover_quote_units": 66165.34988718397, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1401.6611827117172, "return_pct": -85.98338817288283, "cagr_pct": -86.01480747299317, "max_drawdown_pct": 91.76239969415325, "mean_exposure_while_solvent": 1.126431093466926, "realized_annual_volatility_pct": 104.7905007427232, "trading_costs_quote_units": 159.1177187367555, "borrowing_costs_quote_units": 36.95065246407342, "price_pnl_quote_units": -8402.270446087432, "turnover_quote_units": 53039.23957891852, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1881.980953333724, "return_pct": -81.18019046666276, "cagr_pct": -81.21605617732682, "max_drawdown_pct": 86.99868936370785, "mean_exposure_while_solvent": 1.1501760004204518, "realized_annual_volatility_pct": 97.8254567335405, "trading_costs_quote_units": 190.04773513979842, "borrowing_costs_quote_units": 83.6240438719086, "price_pnl_quote_units": -7844.347267654568, "turnover_quote_units": 63349.24504659947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1631.595619902849, "return_pct": -83.68404380097151, "cagr_pct": -83.71779284035263, "max_drawdown_pct": 89.88534019483993, "mean_exposure_while_solvent": 1.1742445059893296, "realized_annual_volatility_pct": 101.53977517333284, "trading_costs_quote_units": 181.6824464580577, "borrowing_costs_quote_units": 93.56126843970112, "price_pnl_quote_units": -8093.160665199409, "turnover_quote_units": 60560.81548601925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1623.196549028029, "return_pct": -83.76803450971971, "cagr_pct": -83.80170529507576, "max_drawdown_pct": 89.93740808687268, "mean_exposure_while_solvent": 1.1770641872391783, "realized_annual_volatility_pct": 101.99613175831594, "trading_costs_quote_units": 182.4433831662624, "borrowing_costs_quote_units": 95.44182480165988, "price_pnl_quote_units": -8098.91824300406, "turnover_quote_units": 60814.46105542078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2160.8821170780056, "return_pct": -78.39117882921994, "cagr_pct": -78.4289554955378, "max_drawdown_pct": 85.71067563337257, "mean_exposure_while_solvent": 1.0895390518633954, "realized_annual_volatility_pct": 93.42029202419707, "trading_costs_quote_units": 134.61201009567353, "borrowing_costs_quote_units": 55.52428212115946, "price_pnl_quote_units": -7648.981590705152, "turnover_quote_units": 44870.670031891146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1696.484146723317, "return_pct": -83.03515853276683, "cagr_pct": -83.06949569727766, "max_drawdown_pct": 90.0263029317842, "mean_exposure_while_solvent": 1.1169854122349765, "realized_annual_volatility_pct": 98.86735557114046, "trading_costs_quote_units": 160.2521310302932, "borrowing_costs_quote_units": 71.6610350100928, "price_pnl_quote_units": -8071.602687236311, "turnover_quote_units": 53417.37701009775, "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": 1, "trace": "reference-2018-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1687.7510449593, "return_pct": -83.122489550407, "cagr_pct": -83.15674923494686, "max_drawdown_pct": 90.07764518076922, "mean_exposure_while_solvent": 1.1198050934848254, "realized_annual_volatility_pct": 99.33599950539252, "trading_costs_quote_units": 161.03670085879475, "borrowing_costs_quote_units": 73.43568738706955, "price_pnl_quote_units": -8077.776566794832, "turnover_quote_units": 53678.90028626493, "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": 1, "trace": "reference-2018-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2526.631064457002, "return_pct": -74.73368935542997, "cagr_pct": -74.77335533139973, "max_drawdown_pct": 83.29207755042016, "mean_exposure_while_solvent": 1.053552838289418, "realized_annual_volatility_pct": 90.11622040276896, "trading_costs_quote_units": 93.77012217554146, "borrowing_costs_quote_units": 35.221432872441724, "price_pnl_quote_units": -7344.3773804949915, "turnover_quote_units": 31256.70739184714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2099.9285298368723, "return_pct": -79.00071470163128, "cagr_pct": -79.03811078619341, "max_drawdown_pct": 87.65443752483675, "mean_exposure_while_solvent": 1.0794913529203793, "realized_annual_volatility_pct": 95.3095781417168, "trading_costs_quote_units": 129.38453752967456, "borrowing_costs_quote_units": 55.85211564905284, "price_pnl_quote_units": -7714.834816984385, "turnover_quote_units": 43128.1791765582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2043.4790528747496, "return_pct": -79.5652094712525, "cagr_pct": -79.60223509702907, "max_drawdown_pct": 87.98630622161583, "mean_exposure_while_solvent": 1.080969996150459, "realized_annual_volatility_pct": 95.57689774754068, "trading_costs_quote_units": 129.13645066974968, "borrowing_costs_quote_units": 56.394954079395184, "price_pnl_quote_units": -7770.9895423760945, "turnover_quote_units": 43045.48355658323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1597.4277798088806, "return_pct": -84.0257222019112, "cagr_pct": -84.05914979432426, "max_drawdown_pct": 90.09930351578276, "mean_exposure_while_solvent": 1.3815227280131253, "realized_annual_volatility_pct": 124.11980012631236, "trading_costs_quote_units": 197.4954315713523, "borrowing_costs_quote_units": 157.93559152877253, "price_pnl_quote_units": -8047.141197090979, "turnover_quote_units": 65831.81052378402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1392.5657013027733, "return_pct": -86.07434298697227, "cagr_pct": -86.10566171184692, "max_drawdown_pct": 91.81305143392741, "mean_exposure_while_solvent": 1.126442334639004, "realized_annual_volatility_pct": 104.79413649521838, "trading_costs_quote_units": 158.8220382938916, "borrowing_costs_quote_units": 73.73495425733105, "price_pnl_quote_units": -8374.87730614602, "turnover_quote_units": 52940.6794312972, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1853.5383751684046, "return_pct": -81.46461624831596, "cagr_pct": -81.50026166773101, "max_drawdown_pct": 87.1817372883453, "mean_exposure_while_solvent": 1.1502020538996953, "realized_annual_volatility_pct": 97.82935827283906, "trading_costs_quote_units": 189.16575822988017, "borrowing_costs_quote_units": 166.2400139789157, "price_pnl_quote_units": -7791.055852622801, "turnover_quote_units": 63055.252743293415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 119, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1603.0235653298491, "return_pct": -83.96976434670151, "cagr_pct": -84.00324514991063, "max_drawdown_pct": 90.04111845733217, "mean_exposure_while_solvent": 1.1742746100913912, "realized_annual_volatility_pct": 101.54537532830894, "trading_costs_quote_units": 180.73042523044037, "borrowing_costs_quote_units": 185.92374994042635, "price_pnl_quote_units": -8030.322259499308, "turnover_quote_units": 60243.47507681348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 135, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1594.3311484348092, "return_pct": -84.05668851565191, "cagr_pct": -84.0900865658562, "max_drawdown_pct": 90.09512062676339, "mean_exposure_while_solvent": 1.1770947787613841, "realized_annual_volatility_pct": 102.00177283255205, "trading_costs_quote_units": 181.4689128273718, "borrowing_costs_quote_units": 189.6380789351672, "price_pnl_quote_units": -8034.561859802682, "turnover_quote_units": 60489.637609123936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2141.21107302967, "return_pct": -78.58788926970331, "cagr_pct": -78.62554528577465, "max_drawdown_pct": 85.84075488518155, "mean_exposure_while_solvent": 1.0895546771335745, "realized_annual_volatility_pct": 93.42284445130105, "trading_costs_quote_units": 134.18618562124973, "borrowing_costs_quote_units": 110.61844480507165, "price_pnl_quote_units": -7613.984296543994, "turnover_quote_units": 44728.728540416574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 72, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1676.3010619408053, "return_pct": -83.23698938059194, "cagr_pct": -83.27114669940161, "max_drawdown_pct": 90.13820758213336, "mean_exposure_while_solvent": 1.1170057561486824, "realized_annual_volatility_pct": 98.8726942764655, "trading_costs_quote_units": 159.67358801708573, "borrowing_costs_quote_units": 142.68589609255304, "price_pnl_quote_units": -8021.339453949587, "turnover_quote_units": 53224.52933902861, "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": 1, "trace": "reference-2018-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1667.2112968324655, "return_pct": -83.32788703167535, "cagr_pct": -83.36196245055761, "max_drawdown_pct": 90.19168328447635, "mean_exposure_while_solvent": 1.1198259248186753, "realized_annual_volatility_pct": 99.34138269685148, "trading_costs_quote_units": 160.4410491370925, "borrowing_costs_quote_units": 146.20075124997362, "price_pnl_quote_units": -8026.146902780465, "turnover_quote_units": 53480.349712364135, "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": 1, "trace": "reference-2018-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2512.7306349438695, "return_pct": -74.8726936505613, "cagr_pct": -74.91229946816895, "max_drawdown_pct": 83.38399730142314, "mean_exposure_while_solvent": 1.0535622607008626, "realized_annual_volatility_pct": 90.11723837611403, "trading_costs_quote_units": 93.58233248162021, "borrowing_costs_quote_units": 70.27291892922443, "price_pnl_quote_units": -7323.414113645291, "turnover_quote_units": 31194.11082720673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 44, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2082.824271882536, "return_pct": -79.17175728117464, "cagr_pct": -79.20904296677689, "max_drawdown_pct": 87.74660406859233, "mean_exposure_while_solvent": 1.079505208901039, "realized_annual_volatility_pct": 95.31314550339823, "trading_costs_quote_units": 129.06606783265426, "borrowing_costs_quote_units": 111.35994325598135, "price_pnl_quote_units": -7676.749717028847, "turnover_quote_units": 43022.02261088475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 63, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2026.5353142857402, "return_pct": -79.7346468571426, "cagr_pct": -79.77155783621527, "max_drawdown_pct": 88.07775580967338, "mean_exposure_while_solvent": 1.0809841171697274, "realized_annual_volatility_pct": 95.58064741238641, "trading_costs_quote_units": 128.8141847624157, "borrowing_costs_quote_units": 112.43688750357052, "price_pnl_quote_units": -7732.213613448306, "turnover_quote_units": 42938.06158747188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 64, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1537.24287451546, "return_pct": -84.6275712548454, "cagr_pct": -84.66041224104195, "max_drawdown_pct": 90.45122761674118, "mean_exposure_while_solvent": 1.3815888979210837, "realized_annual_volatility_pct": 124.12791604175641, "trading_costs_quote_units": 195.52801932369573, "borrowing_costs_quote_units": 311.14245884567396, "price_pnl_quote_units": -7956.0866473151855, "turnover_quote_units": 65176.00644123194, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1374.5463558960605, "return_pct": -86.25453644103939, "cagr_pct": -86.28565390752645, "max_drawdown_pct": 91.91345090786521, "mean_exposure_while_solvent": 1.1264648221550866, "realized_annual_volatility_pct": 104.80142644793413, "trading_costs_quote_units": 158.2337144258572, "borrowing_costs_quote_units": 146.80794047690148, "price_pnl_quote_units": -8320.411989201173, "turnover_quote_units": 52744.57147528574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2018-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2018-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2125.7917564084114, "return_pct": -78.74208243591589, "cagr_pct": -78.77964243811431, "max_drawdown_pct": 84.47561197718551, "mean_exposure_while_solvent": 1.1499767573020108, "realized_annual_volatility_pct": 96.02548574377003, "trading_costs_quote_units": 33.49276445366747, "borrowing_costs_quote_units": 40.49051164833182, "price_pnl_quote_units": -7800.224967489594, "turnover_quote_units": 55821.27408944579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2074.570171808683, "return_pct": -79.25429828191317, "cagr_pct": -79.29153011897898, "max_drawdown_pct": 85.0967498389959, "mean_exposure_while_solvent": 1.1609188938198474, "realized_annual_volatility_pct": 96.86371479323212, "trading_costs_quote_units": 32.34486213171244, "borrowing_costs_quote_units": 41.333854683552744, "price_pnl_quote_units": -7851.751111376054, "turnover_quote_units": 53908.103552854016, "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": 6, "trace": "binance-2018-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1489.347151885783, "return_pct": -85.10652848114218, "cagr_pct": -85.13888347731175, "max_drawdown_pct": 90.3787011926345, "mean_exposure_while_solvent": 1.213536727287497, "realized_annual_volatility_pct": 110.42772120963298, "trading_costs_quote_units": 37.03848980130117, "borrowing_costs_quote_units": 52.04272489468453, "price_pnl_quote_units": -8421.57163341826, "turnover_quote_units": 61730.816335501884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 161, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2182.833216978983, "return_pct": -78.17166783021017, "cagr_pct": -78.20957671910587, "max_drawdown_pct": 84.80354931525605, "mean_exposure_while_solvent": 1.1017547241082999, "realized_annual_volatility_pct": 93.70736905448858, "trading_costs_quote_units": 28.8025816932714, "borrowing_costs_quote_units": 28.516987125557264, "price_pnl_quote_units": -7759.84721420218, "turnover_quote_units": 48004.30282211898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2130.2372014221773, "return_pct": -78.69762798577823, "cagr_pct": -78.73521579968153, "max_drawdown_pct": 85.41156625425276, "mean_exposure_while_solvent": 1.1126968606261365, "realized_annual_volatility_pct": 94.56617988050316, "trading_costs_quote_units": 27.799699342005514, "borrowing_costs_quote_units": 29.710760087602473, "price_pnl_quote_units": -7812.252339148216, "turnover_quote_units": 46332.83223667585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1529.3108673269044, "return_pct": -84.70689132673095, "cagr_pct": -84.73965301896213, "max_drawdown_pct": 90.58194161119604, "mean_exposure_while_solvent": 1.1653146940937862, "realized_annual_volatility_pct": 108.41838063411511, "trading_costs_quote_units": 33.69305794163285, "borrowing_costs_quote_units": 43.361792129604794, "price_pnl_quote_units": -8393.634282601863, "turnover_quote_units": 56155.09656938803, "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": 6, "trace": "binance-2018-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2422.4298951491332, "return_pct": -75.77570104850867, "cagr_pct": -75.81489446722055, "max_drawdown_pct": 83.49282987123507, "mean_exposure_while_solvent": 1.0711229185937627, "realized_annual_volatility_pct": 90.90182024200286, "trading_costs_quote_units": 21.78475130713225, "borrowing_costs_quote_units": 20.715020485779842, "price_pnl_quote_units": -7535.070333057943, "turnover_quote_units": 36307.91884522043, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2399.033033642681, "return_pct": -76.00966966357319, "cagr_pct": -76.04875001870668, "max_drawdown_pct": 83.65226316345937, "mean_exposure_while_solvent": 1.075263009833147, "realized_annual_volatility_pct": 91.02136468041176, "trading_costs_quote_units": 21.78081195985294, "borrowing_costs_quote_units": 21.672543074758117, "price_pnl_quote_units": -7557.513611322705, "turnover_quote_units": 36301.353266421575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1698.673537470965, "return_pct": -83.01326462529035, "cagr_pct": -83.04762113352322, "max_drawdown_pct": 89.59082685985175, "mean_exposure_while_solvent": 1.1264906787108606, "realized_annual_volatility_pct": 105.06827435471133, "trading_costs_quote_units": 29.00174919023725, "borrowing_costs_quote_units": 36.90371226181122, "price_pnl_quote_units": -8235.42100107698, "turnover_quote_units": 48336.24865039542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 96, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1259.1136167257523, "return_pct": -87.40886383274248, "cagr_pct": -87.43862652696211, "max_drawdown_pct": 92.76285252826949, "mean_exposure_while_solvent": 1.3869596935422532, "realized_annual_volatility_pct": 128.854873730904, "trading_costs_quote_units": 39.791558807357546, "borrowing_costs_quote_units": 75.48996814915449, "price_pnl_quote_units": -8625.604856317745, "turnover_quote_units": 66319.26467892928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1641.995026295182, "return_pct": -83.58004973704818, "cagr_pct": -83.613894984263, "max_drawdown_pct": 88.81094916145273, "mean_exposure_while_solvent": 1.1034895298648815, "realized_annual_volatility_pct": 95.43187991959266, "trading_costs_quote_units": 24.44314059359158, "borrowing_costs_quote_units": 24.436198927086302, "price_pnl_quote_units": -8309.12563418413, "turnover_quote_units": 40738.56765598597, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2109.87414389475, "return_pct": -78.9012585610525, "cagr_pct": -78.9387181073672, "max_drawdown_pct": 84.584243883046, "mean_exposure_while_solvent": 1.1499896737892015, "realized_annual_volatility_pct": 96.02695598737655, "trading_costs_quote_units": 33.401260456937024, "borrowing_costs_quote_units": 80.73009410805423, "price_pnl_quote_units": -7775.994501540261, "turnover_quote_units": 55668.767428228355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2057.921536861827, "return_pct": -79.42078463138174, "cagr_pct": -79.45790671319996, "max_drawdown_pct": 85.20521508423029, "mean_exposure_while_solvent": 1.1609327432834686, "realized_annual_volatility_pct": 96.86532106651799, "trading_costs_quote_units": 32.25699063751008, "borrowing_costs_quote_units": 82.39832716323826, "price_pnl_quote_units": -7827.423145337433, "turnover_quote_units": 53761.65106251681, "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": 6, "trace": "binance-2018-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1473.4682185214656, "return_pct": -85.26531781478535, "cagr_pct": -85.29750783855454, "max_drawdown_pct": 90.47062758270282, "mean_exposure_while_solvent": 1.2135553706025106, "realized_annual_volatility_pct": 110.43150442006373, "trading_costs_quote_units": 36.9173596950589, "borrowing_costs_quote_units": 103.68590857522459, "price_pnl_quote_units": -8385.928513208288, "turnover_quote_units": 61528.932825098156, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 161, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2171.6991801906283, "return_pct": -78.28300819809371, "cagr_pct": -78.32085033753363, "max_drawdown_pct": 84.87789055380148, "mean_exposure_while_solvent": 1.1017635185224712, "realized_annual_volatility_pct": 93.7085658377975, "trading_costs_quote_units": 28.749175410616537, "borrowing_costs_quote_units": 56.91344889286111, "price_pnl_quote_units": -7742.638195505893, "turnover_quote_units": 47915.29235102758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2118.2242208293605, "return_pct": -78.81775779170638, "cagr_pct": -78.85527020553002, "max_drawdown_pct": 85.4870331995468, "mean_exposure_while_solvent": 1.1127065880167384, "realized_annual_volatility_pct": 94.5675218270539, "trading_costs_quote_units": 27.74842759235578, "borrowing_costs_quote_units": 59.2861861980637, "price_pnl_quote_units": -7794.74116538025, "turnover_quote_units": 46247.37932059301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1516.644834697608, "return_pct": -84.83355165302392, "cagr_pct": -84.866185752411, "max_drawdown_pct": 90.65214761088042, "mean_exposure_while_solvent": 1.1653292153357804, "realized_annual_volatility_pct": 108.42200633389815, "trading_costs_quote_units": 33.607114489375924, "borrowing_costs_quote_units": 86.46760864176946, "price_pnl_quote_units": -8363.280442171243, "turnover_quote_units": 56011.857482293184, "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": 6, "trace": "binance-2018-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2413.761137689109, "return_pct": -75.86238862310891, "cagr_pct": -75.90154045285517, "max_drawdown_pct": 83.55190140700343, "mean_exposure_while_solvent": 1.0711290660397725, "realized_annual_volatility_pct": 90.90240147752993, "trading_costs_quote_units": 21.75441832533385, "borrowing_costs_quote_units": 41.36656661994464, "price_pnl_quote_units": -7523.117877365593, "turnover_quote_units": 36257.36387555642, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2389.9521131088045, "return_pct": -76.10047886891196, "cagr_pct": -76.13951464089534, "max_drawdown_pct": 83.71414330309877, "mean_exposure_while_solvent": 1.075269511369412, "realized_annual_volatility_pct": 91.02198504239723, "trading_costs_quote_units": 21.749459194886906, "borrowing_costs_quote_units": 43.274881229773115, "price_pnl_quote_units": -7545.023546466523, "turnover_quote_units": 36249.09865814486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1687.8567113381807, "return_pct": -83.1214328866182, "cagr_pct": -83.15569351170518, "max_drawdown_pct": 89.65332832303734, "mean_exposure_while_solvent": 1.1265018562071691, "realized_annual_volatility_pct": 105.07139793399514, "trading_costs_quote_units": 28.942248398053064, "borrowing_costs_quote_units": 73.63521802580951, "price_pnl_quote_units": -8209.565822237946, "turnover_quote_units": 48237.080663421766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 96, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1234.7475587185606, "return_pct": -87.65252441281439, "cagr_pct": -87.68198606050987, "max_drawdown_pct": 92.89576882837649, "mean_exposure_while_solvent": 1.386993987106854, "realized_annual_volatility_pct": 128.8602823506849, "trading_costs_quote_units": 39.582542415273224, "borrowing_costs_quote_units": 149.90055357975703, "price_pnl_quote_units": -8575.769345286428, "turnover_quote_units": 65970.9040254554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1633.4092588959045, "return_pct": -83.66590741104095, "cagr_pct": -83.69967328321881, "max_drawdown_pct": 88.86945517784135, "mean_exposure_while_solvent": 1.1034984755948978, "realized_annual_volatility_pct": 95.43427473897357, "trading_costs_quote_units": 24.407598812840206, "borrowing_costs_quote_units": 48.77312687449588, "price_pnl_quote_units": -8293.410015416744, "turnover_quote_units": 40679.33135473369, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2078.3868430860043, "return_pct": -79.21613156913996, "cagr_pct": -79.25338835210583, "max_drawdown_pct": 84.79929237961687, "mean_exposure_while_solvent": 1.1500155123842728, "realized_annual_volatility_pct": 96.02991681998179, "trading_costs_quote_units": 33.219830580650104, "borrowing_costs_quote_units": 160.4629395213962, "price_pnl_quote_units": -7727.930386811939, "turnover_quote_units": 55366.384301083526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2025.0148995700702, "return_pct": -79.7498510042993, "cagr_pct": -79.78675161691308, "max_drawdown_pct": 85.41984276657143, "mean_exposure_while_solvent": 1.1609604482351787, "realized_annual_volatility_pct": 96.86855476090277, "trading_costs_quote_units": 32.08278772164639, "borrowing_costs_quote_units": 163.72650074692177, "price_pnl_quote_units": -7779.17581196135, "turnover_quote_units": 53471.312869410685, "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": 6, "trace": "binance-2018-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1442.2076682827628, "return_pct": -85.57792331717238, "cagr_pct": -85.60978283786571, "max_drawdown_pct": 90.65190433972285, "mean_exposure_while_solvent": 1.2135926656263059, "realized_annual_volatility_pct": 110.43909290732581, "trading_costs_quote_units": 36.677679126802886, "borrowing_costs_quote_units": 205.78784143530584, "price_pnl_quote_units": -8315.326811155097, "turnover_quote_units": 61129.46521133818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 161, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2149.5951443141857, "return_pct": -78.50404855685814, "cagr_pct": -78.54175624685371, "max_drawdown_pct": 85.02552416901152, "mean_exposure_while_solvent": 1.1017811111857032, "realized_annual_volatility_pct": 93.71097543456398, "trading_costs_quote_units": 28.642871377199672, "borrowing_costs_quote_units": 113.34687342928719, "price_pnl_quote_units": -7708.415110879308, "turnover_quote_units": 47738.11896199946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2094.394606932943, "return_pct": -79.05605393067057, "cagr_pct": -79.09341447131217, "max_drawdown_pct": 85.63683891852362, "mean_exposure_while_solvent": 1.112726047036609, "realized_annual_volatility_pct": 94.5702229961613, "trading_costs_quote_units": 27.64638780252108, "borrowing_costs_quote_units": 118.03358564725711, "price_pnl_quote_units": -7759.925419617277, "turnover_quote_units": 46077.313004201795, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1491.6196237222953, "return_pct": -85.08380376277704, "cagr_pct": -85.11618221006562, "max_drawdown_pct": 90.79103183703887, "mean_exposure_while_solvent": 1.1653582644277363, "realized_annual_volatility_pct": 108.42927805366291, "trading_costs_quote_units": 33.43659953519219, "borrowing_costs_quote_units": 171.91825858649506, "price_pnl_quote_units": -8303.025518156008, "turnover_quote_units": 55727.665891987, "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": 6, "trace": "binance-2018-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2396.5118566696915, "return_pct": -76.03488143330308, "cagr_pct": -76.07394945002525, "max_drawdown_pct": 83.66944322604908, "mean_exposure_while_solvent": 1.0711413636033207, "realized_annual_volatility_pct": 90.90357628208622, "trading_costs_quote_units": 21.693935250140868, "borrowing_costs_quote_units": 82.47999835256361, "price_pnl_quote_units": -7499.314209727613, "turnover_quote_units": 36156.55875023478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2371.888320626027, "return_pct": -76.28111679373973, "cagr_pct": -76.32006270832764, "max_drawdown_pct": 83.83723544965831, "mean_exposure_while_solvent": 1.0752825172668057, "realized_annual_volatility_pct": 91.02323869312437, "trading_costs_quote_units": 21.686952757561322, "borrowing_costs_quote_units": 86.26984038180629, "price_pnl_quote_units": -7520.154886234609, "turnover_quote_units": 36144.92126260218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1666.423218352549, "return_pct": -83.33576781647452, "cagr_pct": -83.36983610807589, "max_drawdown_pct": 89.7772419783104, "mean_exposure_while_solvent": 1.1265242163436167, "realized_annual_volatility_pct": 105.07766304031065, "trading_costs_quote_units": 28.824088009620652, "borrowing_costs_quote_units": 146.58525156769548, "price_pnl_quote_units": -8158.167442070124, "turnover_quote_units": 48040.1466827011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 96, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1187.4071777344097, "return_pct": -88.1259282226559, "cagr_pct": -88.15478919276978, "max_drawdown_pct": 93.15439770468427, "mean_exposure_while_solvent": 1.3870625902307239, "realized_annual_volatility_pct": 128.87111588534793, "trading_costs_quote_units": 39.17223788510459, "borrowing_costs_quote_units": 295.555694286395, "price_pnl_quote_units": -8477.864890094077, "turnover_quote_units": 65287.063141841056, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1616.3674846100794, "return_pct": -83.83632515389921, "cagr_pct": -83.86993194756816, "max_drawdown_pct": 88.98558298323024, "mean_exposure_while_solvent": 1.1035163709679774, "realized_annual_volatility_pct": 95.43908165158578, "trading_costs_quote_units": 24.33682937195163, "borrowing_costs_quote_units": 97.15089601898262, "price_pnl_quote_units": -8262.144789998994, "turnover_quote_units": 40561.38228658603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2316.975811564844, "return_pct": -76.83024188435155, "cagr_pct": -76.8689049461187, "max_drawdown_pct": 83.6794110183334, "mean_exposure_while_solvent": 1.149158778379631, "realized_annual_volatility_pct": 96.08319484835525, "trading_costs_quote_units": 33.73920403347549, "borrowing_costs_quote_units": 43.36125658344937, "price_pnl_quote_units": -7605.9237278182545, "turnover_quote_units": 56232.006722459155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2182.891920864882, "return_pct": -78.17108079135117, "cagr_pct": -78.20899003046067, "max_drawdown_pct": 84.8072882769587, "mean_exposure_while_solvent": 1.159803773249941, "realized_annual_volatility_pct": 96.95271339312438, "trading_costs_quote_units": 31.87654392423109, "borrowing_costs_quote_units": 43.33434762802608, "price_pnl_quote_units": -7741.897187582869, "turnover_quote_units": 53127.573207051835, "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": 6, "trace": "binance-2018-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1568.188210810678, "return_pct": -84.31811789189322, "cagr_pct": -84.35126378703701, "max_drawdown_pct": 90.30856253730181, "mean_exposure_while_solvent": 1.2122518811328473, "realized_annual_volatility_pct": 110.41863298924046, "trading_costs_quote_units": 37.20318085209564, "borrowing_costs_quote_units": 53.249477917096954, "price_pnl_quote_units": -8341.359130420133, "turnover_quote_units": 62005.30142015939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2334.671311049124, "return_pct": -76.65328688950876, "cagr_pct": -76.69204270584162, "max_drawdown_pct": 84.17253532019298, "mean_exposure_while_solvent": 1.1007900988215038, "realized_annual_volatility_pct": 93.77557520655421, "trading_costs_quote_units": 28.8404427757254, "borrowing_costs_quote_units": 30.10323024093297, "price_pnl_quote_units": -7606.385015934215, "turnover_quote_units": 48067.40462620897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2199.5633779716427, "return_pct": -78.00436622028357, "cagr_pct": -78.04237419008926, "max_drawdown_pct": 85.26633392599712, "mean_exposure_while_solvent": 1.1114350936918136, "realized_annual_volatility_pct": 94.66631419137013, "trading_costs_quote_units": 27.272218598876854, "borrowing_costs_quote_units": 30.748957864539598, "price_pnl_quote_units": -7742.4154455649505, "turnover_quote_units": 45453.69766479478, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1580.1649753229153, "return_pct": -84.19835024677084, "cagr_pct": -84.23161227301732, "max_drawdown_pct": 90.6013879578903, "mean_exposure_while_solvent": 1.16388320157472, "realized_annual_volatility_pct": 108.41669617059829, "trading_costs_quote_units": 33.84503411296776, "borrowing_costs_quote_units": 43.98383133660076, "price_pnl_quote_units": -8342.006159227525, "turnover_quote_units": 56408.390188279605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 126, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2508.497859274901, "return_pct": -74.91502140725099, "cagr_pct": -74.95460873209664, "max_drawdown_pct": 83.3136391190704, "mean_exposure_while_solvent": 1.0702629696242345, "realized_annual_volatility_pct": 90.85702278953751, "trading_costs_quote_units": 21.827007210273692, "borrowing_costs_quote_units": 21.494484240518396, "price_pnl_quote_units": -7448.1806492742935, "turnover_quote_units": 36378.34535045612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2472.1936760846966, "return_pct": -75.27806323915304, "cagr_pct": -75.31748859003937, "max_drawdown_pct": 83.55513213049926, "mean_exposure_while_solvent": 1.07439031904072, "realized_annual_volatility_pct": 90.99081510663676, "trading_costs_quote_units": 21.748959313483635, "borrowing_costs_quote_units": 22.477880379513476, "price_pnl_quote_units": -7483.579484222303, "turnover_quote_units": 36248.26552247269, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1736.883751962266, "return_pct": -82.63116248037734, "cagr_pct": -82.6658514352461, "max_drawdown_pct": 89.74098655618783, "mean_exposure_while_solvent": 1.1254888615735503, "realized_annual_volatility_pct": 105.03976315181298, "trading_costs_quote_units": 29.590129619648742, "borrowing_costs_quote_units": 37.42829016721207, "price_pnl_quote_units": -8196.097828250859, "turnover_quote_units": 49316.882699414564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 97, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1349.5391486028032, "return_pct": -86.50460851397197, "cagr_pct": -86.53544220179849, "max_drawdown_pct": 92.57691194674322, "mean_exposure_while_solvent": 1.3869197224672691, "realized_annual_volatility_pct": 128.52508393957632, "trading_costs_quote_units": 41.402045848454726, "borrowing_costs_quote_units": 78.93246743864192, "price_pnl_quote_units": -8530.12633811011, "turnover_quote_units": 69003.40974742462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1839.559173730718, "return_pct": -81.60440826269281, "cagr_pct": -81.6399435906219, "max_drawdown_pct": 87.76337475385839, "mean_exposure_while_solvent": 1.1030476346267046, "realized_annual_volatility_pct": 95.35613703139796, "trading_costs_quote_units": 24.403928789427745, "borrowing_costs_quote_units": 26.12296458167198, "price_pnl_quote_units": -8109.913932898196, "turnover_quote_units": 40673.21464904624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2299.658530221751, "return_pct": -77.00341469778249, "cagr_pct": -77.04198549400934, "max_drawdown_pct": 83.79343343747584, "mean_exposure_while_solvent": 1.1491716713748772, "realized_annual_volatility_pct": 96.08431511741476, "trading_costs_quote_units": 33.64725654756539, "borrowing_costs_quote_units": 86.45272987386399, "price_pnl_quote_units": -7580.241483356821, "turnover_quote_units": 56078.76091260901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2165.437216005974, "return_pct": -78.34562783994026, "cagr_pct": -78.38343215234721, "max_drawdown_pct": 84.91779212105764, "mean_exposure_while_solvent": 1.1598175576267211, "realized_annual_volatility_pct": 96.95407885789768, "trading_costs_quote_units": 31.792161685721354, "borrowing_costs_quote_units": 86.3869663635306, "price_pnl_quote_units": -7716.383655944758, "turnover_quote_units": 52986.93614286896, "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": 6, "trace": "binance-2018-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1551.5098408388862, "return_pct": -84.48490159161113, "cagr_pct": -84.51788402680215, "max_drawdown_pct": 90.40136056413888, "mean_exposure_while_solvent": 1.2122701608274935, "realized_annual_volatility_pct": 110.42215833624434, "trading_costs_quote_units": 37.08655012919593, "borrowing_costs_quote_units": 106.08840268841395, "price_pnl_quote_units": -8305.315206343499, "turnover_quote_units": 61810.91688199324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2322.785213450889, "return_pct": -76.77214786549112, "cagr_pct": -76.81084154794165, "max_drawdown_pct": 84.24982003255845, "mean_exposure_while_solvent": 1.1007988469165786, "realized_annual_volatility_pct": 93.77656207508265, "trading_costs_quote_units": 28.7885570708228, "borrowing_costs_quote_units": 60.07836480830673, "price_pnl_quote_units": -7588.34786467, "turnover_quote_units": 47980.92845137132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2187.214092828782, "return_pct": -78.12785907171218, "cagr_pct": -78.16579404642812, "max_drawdown_pct": 85.34251610399646, "mean_exposure_while_solvent": 1.1114447331684225, "realized_annual_volatility_pct": 94.66756049200279, "trading_costs_quote_units": 27.22504243471387, "borrowing_costs_quote_units": 61.35787860345572, "price_pnl_quote_units": -7724.202986133056, "turnover_quote_units": 45375.0707245231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1567.1127123715146, "return_pct": -84.32887287628486, "cagr_pct": -84.36200829205217, "max_drawdown_pct": 90.67166398421605, "mean_exposure_while_solvent": 1.163897336369195, "realized_annual_volatility_pct": 108.42018846643752, "trading_costs_quote_units": 33.76381640573264, "borrowing_costs_quote_units": 87.70834945355101, "price_pnl_quote_units": -8311.41512176918, "turnover_quote_units": 56273.0273428877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 126, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2499.5265200615595, "return_pct": -75.00473479938441, "cagr_pct": -75.04428265923471, "max_drawdown_pct": 83.37331587069511, "mean_exposure_while_solvent": 1.0702690948865952, "realized_annual_volatility_pct": 90.85754118927731, "trading_costs_quote_units": 21.799960482315946, "borrowing_costs_quote_units": 42.92317810214922, "price_pnl_quote_units": -7435.750341353994, "turnover_quote_units": 36333.26747052658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2462.838486190828, "return_pct": -75.37161513809171, "cagr_pct": -75.4109977674117, "max_drawdown_pct": 83.61736223131498, "mean_exposure_while_solvent": 1.0743967975045718, "realized_annual_volatility_pct": 90.99138851323424, "trading_costs_quote_units": 21.721699446394833, "borrowing_costs_quote_units": 44.8830731491021, "price_pnl_quote_units": -7470.556741213678, "turnover_quote_units": 36202.83241065807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1725.817897551894, "return_pct": -82.74182102448107, "cagr_pct": -82.77641469740213, "max_drawdown_pct": 89.80285292249765, "mean_exposure_while_solvent": 1.1254997234254214, "realized_annual_volatility_pct": 105.04283467601645, "trading_costs_quote_units": 29.53417768331533, "borrowing_costs_quote_units": 74.68265779459311, "price_pnl_quote_units": -8169.965266970199, "turnover_quote_units": 49223.62947219225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 97, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1323.4514873578312, "return_pct": -86.76548512642168, "cagr_pct": -86.79601713919547, "max_drawdown_pct": 92.71310621285419, "mean_exposure_while_solvent": 1.3869537377492323, "realized_annual_volatility_pct": 128.53008119168652, "trading_costs_quote_units": 41.18660294599966, "borrowing_costs_quote_units": 156.7281892403919, "price_pnl_quote_units": -8478.633720455771, "turnover_quote_units": 68644.33824333275, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1829.9762756546554, "return_pct": -81.70023724345344, "cagr_pct": -81.73569640264286, "max_drawdown_pct": 87.82711955435369, "mean_exposure_while_solvent": 1.1030566609360626, "realized_annual_volatility_pct": 95.35804103842057, "trading_costs_quote_units": 24.369259534579378, "borrowing_costs_quote_units": 52.13865204614331, "price_pnl_quote_units": -8093.515812764615, "turnover_quote_units": 40615.43255763232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2265.401655511839, "return_pct": -77.34598344488161, "cagr_pct": -77.38436732667631, "max_drawdown_pct": 84.01915549657433, "mean_exposure_while_solvent": 1.1491974629694872, "realized_annual_volatility_pct": 96.08657531131358, "trading_costs_quote_units": 33.46490510600335, "borrowing_costs_quote_units": 171.8332737299499, "price_pnl_quote_units": -7529.300165652206, "turnover_quote_units": 55774.841843338894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2130.935737627907, "return_pct": -78.69064262372093, "cagr_pct": -78.7282347981922, "max_drawdown_pct": 85.13645400214912, "mean_exposure_while_solvent": 1.1598451323702694, "realized_annual_volatility_pct": 96.9568301948091, "trading_costs_quote_units": 31.624820164329666, "borrowing_costs_quote_units": 171.65470354219704, "price_pnl_quote_units": -7665.784738665538, "turnover_quote_units": 52708.03360721613, "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": 6, "trace": "binance-2018-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1518.6742330711304, "return_pct": -84.8132576692887, "cagr_pct": -84.84591229300192, "max_drawdown_pct": 90.58434949657246, "mean_exposure_while_solvent": 1.2123067281752735, "realized_annual_volatility_pct": 110.42923071675838, "trading_costs_quote_units": 36.85553916659595, "borrowing_costs_quote_units": 210.54924421833613, "price_pnl_quote_units": -8233.920983543947, "turnover_quote_units": 61425.89861099318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2299.1874927417316, "return_pct": -77.00812507258267, "cagr_pct": -77.04669333840285, "max_drawdown_pct": 84.40330110565493, "mean_exposure_while_solvent": 1.1008163469088397, "realized_annual_volatility_pct": 93.7785515279389, "trading_costs_quote_units": 28.685594985704935, "borrowing_costs_quote_units": 119.64655184871313, "price_pnl_quote_units": -7552.480360423861, "turnover_quote_units": 47809.3249761749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2162.71617170841, "return_pct": -78.37283828291591, "cagr_pct": -78.41062609375902, "max_drawdown_pct": 85.4937421247648, "mean_exposure_while_solvent": 1.1114640163096219, "realized_annual_volatility_pct": 94.67006998996102, "trading_costs_quote_units": 27.131432973308193, "borrowing_costs_quote_units": 122.15823495376029, "price_pnl_quote_units": -7687.9941603645175, "turnover_quote_units": 45219.05495551366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1541.3234971956333, "return_pct": -84.58676502804366, "cagr_pct": -84.61964662497557, "max_drawdown_pct": 90.81068176560578, "mean_exposure_while_solvent": 1.163925612114626, "realized_annual_volatility_pct": 108.42719330313369, "trading_costs_quote_units": 33.60268202677859, "borrowing_costs_quote_units": 174.38650712169417, "price_pnl_quote_units": -8250.687313655888, "turnover_quote_units": 56004.47004463096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 126, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2481.6751002977376, "return_pct": -75.18324899702262, "cagr_pct": -75.22271723360006, "max_drawdown_pct": 83.49206232739019, "mean_exposure_while_solvent": 1.0702813480700077, "realized_annual_volatility_pct": 90.8585901225965, "trading_costs_quote_units": 21.74602165559723, "borrowing_costs_quote_units": 85.58398377012482, "price_pnl_quote_units": -7410.994894276543, "turnover_quote_units": 36243.36942599536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2444.229088674539, "return_pct": -75.55770911325462, "cagr_pct": -75.59700555300942, "max_drawdown_pct": 83.74115070559466, "mean_exposure_while_solvent": 1.0744097572442965, "realized_annual_volatility_pct": 90.9925480872156, "trading_costs_quote_units": 21.667339503395183, "borrowing_costs_quote_units": 89.47632321636884, "price_pnl_quote_units": -7444.6272486057005, "turnover_quote_units": 36112.23250565864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1703.8912424896519, "return_pct": -82.96108757510348, "cagr_pct": -82.99549005311383, "max_drawdown_pct": 89.92550247020665, "mean_exposure_while_solvent": 1.1255214518631436, "realized_annual_volatility_pct": 105.04899576069, "trading_costs_quote_units": 29.422859059166157, "borrowing_costs_quote_units": 148.67331626419804, "price_pnl_quote_units": -8118.01258218698, "turnover_quote_units": 49038.0984319436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 97, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1272.765307410219, "return_pct": -87.2723469258978, "cagr_pct": -87.30227593122405, "max_drawdown_pct": 92.97811763942593, "mean_exposure_while_solvent": 1.3870217840967298, "realized_annual_volatility_pct": 128.54009058332406, "trading_costs_quote_units": 40.76260655429198, "borrowing_costs_quote_units": 308.98554763138185, "price_pnl_quote_units": -8377.4865384041, "turnover_quote_units": 67937.67759048662, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1810.9547618378115, "return_pct": -81.8904523816219, "cagr_pct": -81.92575865072385, "max_drawdown_pct": 87.95364939884843, "mean_exposure_while_solvent": 1.1030747175239797, "realized_annual_volatility_pct": 95.36186518523027, "trading_costs_quote_units": 24.30020268736055, "borrowing_costs_quote_units": 103.85007016907629, "price_pnl_quote_units": -8060.8949653057425, "turnover_quote_units": 40500.337812267564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2073.9680221433987, "return_pct": -79.26031977856601, "cagr_pct": -79.29754767264465, "max_drawdown_pct": 84.77184508625798, "mean_exposure_while_solvent": 1.1499767573020108, "realized_annual_volatility_pct": 96.04792796371929, "trading_costs_quote_units": 165.8164974303393, "borrowing_costs_quote_units": 40.04491259563965, "price_pnl_quote_units": -7720.17056783064, "turnover_quote_units": 55272.16581011312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2025.6426921531693, "return_pct": -79.74357307846832, "cagr_pct": -79.78047797306256, "max_drawdown_pct": 85.38402248049732, "mean_exposure_while_solvent": 1.1609188938198474, "realized_annual_volatility_pct": 96.87790245844825, "trading_costs_quote_units": 160.1600016703102, "borrowing_costs_quote_units": 40.87103628305893, "price_pnl_quote_units": -7773.32626989348, "turnover_quote_units": 53386.667223436736, "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": 6, "trace": "binance-2018-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1445.6788170998093, "return_pct": -85.5432118290019, "cagr_pct": -85.57510842701687, "max_drawdown_pct": 90.60484583834406, "mean_exposure_while_solvent": 1.213536727287497, "realized_annual_volatility_pct": 110.45023851513247, "trading_costs_quote_units": 183.19193516160396, "borrowing_costs_quote_units": 51.40230776744346, "price_pnl_quote_units": -8319.72693997114, "turnover_quote_units": 61063.97838720131, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 161, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2138.0242349872283, "return_pct": -78.61975765012772, "cagr_pct": -78.65739392641619, "max_drawdown_pct": 85.04160244089863, "mean_exposure_while_solvent": 1.1017547241082999, "realized_annual_volatility_pct": 93.74090014244807, "trading_costs_quote_units": 142.82623756533206, "borrowing_costs_quote_units": 28.253307230279525, "price_pnl_quote_units": -7690.896220217174, "turnover_quote_units": 47608.745855110676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2088.206337324519, "return_pct": -79.11793662675481, "cagr_pct": -79.15525722298798, "max_drawdown_pct": 85.64293549087067, "mean_exposure_while_solvent": 1.1126968606261367, "realized_annual_volatility_pct": 94.59115484567239, "trading_costs_quote_units": 137.8731021580954, "borrowing_costs_quote_units": 29.427921788148755, "price_pnl_quote_units": -7744.492638729229, "turnover_quote_units": 45957.700719365115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1490.329799671982, "return_pct": -85.09670200328017, "cagr_pct": -85.12906714488416, "max_drawdown_pct": 90.77127518894137, "mean_exposure_while_solvent": 1.1653146940937862, "realized_annual_volatility_pct": 108.45048613746829, "trading_costs_quote_units": 166.88100783539733, "borrowing_costs_quote_units": 42.90496318261053, "price_pnl_quote_units": -8299.884229310019, "turnover_quote_units": 55627.00261179909, "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": 6, "trace": "binance-2018-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2388.086114677869, "return_pct": -76.11913885322132, "cagr_pct": -76.15816541527565, "max_drawdown_pct": 83.68782666124706, "mean_exposure_while_solvent": 1.0711229185937627, "realized_annual_volatility_pct": 90.91227097093032, "trading_costs_quote_units": 108.24111127567825, "borrowing_costs_quote_units": 20.571155237600408, "price_pnl_quote_units": -7483.101618808886, "turnover_quote_units": 36080.370425226094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2364.823487696149, "return_pct": -76.3517651230385, "cagr_pct": -76.39067546744762, "max_drawdown_pct": 83.84672545526803, "mean_exposure_while_solvent": 1.075263009833147, "realized_annual_volatility_pct": 91.0244674931515, "trading_costs_quote_units": 108.219744151516, "borrowing_costs_quote_units": 21.52015731792949, "price_pnl_quote_units": -7505.436610834399, "turnover_quote_units": 36073.24805050534, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1664.5316695979113, "return_pct": -83.3546833040209, "cagr_pct": -83.38873447134051, "max_drawdown_pct": 89.75950440368166, "mean_exposure_while_solvent": 1.1264906787108606, "realized_annual_volatility_pct": 105.08765737373676, "trading_costs_quote_units": 143.88973688980448, "borrowing_costs_quote_units": 36.585877474470394, "price_pnl_quote_units": -8154.992716037802, "turnover_quote_units": 47963.245629934805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 96, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1216.7437830260162, "return_pct": -87.83256216973983, "cagr_pct": -87.86179786036128, "max_drawdown_pct": 92.96402068844726, "mean_exposure_while_solvent": 1.3869596935422532, "realized_annual_volatility_pct": 128.90062403251096, "trading_costs_quote_units": 196.5360581021915, "borrowing_costs_quote_units": 74.3140136230448, "price_pnl_quote_units": -8512.406145248739, "turnover_quote_units": 65512.019367397115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 1611.5633251959212, "return_pct": -83.88436674804079, "cagr_pct": -83.91792832720127, "max_drawdown_pct": 88.99197975089814, "mean_exposure_while_solvent": 1.1034895298648815, "realized_annual_volatility_pct": 95.43953792388123, "trading_costs_quote_units": 121.32379068536468, "borrowing_costs_quote_units": 24.219137369351593, "price_pnl_quote_units": -8242.893746749374, "turnover_quote_units": 40441.263561788204, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2058.4348502252165, "return_pct": -79.41565149774783, "cagr_pct": -79.45277698646098, "max_drawdown_pct": 84.87842412550486, "mean_exposure_while_solvent": 1.1499896737892015, "realized_annual_volatility_pct": 96.04944234274491, "trading_costs_quote_units": 165.3664885278385, "borrowing_costs_quote_units": 79.8425825649584, "price_pnl_quote_units": -7696.356078681996, "turnover_quote_units": 55122.162842612815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2009.3824528294099, "return_pct": -79.9061754717059, "cagr_pct": -79.94296874212806, "max_drawdown_pct": 85.49042421300332, "mean_exposure_while_solvent": 1.1609327432834686, "realized_annual_volatility_pct": 96.87955222177092, "trading_costs_quote_units": 159.72785509588948, "borrowing_costs_quote_units": 81.47671768161321, "price_pnl_quote_units": -7749.412974393122, "turnover_quote_units": 53242.61836529649, "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": 6, "trace": "binance-2018-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1430.2596089233512, "return_pct": -85.6974039107665, "cagr_pct": -85.72913507731548, "max_drawdown_pct": 90.69465363685, "mean_exposure_while_solvent": 1.2135553706025106, "realized_annual_volatility_pct": 110.45407532022287, "trading_costs_quote_units": 182.5977937684235, "borrowing_costs_quote_units": 102.41213050960847, "price_pnl_quote_units": -8284.730466798615, "turnover_quote_units": 60865.93125614118, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 161, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2127.1162212101394, "return_pct": -78.72883778789861, "cagr_pct": -78.76640608733393, "max_drawdown_pct": 85.11479249060507, "mean_exposure_while_solvent": 1.1017635185224712, "realized_annual_volatility_pct": 93.74213000155534, "trading_costs_quote_units": 142.5630031031334, "borrowing_costs_quote_units": 56.3875450178821, "price_pnl_quote_units": -7673.933230668832, "turnover_quote_units": 47521.001034377805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2076.4271502500114, "return_pct": -79.23572849749989, "cagr_pct": -79.27297248184443, "max_drawdown_pct": 85.71722628280972, "mean_exposure_while_solvent": 1.1127065880167384, "realized_annual_volatility_pct": 94.5925292690752, "trading_costs_quote_units": 137.62040738955184, "borrowing_costs_quote_units": 58.722192532778834, "price_pnl_quote_units": -7727.230249827674, "turnover_quote_units": 45873.46912985062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1477.9813965691778, "return_pct": -85.22018603430823, "cagr_pct": -85.25242314491229, "max_drawdown_pct": 90.8401073597162, "mean_exposure_while_solvent": 1.1653292153357804, "realized_annual_volatility_pct": 108.45415677604451, "trading_costs_quote_units": 166.45843353954987, "borrowing_costs_quote_units": 85.55777626028075, "price_pnl_quote_units": -8270.002393630984, "turnover_quote_units": 55486.144513183266, "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": 6, "trace": "binance-2018-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2379.5397607337027, "return_pct": -76.20460239266298, "cagr_pct": -76.24358655996207, "max_drawdown_pct": 83.74620378847656, "mean_exposure_while_solvent": 1.0711290660397725, "realized_annual_volatility_pct": 90.91287403541757, "trading_costs_quote_units": 108.09111346176772, "borrowing_costs_quote_units": 41.079441142569486, "price_pnl_quote_units": -7471.28968466199, "turnover_quote_units": 36030.371153922555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2355.8709217631304, "return_pct": -76.4412907823687, "cagr_pct": -76.48015570601878, "max_drawdown_pct": 83.90787727321481, "mean_exposure_while_solvent": 1.075269511369412, "realized_annual_volatility_pct": 91.02511029333088, "trading_costs_quote_units": 108.06471594801585, "borrowing_costs_quote_units": 42.97078132304063, "price_pnl_quote_units": -7493.093580965817, "turnover_quote_units": 36021.571982671936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1653.9285743198966, "return_pct": -83.46071425680104, "cagr_pct": -83.49466897891298, "max_drawdown_pct": 89.82102251480603, "mean_exposure_while_solvent": 1.1265018562071691, "realized_annual_volatility_pct": 105.09081953425434, "trading_costs_quote_units": 143.596413291504, "borrowing_costs_quote_units": 73.00161671913452, "price_pnl_quote_units": -8129.473395669459, "turnover_quote_units": 47865.471097167996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 96, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1193.189810659176, "return_pct": -88.06810189340824, "cagr_pct": -88.09703737370322, "max_drawdown_pct": 93.09329408075375, "mean_exposure_while_solvent": 1.386993987106854, "realized_annual_volatility_pct": 128.9060958459092, "trading_costs_quote_units": 195.5138784984924, "borrowing_costs_quote_units": 147.57234313082134, "price_pnl_quote_units": -8463.72396771152, "turnover_quote_units": 65171.292832830746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1603.129453668337, "return_pct": -83.96870546331662, "cagr_pct": -84.00218727127579, "max_drawdown_pct": 89.04958855044232, "mean_exposure_while_solvent": 1.1034984755948978, "realized_annual_volatility_pct": 95.44196933857432, "trading_costs_quote_units": 121.14844827299684, "borrowing_costs_quote_units": 48.340110987690906, "price_pnl_quote_units": -8227.381987070976, "turnover_quote_units": 40382.81609099897, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2027.7074743830683, "return_pct": -79.72292525616932, "cagr_pct": -79.75984421835096, "max_drawdown_pct": 85.08941299311286, "mean_exposure_while_solvent": 1.1500155123842728, "realized_annual_volatility_pct": 96.05249156350926, "trading_costs_quote_units": 164.47420842235496, "borrowing_costs_quote_units": 158.70254729062447, "price_pnl_quote_units": -7649.115769903944, "turnover_quote_units": 54824.736140784975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1977.2429772982073, "return_pct": -80.22757022701794, "cagr_pct": -80.26413843529573, "max_drawdown_pct": 85.700972557414, "mean_exposure_while_solvent": 1.1609604482351787, "realized_annual_volatility_pct": 96.8828730157123, "trading_costs_quote_units": 158.87111346414216, "borrowing_costs_quote_units": 161.89925826139674, "price_pnl_quote_units": -7701.986650976254, "turnover_quote_units": 52957.03782138076, "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": 6, "trace": "binance-2018-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1399.9037285624063, "return_pct": -86.00096271437594, "cagr_pct": -86.03236263367742, "max_drawdown_pct": 90.87175508832782, "mean_exposure_while_solvent": 1.2135926656263059, "realized_annual_volatility_pct": 110.46177141762227, "trading_costs_quote_units": 181.4221247560337, "borrowing_costs_quote_units": 203.26820350049303, "price_pnl_quote_units": -8215.405943181078, "turnover_quote_units": 60474.04158534456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 161, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2105.460938762915, "return_pct": -78.94539061237084, "cagr_pct": -78.98282206474983, "max_drawdown_pct": 85.26013978219649, "mean_exposure_while_solvent": 1.1017811111857032, "realized_annual_volatility_pct": 93.74460579706061, "trading_costs_quote_units": 142.03903629418596, "borrowing_costs_quote_units": 112.30086080841515, "price_pnl_quote_units": -7640.199164134487, "turnover_quote_units": 47346.34543139531, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2053.0613551203974, "return_pct": -79.46938644879602, "cagr_pct": -79.50647620079437, "max_drawdown_pct": 85.86469696619577, "mean_exposure_while_solvent": 1.112726047036609, "realized_annual_volatility_pct": 94.59529544211428, "trading_costs_quote_units": 137.11749579523786, "borrowing_costs_quote_units": 116.9122941858551, "price_pnl_quote_units": -7692.908854898517, "turnover_quote_units": 45705.831931745946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1453.5837421092826, "return_pct": -85.46416257890718, "cagr_pct": -85.49614325946987, "max_drawdown_pct": 90.97627384020656, "mean_exposure_while_solvent": 1.1653582644277363, "realized_annual_volatility_pct": 108.46151874652044, "trading_costs_quote_units": 165.62001696688608, "borrowing_costs_quote_units": 170.11376746881152, "price_pnl_quote_units": -8210.682473455025, "turnover_quote_units": 55206.67232229539, "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": 6, "trace": "binance-2018-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2362.5340455960736, "return_pct": -76.37465954403926, "cagr_pct": -76.41355830986126, "max_drawdown_pct": 83.86236382616092, "mean_exposure_while_solvent": 1.0711413636033207, "realized_annual_volatility_pct": 90.91409252810809, "trading_costs_quote_units": 107.79202035007594, "borrowing_costs_quote_units": 81.90815900648218, "price_pnl_quote_units": -7447.765775047366, "turnover_quote_units": 35930.67345002531, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2338.062464744807, "return_pct": -76.61937535255193, "cagr_pct": -76.65814876913912, "max_drawdown_pct": 84.02952055734647, "mean_exposure_while_solvent": 1.0752825172668057, "realized_annual_volatility_pct": 91.02640885433948, "trading_costs_quote_units": 107.75564195210097, "borrowing_costs_quote_units": 85.6643170878324, "price_pnl_quote_units": -7468.51757621525, "turnover_quote_units": 35918.54731736699, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1632.918505428645, "return_pct": -83.67081494571356, "cagr_pct": -83.70457626536525, "max_drawdown_pct": 89.94298702029526, "mean_exposure_while_solvent": 1.1265242163436167, "realized_annual_volatility_pct": 105.09716217450756, "trading_costs_quote_units": 143.01390754984973, "borrowing_costs_quote_units": 145.32626457710327, "price_pnl_quote_units": -8078.74132244441, "turnover_quote_units": 47671.3025166166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 96, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1147.4257285529734, "return_pct": -88.52574271447027, "cagr_pct": -88.55407964331623, "max_drawdown_pct": 93.34484300340647, "mean_exposure_while_solvent": 1.3870625902307239, "realized_annual_volatility_pct": 128.9170565852916, "trading_costs_quote_units": 193.507157008441, "borrowing_costs_quote_units": 290.992199869978, "price_pnl_quote_units": -8368.074914568615, "turnover_quote_units": 64502.38566948028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1586.389286473996, "return_pct": -84.13610713526005, "cagr_pct": -84.16942910520527, "max_drawdown_pct": 89.16393472385519, "mean_exposure_while_solvent": 1.1035163709679774, "realized_annual_volatility_pct": 95.44684951421075, "trading_costs_quote_units": 120.79931136769493, "borrowing_costs_quote_units": 96.28927230406264, "price_pnl_quote_units": -8196.522129854244, "turnover_quote_units": 40266.43712256498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2263.1418530366786, "return_pct": -77.36858146963321, "cagr_pct": -77.40695281443418, "max_drawdown_pct": 83.97535134060632, "mean_exposure_while_solvent": 1.149158778379631, "realized_annual_volatility_pct": 96.08463636095972, "trading_costs_quote_units": 167.0857001972579, "borrowing_costs_quote_units": 42.91053368353118, "price_pnl_quote_units": -7526.861913082504, "turnover_quote_units": 55695.233399085955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2133.902285758138, "return_pct": -78.66097714241862, "cagr_pct": -78.69858780627101, "max_drawdown_pct": 85.08673481062345, "mean_exposure_while_solvent": 1.159803773249941, "realized_annual_volatility_pct": 96.95225458991888, "trading_costs_quote_units": 157.89358580449394, "borrowing_costs_quote_units": 42.875980880743356, "price_pnl_quote_units": -7665.328147556636, "turnover_quote_units": 52631.195268164636, "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": 6, "trace": "binance-2018-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1523.290778195139, "return_pct": -84.76709221804862, "cagr_pct": -84.79979341602089, "max_drawdown_pct": 90.53184263813404, "mean_exposure_while_solvent": 1.2122518811328473, "realized_annual_volatility_pct": 110.42945889268223, "trading_costs_quote_units": 184.0251251442167, "borrowing_costs_quote_units": 52.59137273395577, "price_pnl_quote_units": -8240.092723926706, "turnover_quote_units": 61341.70838140562, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2288.816940986757, "return_pct": -77.11183059013244, "cagr_pct": -77.15034286599948, "max_drawdown_pct": 84.4077461138131, "mean_exposure_while_solvent": 1.1007900988215038, "realized_annual_volatility_pct": 93.77911451561737, "trading_costs_quote_units": 143.0489067455369, "borrowing_costs_quote_units": 29.840552193098933, "price_pnl_quote_units": -7538.293600074609, "turnover_quote_units": 47682.968915178935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2158.1111654579186, "return_pct": -78.41888834542081, "cagr_pct": -78.45664814050913, "max_drawdown_pct": 85.48914100725187, "mean_exposure_while_solvent": 1.1114350936918136, "realized_annual_volatility_pct": 94.66789761625624, "trading_costs_quote_units": 135.29456519020158, "borrowing_costs_quote_units": 30.47246212233043, "price_pnl_quote_units": -7676.12180722954, "turnover_quote_units": 45098.188396733894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1540.5723395127459, "return_pct": -84.59427660487255, "cagr_pct": -84.62715073547965, "max_drawdown_pct": 90.78732291992921, "mean_exposure_while_solvent": 1.16388320157472, "realized_annual_volatility_pct": 108.42956914008157, "trading_costs_quote_units": 167.64543566980018, "borrowing_costs_quote_units": 43.51772222929426, "price_pnl_quote_units": -8248.264502588181, "turnover_quote_units": 55881.811889933415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 126, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2473.829840658895, "return_pct": -75.26170159341105, "cagr_pct": -75.30113437447011, "max_drawdown_pct": 83.50477835100547, "mean_exposure_while_solvent": 1.0702629696242345, "realized_annual_volatility_pct": 90.85918131540905, "trading_costs_quote_units": 108.46173725277384, "borrowing_costs_quote_units": 21.34916159452446, "price_pnl_quote_units": -7396.359260493795, "turnover_quote_units": 36153.91241759128, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2437.8979418948247, "return_pct": -75.62102058105175, "cagr_pct": -75.66028732993718, "max_drawdown_pct": 83.74436824706102, "mean_exposure_while_solvent": 1.07439031904072, "realized_annual_volatility_pct": 90.995560274498, "trading_costs_quote_units": 108.07450105588201, "borrowing_costs_quote_units": 22.324464330699676, "price_pnl_quote_units": -7431.703092718591, "turnover_quote_units": 36024.833685294005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1701.8117053881758, "return_pct": -82.98188294611823, "cagr_pct": -83.01626712457362, "max_drawdown_pct": 89.90783643387444, "mean_exposure_while_solvent": 1.1254888615735503, "realized_annual_volatility_pct": 105.05117083406476, "trading_costs_quote_units": 146.79741563632132, "borrowing_costs_quote_units": 37.097884250009464, "price_pnl_quote_units": -8114.29299472549, "turnover_quote_units": 48932.47187877376, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 97, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1304.5880818461044, "return_pct": -86.95411918153896, "cagr_pct": -86.9844294119299, "max_drawdown_pct": 92.78152545508102, "mean_exposure_while_solvent": 1.3869197224672691, "realized_annual_volatility_pct": 128.53308141313786, "trading_costs_quote_units": 204.4802833764008, "borrowing_costs_quote_units": 77.6964140062095, "price_pnl_quote_units": -8413.235220771277, "turnover_quote_units": 68160.09445880016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 1807.1988556870158, "return_pct": -81.92801144312985, "cagr_pct": -81.9632872544258, "max_drawdown_pct": 87.94979945733584, "mean_exposure_while_solvent": 1.1030476346267046, "realized_annual_volatility_pct": 95.36392667894008, "trading_costs_quote_units": 121.15556569063963, "borrowing_costs_quote_units": 25.900989516160596, "price_pnl_quote_units": -8045.744589106201, "turnover_quote_units": 40385.18856354653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2246.217848646605, "return_pct": -77.53782151353394, "cagr_pct": -77.57609814636324, "max_drawdown_pct": 84.08736463463241, "mean_exposure_while_solvent": 1.1491716713748772, "realized_annual_volatility_pct": 96.08578162549297, "trading_costs_quote_units": 166.6330976019629, "borrowing_costs_quote_units": 85.55495925189052, "price_pnl_quote_units": -7501.594094499552, "turnover_quote_units": 55544.36586732096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2116.827887170547, "return_pct": -78.83172112829453, "cagr_pct": -78.86922472759879, "max_drawdown_pct": 85.19527626523707, "mean_exposure_while_solvent": 1.1598175576267211, "realized_annual_volatility_pct": 96.95364215521639, "trading_costs_quote_units": 157.4782196718531, "borrowing_costs_quote_units": 85.4741342195124, "price_pnl_quote_units": -7640.2197589380785, "turnover_quote_units": 52492.73989061778, "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": 6, "trace": "binance-2018-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1507.0784915921438, "return_pct": -84.92921508407856, "cagr_pct": -84.961752016296, "max_drawdown_pct": 90.62257307626234, "mean_exposure_while_solvent": 1.2122701608274935, "realized_annual_volatility_pct": 110.43302453361912, "trading_costs_quote_units": 183.45290780570858, "borrowing_costs_quote_units": 104.77933055882133, "price_pnl_quote_units": -8204.689270043335, "turnover_quote_units": 61150.96926856946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2277.156550643693, "return_pct": -77.22843449356307, "cagr_pct": -77.26688317503162, "max_drawdown_pct": 84.48393088497808, "mean_exposure_while_solvent": 1.1007988469165786, "realized_annual_volatility_pct": 93.7801244903277, "trading_costs_quote_units": 142.79297136636112, "borrowing_costs_quote_units": 59.55439928988184, "price_pnl_quote_units": -7520.496078700054, "turnover_quote_units": 47597.657122120356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2145.9844123133585, "return_pct": -78.54015587686641, "cagr_pct": -78.57784135851708, "max_drawdown_pct": 85.56423173012986, "mean_exposure_while_solvent": 1.1114447331684225, "realized_annual_volatility_pct": 94.66916406501691, "trading_costs_quote_units": 135.06187918438104, "borrowing_costs_quote_units": 60.806453708162515, "price_pnl_quote_units": -7658.1472547940875, "turnover_quote_units": 45020.62639479368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1527.8365192988856, "return_pct": -84.72163480701114, "cagr_pct": -84.75438170895568, "max_drawdown_pct": 90.85627233145492, "mean_exposure_while_solvent": 1.163897336369195, "realized_annual_volatility_pct": 108.43310134799754, "trading_costs_quote_units": 167.24602100124795, "borrowing_costs_quote_units": 86.77993895808501, "price_pnl_quote_units": -8218.137520741802, "turnover_quote_units": 55748.673667082665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 126, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2464.9761524472283, "return_pct": -75.35023847552772, "cagr_pct": -75.38963090245134, "max_drawdown_pct": 83.56381375718509, "mean_exposure_while_solvent": 1.0702690948865952, "realized_annual_volatility_pct": 90.85971613459719, "trading_costs_quote_units": 108.32794166134187, "borrowing_costs_quote_units": 42.63309358159687, "price_pnl_quote_units": -7384.062812309827, "turnover_quote_units": 36109.31388711395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2428.6644500934776, "return_pct": -75.71335549906523, "cagr_pct": -75.75257860948938, "max_drawdown_pct": 83.8059361412444, "mean_exposure_while_solvent": 1.0743967975045718, "realized_annual_volatility_pct": 90.99615112393532, "trading_costs_quote_units": 107.93965402777026, "borrowing_costs_quote_units": 44.5768568785307, "price_pnl_quote_units": -7418.819039000214, "turnover_quote_units": 35979.88467592341, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1690.9603632801575, "return_pct": -83.09039636719842, "cagr_pct": -83.12468458455645, "max_drawdown_pct": 89.96875548183152, "mean_exposure_while_solvent": 1.1254997234254214, "realized_annual_volatility_pct": 105.05428195411415, "trading_costs_quote_units": 146.52158171579018, "borrowing_costs_quote_units": 74.0239360742283, "price_pnl_quote_units": -8088.494118929844, "turnover_quote_units": 48840.527238596704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 97, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1279.3585958485826, "return_pct": -87.20641404151417, "cagr_pct": -87.23642277001869, "max_drawdown_pct": 92.91403834950731, "mean_exposure_while_solvent": 1.3869537377492323, "realized_annual_volatility_pct": 128.53813026158133, "trading_costs_quote_units": 203.42654920882413, "borrowing_costs_quote_units": 154.28067748697848, "price_pnl_quote_units": -8362.934177455652, "turnover_quote_units": 67808.84973627471, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 1797.7733769884087, "return_pct": -82.02226623011592, "cagr_pct": -82.05746521461909, "max_drawdown_pct": 88.01264749875166, "mean_exposure_while_solvent": 1.1030566609360626, "realized_annual_volatility_pct": 95.36583834947682, "trading_costs_quote_units": 120.98440995205769, "borrowing_costs_quote_units": 51.69582625937077, "price_pnl_quote_units": -8029.546386800166, "turnover_quote_units": 40328.136650685876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2212.737955262548, "return_pct": -77.87262044737452, "cagr_pct": -77.91070541809341, "max_drawdown_pct": 84.30910816902386, "mean_exposure_while_solvent": 1.1491974629694872, "realized_annual_volatility_pct": 96.08809186200406, "trading_costs_quote_units": 165.7354673706015, "borrowing_costs_quote_units": 170.05232669026026, "price_pnl_quote_units": -7451.474250676605, "turnover_quote_units": 55245.15579020049, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 117, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2083.077277563437, "return_pct": -79.16922722436564, "cagr_pct": -79.20651455463508, "max_drawdown_pct": 85.41005352013566, "mean_exposure_while_solvent": 1.1598451323702694, "realized_annual_volatility_pct": 96.95643774703207, "trading_costs_quote_units": 156.65447164849337, "borrowing_costs_quote_units": 169.84452462942406, "price_pnl_quote_units": -7590.423726158656, "turnover_quote_units": 52218.15721616444, "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": 6, "trace": "binance-2018-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1475.1600491294625, "return_pct": -85.24839950870538, "cagr_pct": -85.28060720211461, "max_drawdown_pct": 90.80148292882737, "mean_exposure_while_solvent": 1.2123067281752735, "realized_annual_volatility_pct": 110.44017757256006, "trading_costs_quote_units": 182.31947876661536, "borrowing_costs_quote_units": 207.959364357823, "price_pnl_quote_units": -8134.561107746114, "turnover_quote_units": 60773.159588871786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2254.00582947569, "return_pct": -77.4599417052431, "cagr_pct": -77.49826210214611, "max_drawdown_pct": 84.63522686932615, "mean_exposure_while_solvent": 1.1008163469088397, "realized_annual_volatility_pct": 93.78216020029974, "trading_costs_quote_units": 142.28508027873102, "borrowing_costs_quote_units": 118.60415643479219, "price_pnl_quote_units": -7485.104933810791, "turnover_quote_units": 47428.36009291035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2121.926961893344, "return_pct": -78.78073038106656, "cagr_pct": -78.81826611802751, "max_drawdown_pct": 85.71329022807728, "mean_exposure_while_solvent": 1.1114640163096219, "realized_annual_volatility_pct": 94.67171390723932, "trading_costs_quote_units": 134.60016068468684, "borrowing_costs_quote_units": 121.06161807498464, "price_pnl_quote_units": -7622.411259346982, "turnover_quote_units": 44866.72022822891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 88, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1502.6719916109248, "return_pct": -84.97328008389076, "cagr_pct": -85.0057720256548, "max_drawdown_pct": 90.99266444127889, "mean_exposure_while_solvent": 1.163925612114626, "realized_annual_volatility_pct": 108.44018607682098, "trading_costs_quote_units": 166.45356933523976, "borrowing_costs_quote_units": 172.54480016044747, "price_pnl_quote_units": -8158.32963889339, "turnover_quote_units": 55484.523111746545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 126, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2447.3589040826464, "return_pct": -75.52641095917355, "cagr_pct": -75.56572200749339, "max_drawdown_pct": 83.68128360569406, "mean_exposure_while_solvent": 1.0702813480700077, "realized_annual_volatility_pct": 90.8607979450628, "trading_costs_quote_units": 108.06111434905928, "borrowing_costs_quote_units": 85.00605047255802, "price_pnl_quote_units": -7359.573931095731, "turnover_quote_units": 36020.37144968643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 57, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2410.2972246958666, "return_pct": -75.89702775304133, "cagr_pct": -75.9361628651192, "max_drawdown_pct": 83.92840675301856, "mean_exposure_while_solvent": 1.0744097572442965, "realized_annual_volatility_pct": 90.99734562736155, "trading_costs_quote_units": 107.67074931876795, "borrowing_costs_quote_units": 88.86634559065277, "price_pnl_quote_units": -7393.165680394726, "turnover_quote_units": 35890.24977292265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 60, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1669.4589253342895, "return_pct": -83.3054107466571, "cagr_pct": -83.33950646946178, "max_drawdown_pct": 90.08952593378025, "mean_exposure_while_solvent": 1.1255214518631436, "realized_annual_volatility_pct": 105.06052230667594, "trading_costs_quote_units": 145.97279441705487, "borrowing_costs_quote_units": 147.36418391638952, "price_pnl_quote_units": -8037.204096332272, "turnover_quote_units": 48657.598139018264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 97, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1230.340393227592, "return_pct": -87.69659606772409, "cagr_pct": -87.7260026815861, "max_drawdown_pct": 93.17188249875268, "mean_exposure_while_solvent": 1.3870217840967298, "realized_annual_volatility_pct": 128.54824293471415, "trading_costs_quote_units": 201.3526697850215, "borrowing_costs_quote_units": 304.1870821976072, "price_pnl_quote_units": -8264.119854789773, "turnover_quote_units": 67117.55659500719, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2018", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1779.0645030185174, "return_pct": -82.20935496981483, "cagr_pct": -82.24439978540926, "max_drawdown_pct": 88.13739618512625, "mean_exposure_while_solvent": 1.1030747175239797, "realized_annual_volatility_pct": 95.36967787490408, "trading_costs_quote_units": 120.64348728832137, "borrowing_costs_quote_units": 102.96889548985926, "price_pnl_quote_units": -7997.323114203307, "turnover_quote_units": 40214.495762773775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 81, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 6, "trace": "binance-2018-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2018-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23919.86248479026, "return_pct": 139.1986248479026, "cagr_pct": 139.43699260510826, "max_drawdown_pct": 61.150645986961514, "mean_exposure_while_solvent": 1.1857875413544863, "realized_annual_volatility_pct": 84.49305432906537, "trading_costs_quote_units": 157.68113021078182, "borrowing_costs_quote_units": 214.09967841527703, "price_pnl_quote_units": 14291.643293416291, "turnover_quote_units": 262801.88368463627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23947.80588904951, "return_pct": 139.4780588904951, "cagr_pct": 139.71702475023253, "max_drawdown_pct": 62.521303833904355, "mean_exposure_while_solvent": 1.2335561134972564, "realized_annual_volatility_pct": 86.05423094623055, "trading_costs_quote_units": 153.7346899609795, "borrowing_costs_quote_units": 262.3237666265699, "price_pnl_quote_units": 14363.864345637101, "turnover_quote_units": 256224.48326829914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22790.66224821628, "return_pct": 127.90662248216277, "cagr_pct": 128.12113827096744, "max_drawdown_pct": 66.71712946650845, "mean_exposure_while_solvent": 1.2678984003362335, "realized_annual_volatility_pct": 89.6516382654673, "trading_costs_quote_units": 154.52081804931728, "borrowing_costs_quote_units": 327.43890652894976, "price_pnl_quote_units": 13272.621972794608, "turnover_quote_units": 257534.6967488621, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24051.74304598911, "return_pct": 140.5174304598911, "cagr_pct": 140.7586242696871, "max_drawdown_pct": 60.58813936982237, "mean_exposure_while_solvent": 1.1789269231319617, "realized_annual_volatility_pct": 84.09942812715644, "trading_costs_quote_units": 135.08122865926256, "borrowing_costs_quote_units": 201.74344624614298, "price_pnl_quote_units": 14388.567720894633, "turnover_quote_units": 225135.38109877094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24774.23029218926, "return_pct": 147.7423029218926, "cagr_pct": 147.99912450798817, "max_drawdown_pct": 62.165185122298226, "mean_exposure_while_solvent": 1.1966624028047237, "realized_annual_volatility_pct": 84.4899646672169, "trading_costs_quote_units": 126.79218730426642, "borrowing_costs_quote_units": 226.43784435091226, "price_pnl_quote_units": 15127.460323844425, "turnover_quote_units": 211320.31217377735, "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": 0, "trace": "reference-2019-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23787.381937073445, "return_pct": 137.87381937073445, "cagr_pct": 138.10935659725686, "max_drawdown_pct": 66.40087905799867, "mean_exposure_while_solvent": 1.2323560713987685, "realized_annual_volatility_pct": 88.38655400997271, "trading_costs_quote_units": 129.53220949786362, "borrowing_costs_quote_units": 298.4420373790967, "price_pnl_quote_units": 14215.356183950407, "turnover_quote_units": 215887.01582977272, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24099.0795565007, "return_pct": 140.99079556500698, "cagr_pct": 141.23300576400925, "max_drawdown_pct": 60.51057243625608, "mean_exposure_while_solvent": 1.1775698848923795, "realized_annual_volatility_pct": 83.8183469074981, "trading_costs_quote_units": 135.0296148831506, "borrowing_costs_quote_units": 198.94738495640127, "price_pnl_quote_units": 14433.056556340292, "turnover_quote_units": 225049.35813858436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24822.988738111482, "return_pct": 148.22988738111485, "cagr_pct": 148.48777240432662, "max_drawdown_pct": 62.0907219905103, "mean_exposure_while_solvent": 1.1953053645651415, "realized_annual_volatility_pct": 84.21018384928878, "trading_costs_quote_units": 126.73494854273828, "borrowing_costs_quote_units": 223.4406045942168, "price_pnl_quote_units": 15173.164291248439, "turnover_quote_units": 211224.91423789712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23834.19815546372, "return_pct": 138.34198155463721, "cagr_pct": 138.5785180768814, "max_drawdown_pct": 66.3347522438792, "mean_exposure_while_solvent": 1.230999033159186, "realized_annual_volatility_pct": 88.1191499936867, "trading_costs_quote_units": 129.4772507659064, "borrowing_costs_quote_units": 295.5641886625628, "price_pnl_quote_units": 14259.239594892188, "turnover_quote_units": 215795.41794317734, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16522.813094409154, "return_pct": 65.22813094409155, "cagr_pct": 65.32291651943099, "max_drawdown_pct": 63.73672525023093, "mean_exposure_while_solvent": 1.3024877993052963, "realized_annual_volatility_pct": 86.73597160976544, "trading_costs_quote_units": 124.75235352567334, "borrowing_costs_quote_units": 313.5624715918453, "price_pnl_quote_units": 6961.127919526719, "turnover_quote_units": 207920.58920945536, "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": 0, "trace": "reference-2019-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24614.982157196304, "return_pct": 146.14982157196303, "cagr_pct": 146.40317756906364, "max_drawdown_pct": 60.543836069697136, "mean_exposure_while_solvent": 1.1965303869095938, "realized_annual_volatility_pct": 84.8457849119545, "trading_costs_quote_units": 138.4125017583009, "borrowing_costs_quote_units": 234.49090022292617, "price_pnl_quote_units": 14987.885559177543, "turnover_quote_units": 230687.50293050145, "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": 0, "trace": "reference-2019-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23699.14982796322, "return_pct": 136.99149827963222, "cagr_pct": 137.22515505332683, "max_drawdown_pct": 61.23545059042249, "mean_exposure_while_solvent": 1.1858034778459796, "realized_annual_volatility_pct": 84.49471110047621, "trading_costs_quote_units": 156.66385467250615, "borrowing_costs_quote_units": 425.7535443213031, "price_pnl_quote_units": 14281.567226957004, "turnover_quote_units": 261106.42445417691, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23670.30414198553, "return_pct": 136.7030414198553, "cagr_pct": 136.93608423270106, "max_drawdown_pct": 62.62900176409434, "mean_exposure_while_solvent": 1.2335761207075568, "realized_annual_volatility_pct": 86.05617527570814, "trading_costs_quote_units": 152.48666492061471, "borrowing_costs_quote_units": 520.8286944366891, "price_pnl_quote_units": 14343.61950134289, "turnover_quote_units": 254144.44153435793, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22487.784995643073, "return_pct": 124.87784995643074, "cagr_pct": 125.08607572771892, "max_drawdown_pct": 66.84542503031494, "mean_exposure_while_solvent": 1.2679213595029908, "realized_annual_volatility_pct": 89.65427262234047, "trading_costs_quote_units": 153.06751736963278, "borrowing_costs_quote_units": 649.4589117135387, "price_pnl_quote_units": 13290.311424726191, "turnover_quote_units": 255112.52894938792, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23837.997378263397, "return_pct": 138.37997378263398, "cagr_pct": 138.61659144577473, "max_drawdown_pct": 60.66328513355579, "mean_exposure_while_solvent": 1.178942269712251, "realized_annual_volatility_pct": 84.10101889295004, "trading_costs_quote_units": 134.25706235197325, "borrowing_costs_quote_units": 401.26082102053726, "price_pnl_quote_units": 14373.515261635808, "turnover_quote_units": 223761.77058662203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24532.370139433024, "return_pct": 145.32370139433021, "cagr_pct": 145.57526421309598, "max_drawdown_pct": 62.24023441670094, "mean_exposure_while_solvent": 1.1966792641944248, "realized_annual_volatility_pct": 84.49154714143549, "trading_costs_quote_units": 125.87588350158572, "borrowing_costs_quote_units": 450.10342740032104, "price_pnl_quote_units": 15108.349450334868, "turnover_quote_units": 209793.1391693095, "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": 0, "trace": "reference-2019-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23513.03537527029, "return_pct": 135.13035375270292, "cagr_pct": 135.3600562957102, "max_drawdown_pct": 66.50052077906767, "mean_exposure_while_solvent": 1.2323760008881273, "realized_annual_volatility_pct": 88.38885269093653, "trading_costs_quote_units": 128.41784704810627, "borrowing_costs_quote_units": 592.5879834093134, "price_pnl_quote_units": 14234.041205727672, "turnover_quote_units": 214029.7450801771, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23886.55934464053, "return_pct": 138.86559344640528, "cagr_pct": 139.1032488689413, "max_drawdown_pct": 60.583149701270145, "mean_exposure_while_solvent": 1.1775851140091382, "realized_annual_volatility_pct": 83.81991545152144, "trading_costs_quote_units": 134.2056837400906, "borrowing_costs_quote_units": 395.71654785799296, "price_pnl_quote_units": 14416.481576238593, "turnover_quote_units": 223676.1395668177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24582.346658641316, "return_pct": 145.82346658641313, "cagr_pct": 146.0761138168525, "max_drawdown_pct": 62.16331149244827, "mean_exposure_while_solvent": 1.1953221084913124, "realized_annual_volatility_pct": 84.21174413993259, "trading_costs_quote_units": 125.8188928813568, "borrowing_costs_quote_units": 444.1652286015361, "price_pnl_quote_units": 15152.330780124134, "turnover_quote_units": 209698.1548022613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23560.935339986263, "return_pct": 135.6093533998626, "cagr_pct": 135.84007203065642, "max_drawdown_pct": 66.43227676688139, "mean_exposure_while_solvent": 1.2310188451850148, "realized_annual_volatility_pct": 88.1214297609421, "trading_costs_quote_units": 128.3632244224942, "borrowing_costs_quote_units": 586.8965203493791, "price_pnl_quote_units": 14276.19508475816, "turnover_quote_units": 213938.70737082366, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16274.441281454401, "return_pct": 62.74441281454401, "cagr_pct": 62.834956815040144, "max_drawdown_pct": 64.10003568918383, "mean_exposure_while_solvent": 1.3025137257925359, "realized_annual_volatility_pct": 86.73933789176911, "trading_costs_quote_units": 123.96797202234704, "borrowing_costs_quote_units": 622.2442052753593, "price_pnl_quote_units": 7020.653458752142, "turnover_quote_units": 206613.28670391173, "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": 0, "trace": "reference-2019-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24374.635732782255, "return_pct": 143.74635732782255, "cagr_pct": 143.99450521264745, "max_drawdown_pct": 60.640643637185555, "mean_exposure_while_solvent": 1.1965472255915972, "realized_annual_volatility_pct": 84.84747974345447, "trading_costs_quote_units": 137.41490188207018, "borrowing_costs_quote_units": 466.166736188934, "price_pnl_quote_units": 14978.217370853321, "turnover_quote_units": 229024.83647011706, "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": 0, "trace": "reference-2019-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23263.691001599236, "return_pct": 132.63691001599236, "cagr_pct": 132.86134138028243, "max_drawdown_pct": 61.40455172192982, "mean_exposure_while_solvent": 1.1858353577454672, "realized_annual_volatility_pct": 84.49804937130389, "trading_costs_quote_units": 154.6534683956942, "borrowing_costs_quote_units": 841.8191028067224, "price_pnl_quote_units": 14260.163572801708, "turnover_quote_units": 257755.78065949035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23124.75651520476, "return_pct": 131.24756515204763, "cagr_pct": 131.4690726684575, "max_drawdown_pct": 62.843529377897454, "mean_exposure_while_solvent": 1.23361614380533, "realized_annual_volatility_pct": 86.06008990008691, "trading_costs_quote_units": 150.02680579054595, "borrowing_costs_quote_units": 1026.5718258188995, "price_pnl_quote_units": 14301.355146814238, "turnover_quote_units": 250044.67631757667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21893.885948464584, "return_pct": 118.93885948464585, "cagr_pct": 119.13488754826074, "max_drawdown_pct": 67.10060493761569, "mean_exposure_while_solvent": 1.26796728780424, "realized_annual_volatility_pct": 89.65956673455612, "trading_costs_quote_units": 150.2091606076424, "borrowing_costs_quote_units": 1277.5471583255314, "price_pnl_quote_units": 13321.6422673978, "turnover_quote_units": 250348.60101273746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23416.06699154886, "return_pct": 134.1606699154886, "cagr_pct": 134.38831891807195, "max_drawdown_pct": 60.81318873210228, "mean_exposure_while_solvent": 1.1789729695317197, "realized_annual_volatility_pct": 84.1042248523229, "trading_costs_quote_units": 132.62811446753122, "borrowing_costs_quote_units": 793.7011883893077, "price_pnl_quote_units": 14342.3962944057, "turnover_quote_units": 221046.85744588528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24055.57460348139, "return_pct": 140.55574603481392, "cagr_pct": 140.79702207453252, "max_drawdown_pct": 62.389928318392116, "mean_exposure_while_solvent": 1.1967129942888997, "realized_annual_volatility_pct": 84.49473732787254, "trading_costs_quote_units": 124.06727855356556, "borrowing_costs_quote_units": 889.2336444206117, "price_pnl_quote_units": 15068.875526455631, "turnover_quote_units": 206778.7975892759, "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": 0, "trace": "reference-2019-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22973.645875060454, "return_pct": 129.73645875060456, "cagr_pct": 129.9547970221798, "max_drawdown_pct": 66.69897366835016, "mean_exposure_while_solvent": 1.232415868523271, "realized_annual_volatility_pct": 88.39347568138727, "trading_costs_quote_units": 126.22289930530219, "borrowing_costs_quote_units": 1168.20168444302, "price_pnl_quote_units": 14268.070458808785, "turnover_quote_units": 210371.4988421704, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23467.00462745345, "return_pct": 134.67004627453449, "cagr_pct": 134.89877343315254, "max_drawdown_pct": 60.72794454804069, "mean_exposure_while_solvent": 1.1776155788497822, "realized_annual_volatility_pct": 83.82307693543619, "trading_costs_quote_units": 132.577201154763, "borrowing_costs_quote_units": 782.8016401061985, "price_pnl_quote_units": 14382.383468714368, "turnover_quote_units": 220962.00192460493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24107.90337846611, "return_pct": 141.0790337846611, "cagr_pct": 141.32143356271288, "max_drawdown_pct": 62.30811406075634, "mean_exposure_while_solvent": 1.195355603606962, "realized_annual_volatility_pct": 84.21488994960863, "trading_costs_quote_units": 124.0107804050861, "borrowing_costs_quote_units": 877.5792666101088, "price_pnl_quote_units": 15109.493425481342, "turnover_quote_units": 206684.63400847674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23023.621099738768, "return_pct": 130.23621099738767, "cagr_pct": 130.45559614453484, "max_drawdown_pct": 66.62653299950756, "mean_exposure_while_solvent": 1.2310584778413334, "realized_annual_volatility_pct": 88.12601495163052, "trading_costs_quote_units": 126.16894222977356, "borrowing_costs_quote_units": 1157.071476450653, "price_pnl_quote_units": 14306.86151841924, "turnover_quote_units": 210281.57038295595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15788.70494113249, "return_pct": 57.887049411324895, "cagr_pct": 57.96942419235085, "max_drawdown_pct": 64.81673102049153, "mean_exposure_while_solvent": 1.3025655900228252, "realized_annual_volatility_pct": 86.74609591644136, "trading_costs_quote_units": 122.42312181538566, "borrowing_costs_quote_units": 1225.2389997088815, "price_pnl_quote_units": 7136.367062656746, "turnover_quote_units": 204038.53635897604, "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": 0, "trace": "reference-2019-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23900.82549554409, "return_pct": 139.00825495544092, "cagr_pct": 139.246215457571, "max_drawdown_pct": 60.83360020086506, "mean_exposure_while_solvent": 1.1965809102554261, "realized_annual_volatility_pct": 84.85089482383648, "trading_costs_quote_units": 135.4454179924958, "borrowing_costs_quote_units": 921.1888042798139, "price_pnl_quote_units": 14957.459717816437, "turnover_quote_units": 225742.3633208264, "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": 0, "trace": "reference-2019-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23619.38183782852, "return_pct": 136.1938183782852, "cagr_pct": 136.42577832677256, "max_drawdown_pct": 61.799449952716955, "mean_exposure_while_solvent": 1.1845196963650302, "realized_annual_volatility_pct": 84.07106876251191, "trading_costs_quote_units": 151.67831201504072, "borrowing_costs_quote_units": 214.83154245643263, "price_pnl_quote_units": 13985.891692300025, "turnover_quote_units": 252797.18669173453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24383.096469373606, "return_pct": 143.83096469373604, "cagr_pct": 144.07929545680213, "max_drawdown_pct": 62.36039952141286, "mean_exposure_while_solvent": 1.2322501569454711, "realized_annual_volatility_pct": 85.69695851518286, "trading_costs_quote_units": 149.48358803725057, "borrowing_costs_quote_units": 266.6821584845819, "price_pnl_quote_units": 14799.262215895464, "turnover_quote_units": 249139.31339541756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23245.143362867937, "return_pct": 132.45143362867938, "cagr_pct": 132.67547411121296, "max_drawdown_pct": 66.7438025959224, "mean_exposure_while_solvent": 1.26664126468661, "realized_annual_volatility_pct": 89.57581440208858, "trading_costs_quote_units": 148.53900919656357, "borrowing_costs_quote_units": 334.0533950387735, "price_pnl_quote_units": 13727.735767103339, "turnover_quote_units": 247565.01532760583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23852.291751449728, "return_pct": 138.52291751449727, "cagr_pct": 138.75984052801394, "max_drawdown_pct": 61.052471483626846, "mean_exposure_while_solvent": 1.1776113441275078, "realized_annual_volatility_pct": 83.75829330622273, "trading_costs_quote_units": 129.63097195973384, "borrowing_costs_quote_units": 202.5475192239082, "price_pnl_quote_units": 14184.470242633348, "turnover_quote_units": 216051.61993288968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25206.278325933497, "return_pct": 152.06278325933496, "cagr_pct": 152.32906595786483, "max_drawdown_pct": 61.76445509669344, "mean_exposure_while_solvent": 1.195454428249903, "realized_annual_volatility_pct": 84.2170162812237, "trading_costs_quote_units": 121.897438720015, "borrowing_costs_quote_units": 228.69918822022626, "price_pnl_quote_units": 15556.87495287372, "turnover_quote_units": 203162.3978666917, "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": 0, "trace": "reference-2019-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24260.55888896088, "return_pct": 142.6055888896088, "cagr_pct": 142.85127429796347, "max_drawdown_pct": 66.21726019966077, "mean_exposure_while_solvent": 1.2312207759605303, "realized_annual_volatility_pct": 88.31791644719816, "trading_costs_quote_units": 122.82590198089905, "borrowing_costs_quote_units": 302.70068841307176, "price_pnl_quote_units": 14686.085479354895, "turnover_quote_units": 204709.83663483185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23903.700565931125, "return_pct": 139.03700565931126, "cagr_pct": 139.2750276562114, "max_drawdown_pct": 60.968527924287926, "mean_exposure_while_solvent": 1.1762163263310657, "realized_annual_volatility_pct": 83.67915419622344, "trading_costs_quote_units": 129.568867159228, "borrowing_costs_quote_units": 199.72094558008595, "price_pnl_quote_units": 14232.990378670458, "turnover_quote_units": 215948.11193204674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25260.60538597985, "return_pct": 152.60605385979852, "cagr_pct": 152.87353225740694, "max_drawdown_pct": 61.68204607474237, "mean_exposure_while_solvent": 1.1940594104534605, "realized_annual_volatility_pct": 84.13830217512997, "trading_costs_quote_units": 121.82971010919849, "borrowing_costs_quote_units": 225.66107984251315, "price_pnl_quote_units": 15608.096175931543, "turnover_quote_units": 203049.51684866418, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24312.847641091455, "return_pct": 143.12847641091454, "cagr_pct": 143.37528977019684, "max_drawdown_pct": 66.1444483029606, "mean_exposure_while_solvent": 1.229825758164088, "realized_annual_volatility_pct": 88.24286475753745, "trading_costs_quote_units": 122.76071449348291, "borrowing_costs_quote_units": 299.77656743592934, "price_pnl_quote_units": 14735.384923020974, "turnover_quote_units": 204601.19082247157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17171.624463677912, "return_pct": 71.71624463677912, "cagr_pct": 71.8223102373788, "max_drawdown_pct": 63.349996239731986, "mean_exposure_while_solvent": 1.300361955642561, "realized_annual_volatility_pct": 86.96168544164846, "trading_costs_quote_units": 119.23398732968201, "borrowing_costs_quote_units": 319.91217549809664, "price_pnl_quote_units": 7610.770626505704, "turnover_quote_units": 198723.3122161366, "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": 0, "trace": "reference-2019-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25852.45939323434, "return_pct": 158.5245939323434, "cagr_pct": 158.80518464468776, "max_drawdown_pct": 59.00881978567962, "mean_exposure_while_solvent": 1.1955279938436996, "realized_annual_volatility_pct": 84.74382051582347, "trading_costs_quote_units": 129.71495013212711, "borrowing_costs_quote_units": 239.81354223718773, "price_pnl_quote_units": 16221.987885603641, "turnover_quote_units": 216191.58355354524, "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": 0, "trace": "reference-2019-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23401.372115021575, "return_pct": 134.01372115021576, "cagr_pct": 134.24105935372324, "max_drawdown_pct": 61.88373152050573, "mean_exposure_while_solvent": 1.1845355761488785, "realized_annual_volatility_pct": 84.07247750222446, "trading_costs_quote_units": 150.71593197677376, "borrowing_costs_quote_units": 427.2158400899118, "price_pnl_quote_units": 13979.303887088277, "turnover_quote_units": 251193.21996128955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24100.630719036268, "return_pct": 141.00630719036266, "cagr_pct": 141.24855071327903, "max_drawdown_pct": 62.46926946825672, "mean_exposure_while_solvent": 1.232270104277121, "realized_annual_volatility_pct": 85.69853555130781, "trading_costs_quote_units": 148.286493205302, "borrowing_costs_quote_units": 529.4826829990759, "price_pnl_quote_units": 14778.399895240664, "turnover_quote_units": 247144.15534217004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22936.316817107265, "return_pct": 129.36316817107266, "cagr_pct": 129.58072528920846, "max_drawdown_pct": 66.87265199793761, "mean_exposure_while_solvent": 1.2666641671515102, "realized_annual_volatility_pct": 89.57802536090009, "trading_costs_quote_units": 147.15512106837588, "borrowing_costs_quote_units": 662.5770960284867, "price_pnl_quote_units": 13746.04903420414, "turnover_quote_units": 245258.5351139598, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23640.268721353517, "return_pct": 136.4026872135352, "cagr_pct": 136.63509117040093, "max_drawdown_pct": 61.12760383455138, "mean_exposure_while_solvent": 1.177626628758224, "realized_annual_volatility_pct": 83.75961776147585, "trading_costs_quote_units": 128.8563300086629, "borrowing_costs_quote_units": 402.8657845836105, "price_pnl_quote_units": 14171.99083594579, "turnover_quote_units": 214760.55001443825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24960.275655999827, "return_pct": 149.60275655999826, "cagr_pct": 149.8636417358135, "max_drawdown_pct": 61.84097442324232, "mean_exposure_while_solvent": 1.1954712405974979, "realized_annual_volatility_pct": 84.21825176149783, "trading_costs_quote_units": 121.03398164431218, "borrowing_costs_quote_units": 454.6006249240457, "price_pnl_quote_units": 15535.91026256816, "turnover_quote_units": 201723.30274052033, "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": 0, "trace": "reference-2019-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23980.845788929684, "return_pct": 139.80845788929685, "cagr_pct": 140.04813141875096, "max_drawdown_pct": 66.31807316855513, "mean_exposure_while_solvent": 1.2312406612425426, "realized_annual_volatility_pct": 88.31980106075821, "trading_costs_quote_units": 121.78354753381217, "borrowing_costs_quote_units": 601.044008376704, "price_pnl_quote_units": 14703.673344840123, "turnover_quote_units": 202972.5792230203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23692.85425590875, "return_pct": 136.9285425590875, "cagr_pct": 137.16206530150683, "max_drawdown_pct": 61.041135877867106, "mean_exposure_while_solvent": 1.1762314896710668, "realized_annual_volatility_pct": 83.6804573589316, "trading_costs_quote_units": 128.79435229383694, "borrowing_costs_quote_units": 397.26083633202575, "price_pnl_quote_units": 14218.909444534676, "turnover_quote_units": 214657.2538230616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25015.797420726256, "return_pct": 150.15797420726255, "cagr_pct": 150.4200751660686, "max_drawdown_pct": 61.756093291741145, "mean_exposure_while_solvent": 1.1940761015103407, "realized_annual_volatility_pct": 84.13951628824424, "trading_costs_quote_units": 120.96642413994893, "borrowing_costs_quote_units": 448.58135595413626, "price_pnl_quote_units": 15585.345200820408, "turnover_quote_units": 201610.70689991498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24034.188904854527, "return_pct": 140.34188904854528, "cagr_pct": 140.58270621428247, "max_drawdown_pct": 66.24315091838284, "mean_exposure_while_solvent": 1.2298455221553855, "realized_annual_volatility_pct": 88.24472984160265, "trading_costs_quote_units": 121.71864095520114, "borrowing_costs_quote_units": 595.2609327841561, "price_pnl_quote_units": 14751.168478593823, "turnover_quote_units": 202864.4015920019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16914.02607705011, "return_pct": 69.14026077050113, "cagr_pct": 69.2418136742061, "max_drawdown_pct": 63.699719596362335, "mean_exposure_while_solvent": 1.3003877403746016, "realized_annual_volatility_pct": 86.96448677960585, "trading_costs_quote_units": 118.48772809582118, "borrowing_costs_quote_units": 634.8417318456521, "price_pnl_quote_units": 7667.35553699164, "turnover_quote_units": 197479.54682636878, "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": 0, "trace": "reference-2019-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25600.290441488847, "return_pct": 156.00290441488846, "cagr_pct": 156.27788924252374, "max_drawdown_pct": 59.10987331146058, "mean_exposure_while_solvent": 1.195544821442713, "realized_annual_volatility_pct": 84.7451033567314, "trading_costs_quote_units": 128.78975648022478, "borrowing_costs_quote_units": 476.74238309875767, "price_pnl_quote_units": 16205.82258106793, "turnover_quote_units": 214649.59413370801, "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": 0, "trace": "reference-2019-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22971.2462874, "return_pct": 129.712462874, "cagr_pct": 129.9307509105565, "max_drawdown_pct": 62.051783786716626, "mean_exposure_while_solvent": 1.184567342595909, "realized_annual_volatility_pct": 84.0753194222562, "trading_costs_quote_units": 148.8147694127658, "borrowing_costs_quote_units": 844.7377319705736, "price_pnl_quote_units": 13964.798788783324, "turnover_quote_units": 248024.615687943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23545.319746366364, "return_pct": 135.45319746366366, "cagr_pct": 135.6835847229322, "max_drawdown_pct": 62.686125455840916, "mean_exposure_while_solvent": 1.2323100075794402, "realized_annual_volatility_pct": 85.70171517387355, "trading_costs_quote_units": 145.92773298188177, "borrowing_costs_quote_units": 1043.6315273510766, "price_pnl_quote_units": 14734.879006699266, "turnover_quote_units": 243212.88830313616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22330.746845998623, "return_pct": 123.30746845998624, "cagr_pct": 123.51245127288766, "max_drawdown_pct": 67.1289258199365, "mean_exposure_while_solvent": 1.26670998201029, "realized_annual_volatility_pct": 89.5824720922862, "trading_costs_quote_units": 144.4342615971701, "borrowing_costs_quote_units": 1303.346283565819, "price_pnl_quote_units": 13778.527391161673, "turnover_quote_units": 240723.7693286169, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23221.738380420873, "return_pct": 132.2173838042087, "cagr_pct": 132.44093128075258, "max_drawdown_pct": 61.27747560583524, "mean_exposure_while_solvent": 1.1776572046389098, "realized_annual_volatility_pct": 83.76229081996026, "trading_costs_quote_units": 127.3259871085567, "borrowing_costs_quote_units": 796.8982667120981, "price_pnl_quote_units": 14145.962634241507, "turnover_quote_units": 212209.9785142611, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24475.30969498448, "return_pct": 144.7530969498448, "cagr_pct": 145.0034230718023, "max_drawdown_pct": 61.993596341424286, "mean_exposure_while_solvent": 1.1955048725744581, "realized_annual_volatility_pct": 84.2207474129468, "trading_costs_quote_units": 119.3303986219343, "borrowing_costs_quote_units": 898.1269689811228, "price_pnl_quote_units": 15492.767062587653, "turnover_quote_units": 198883.9977032239, "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": 0, "trace": "reference-2019-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23430.90036734543, "return_pct": 134.3090036734543, "cagr_pct": 134.53696651143582, "max_drawdown_pct": 66.51885312794342, "mean_exposure_while_solvent": 1.2312804404291755, "realized_annual_volatility_pct": 88.32359519081916, "trading_costs_quote_units": 119.7313893086318, "borrowing_costs_quote_units": 1184.8713890737235, "price_pnl_quote_units": 14735.503145727795, "turnover_quote_units": 199552.3155143863, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23276.60368728914, "return_pct": 132.76603687289145, "cagr_pct": 132.99074046519297, "max_drawdown_pct": 61.18598705537464, "mean_exposure_while_solvent": 1.1762618229167163, "realized_annual_volatility_pct": 83.68308778666194, "trading_costs_quote_units": 127.264259076357, "borrowing_costs_quote_units": 785.8787575966294, "price_pnl_quote_units": 14189.746703962162, "turnover_quote_units": 212107.09846059507, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24533.136777311956, "return_pct": 145.33136777311958, "cagr_pct": 145.5829472179242, "max_drawdown_pct": 61.903799748011366, "mean_exposure_while_solvent": 1.1941094908522647, "realized_annual_volatility_pct": 84.14196917994059, "trading_costs_quote_units": 119.26317909512679, "borrowing_costs_quote_units": 886.313087914915, "price_pnl_quote_units": 15538.713044322172, "turnover_quote_units": 198771.96515854454, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23486.25985498562, "return_pct": 134.86259854985622, "cagr_pct": 135.0917335981459, "max_drawdown_pct": 66.43974822342058, "mean_exposure_while_solvent": 1.2298850587069818, "realized_annual_volatility_pct": 88.24848492687187, "trading_costs_quote_units": 119.66703817048497, "borrowing_costs_quote_units": 1173.5616294153722, "price_pnl_quote_units": 14779.48852257151, "turnover_quote_units": 199445.06361747492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16410.226088109688, "return_pct": 64.10226088109687, "cagr_pct": 64.19511841810174, "max_drawdown_pct": 64.38937974528663, "mean_exposure_while_solvent": 1.3004393210288197, "realized_annual_volatility_pct": 86.97011547211383, "trading_costs_quote_units": 117.015899510892, "borrowing_costs_quote_units": 1250.0324816488212, "price_pnl_quote_units": 7777.274469269361, "turnover_quote_units": 195026.49918482, "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": 0, "trace": "reference-2019-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25103.16062120209, "return_pct": 151.0316062120209, "cagr_pct": 151.29562305338752, "max_drawdown_pct": 59.311295222157234, "mean_exposure_while_solvent": 1.1955784839340415, "realized_annual_volatility_pct": 84.74769354265321, "trading_costs_quote_units": 126.96883111480474, "borrowing_costs_quote_units": 942.0644697812444, "price_pnl_quote_units": 16172.193922098264, "turnover_quote_units": 211614.71852467454, "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": 0, "trace": "reference-2019-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23322.457802029774, "return_pct": 133.2245780202977, "cagr_pct": 133.45024898105265, "max_drawdown_pct": 61.536827063081034, "mean_exposure_while_solvent": 1.1857875413544863, "realized_annual_volatility_pct": 84.4814441739891, "trading_costs_quote_units": 776.2400706394147, "borrowing_costs_quote_units": 211.18790399518426, "price_pnl_quote_units": 14309.885776664234, "turnover_quote_units": 258746.69021313824, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23379.056143870577, "return_pct": 133.79056143870577, "cagr_pct": 134.0174278577131, "max_drawdown_pct": 62.90300496028047, "mean_exposure_while_solvent": 1.2335561134972564, "realized_annual_volatility_pct": 86.04819280339424, "trading_costs_quote_units": 757.4290187775628, "borrowing_costs_quote_units": 258.9011627304269, "price_pnl_quote_units": 14395.386325378506, "turnover_quote_units": 252476.33959252082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22252.591482878423, "return_pct": 122.52591482878424, "cagr_pct": 122.7292883781069, "max_drawdown_pct": 67.11688187955728, "mean_exposure_while_solvent": 1.2678984003362335, "realized_annual_volatility_pct": 89.65821086713672, "trading_costs_quote_units": 761.5662584118426, "borrowing_costs_quote_units": 323.3352037206936, "price_pnl_quote_units": 13337.492945010847, "turnover_quote_units": 253855.4194706145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23510.993100607702, "return_pct": 135.10993100607703, "cagr_pct": 135.33959025172294, "max_drawdown_pct": 60.88140307003938, "mean_exposure_while_solvent": 1.1789269231319617, "realized_annual_volatility_pct": 84.08699232789786, "trading_costs_quote_units": 665.8742977498487, "borrowing_costs_quote_units": 199.14720098743564, "price_pnl_quote_units": 14376.014599344948, "turnover_quote_units": 221958.0992499496, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24322.458661721805, "return_pct": 143.22458661721805, "cagr_pct": 143.47160744150025, "max_drawdown_pct": 62.45237461535578, "mean_exposure_while_solvent": 1.1966624028047237, "realized_annual_volatility_pct": 84.48130378512566, "trading_costs_quote_units": 626.9511658299433, "borrowing_costs_quote_units": 224.35910825094103, "price_pnl_quote_units": 15173.768935802655, "turnover_quote_units": 208983.72194331454, "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": 0, "trace": "reference-2019-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23356.222242317548, "return_pct": 133.56222242317548, "cagr_pct": 133.78860636040147, "max_drawdown_pct": 66.71743899085563, "mean_exposure_while_solvent": 1.2323560713987682, "realized_annual_volatility_pct": 88.39144095597258, "trading_costs_quote_units": 640.6859275576393, "borrowing_costs_quote_units": 295.7862749957464, "price_pnl_quote_units": 14292.694444870926, "turnover_quote_units": 213561.97585254643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23557.433018606753, "return_pct": 135.57433018606756, "cagr_pct": 135.80497448535957, "max_drawdown_pct": 60.80413434617513, "mean_exposure_while_solvent": 1.1775698848923795, "realized_annual_volatility_pct": 83.80208736080861, "trading_costs_quote_units": 665.6210870399144, "borrowing_costs_quote_units": 196.4022038461435, "price_pnl_quote_units": 14419.456309492743, "turnover_quote_units": 221873.6956799714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24370.501421164285, "return_pct": 143.70501421164286, "cagr_pct": 143.95307274583047, "max_drawdown_pct": 62.37820894160217, "mean_exposure_while_solvent": 1.1953053645651415, "realized_annual_volatility_pct": 84.19772944542831, "trading_costs_quote_units": 626.6690513154375, "borrowing_costs_quote_units": 221.4033835034288, "price_pnl_quote_units": 15218.573855983172, "turnover_quote_units": 208889.68377181253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23402.35645030524, "return_pct": 134.0235645030524, "cagr_pct": 134.2509235221149, "max_drawdown_pct": 66.65169785446685, "mean_exposure_while_solvent": 1.230999033159186, "realized_annual_volatility_pct": 88.12045461081821, "trading_costs_quote_units": 640.4150203524828, "borrowing_costs_quote_units": 292.94796966444136, "price_pnl_quote_units": 14335.719440322155, "turnover_quote_units": 213471.67345082757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16147.991586712498, "return_pct": 61.47991586712498, "cagr_pct": 61.56831703780619, "max_drawdown_pct": 64.22952097848172, "mean_exposure_while_solvent": 1.3024877993052961, "realized_annual_volatility_pct": 86.73059142987016, "trading_costs_quote_units": 615.8444010811224, "borrowing_costs_quote_units": 308.9732165992093, "price_pnl_quote_units": 7072.809204392802, "turnover_quote_units": 205281.46702704066, "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": 0, "trace": "reference-2019-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24154.592465180503, "return_pct": 141.54592465180502, "cagr_pct": 141.7893281557558, "max_drawdown_pct": 60.88198858210592, "mean_exposure_while_solvent": 1.1965303869095938, "realized_annual_volatility_pct": 84.84526005813716, "trading_costs_quote_units": 684.3186077705584, "borrowing_costs_quote_units": 232.36454300397065, "price_pnl_quote_units": 15071.27561595507, "turnover_quote_units": 228106.20259018612, "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": 0, "trace": "reference-2019-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23107.286269814173, "return_pct": 131.0728626981417, "cagr_pct": 131.29400323178473, "max_drawdown_pct": 61.620920853436054, "mean_exposure_while_solvent": 1.1858034778459796, "realized_annual_volatility_pct": 84.4831333172573, "trading_costs_quote_units": 771.2465451634632, "borrowing_costs_quote_units": 419.9702669604201, "price_pnl_quote_units": 14298.503081938075, "turnover_quote_units": 257082.18172115437, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23108.181517230663, "return_pct": 131.08181517230665, "cagr_pct": 131.3029745079862, "max_drawdown_pct": 63.009772965660545, "mean_exposure_while_solvent": 1.2335761207075568, "realized_annual_volatility_pct": 86.05017138295108, "trading_costs_quote_units": 751.2971056272387, "borrowing_costs_quote_units": 514.0427832906576, "price_pnl_quote_units": 14373.52140614869, "turnover_quote_units": 250432.36854241294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21956.92318846425, "return_pct": 119.5692318846425, "cagr_pct": 119.76654596957923, "max_drawdown_pct": 67.24378552571221, "mean_exposure_while_solvent": 1.2679213595029908, "realized_annual_volatility_pct": 89.66088687208638, "trading_costs_quote_units": 754.4238869048304, "borrowing_costs_quote_units": 641.3315776992995, "price_pnl_quote_units": 13352.678653068384, "turnover_quote_units": 251474.62896827672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23302.08891675993, "return_pct": 133.02088916759928, "cagr_pct": 133.24613028551363, "max_drawdown_pct": 60.95610339389187, "mean_exposure_while_solvent": 1.178942269712251, "realized_annual_volatility_pct": 84.08861363486808, "trading_costs_quote_units": 661.8234996652942, "borrowing_costs_quote_units": 396.10289470774904, "price_pnl_quote_units": 14360.015311132956, "turnover_quote_units": 220607.83322176468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24085.08411096357, "return_pct": 140.8508411096357, "cagr_pct": 141.09275069354763, "max_drawdown_pct": 62.52697426610051, "mean_exposure_while_solvent": 1.1966792641944248, "realized_annual_volatility_pct": 84.48291856615214, "trading_costs_quote_units": 622.4306559181966, "borrowing_costs_quote_units": 445.9776202776321, "price_pnl_quote_units": 15153.492387159427, "turnover_quote_units": 207476.88530606558, "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": 0, "trace": "reference-2019-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23086.95056533871, "return_pct": 130.8695056533871, "cagr_pct": 131.0902192023704, "max_drawdown_pct": 66.81624941634966, "mean_exposure_while_solvent": 1.2323760008881275, "realized_annual_volatility_pct": 88.39378077462328, "trading_costs_quote_units": 635.1873213589583, "borrowing_costs_quote_units": 587.323401832712, "price_pnl_quote_units": 14309.461288530443, "turnover_quote_units": 211729.107119653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23349.731164752742, "return_pct": 133.4973116475274, "cagr_pct": 133.723558474501, "max_drawdown_pct": 60.8762762585926, "mean_exposure_while_solvent": 1.1775851140091382, "realized_annual_volatility_pct": 83.80368730749342, "trading_costs_quote_units": 661.571428060301, "borrowing_costs_quote_units": 390.6598665020677, "price_pnl_quote_units": 14401.962459315137, "turnover_quote_units": 220523.8093534336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24134.327230507122, "return_pct": 141.34327230507125, "cagr_pct": 141.58624001832544, "max_drawdown_pct": 62.45035885228789, "mean_exposure_while_solvent": 1.1953221084913124, "realized_annual_volatility_pct": 84.1993228893275, "trading_costs_quote_units": 622.1497467689089, "borrowing_costs_quote_units": 440.12165129566694, "price_pnl_quote_units": 15196.598628571757, "turnover_quote_units": 207383.24892296953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23134.152952565048, "return_pct": 131.34152952565046, "cagr_pct": 131.56323448760315, "max_drawdown_pct": 66.7484036330688, "mean_exposure_while_solvent": 1.2310188451850148, "realized_annual_volatility_pct": 88.12277637647206, "trading_costs_quote_units": 634.9180536406861, "borrowing_costs_quote_units": 581.7101157932733, "price_pnl_quote_units": 14350.781121999125, "turnover_quote_units": 211639.35121356207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15905.140680045068, "return_pct": 59.051406800450664, "cagr_pct": 59.13572443995698, "max_drawdown_pct": 64.58850319816752, "mean_exposure_while_solvent": 1.3025137257925359, "realized_annual_volatility_pct": 86.73400007233369, "trading_costs_quote_units": 611.9864674149744, "borrowing_costs_quote_units": 613.1478057938793, "price_pnl_quote_units": 7130.274953253957, "turnover_quote_units": 203995.48913832507, "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": 0, "trace": "reference-2019-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23918.78941547216, "return_pct": 139.18789415472165, "cagr_pct": 139.42623895132473, "max_drawdown_pct": 60.97807339179773, "mean_exposure_while_solvent": 1.1965472255915972, "realized_annual_volatility_pct": 84.84699354383383, "trading_costs_quote_units": 679.3969422019197, "borrowing_costs_quote_units": 461.9457894462117, "price_pnl_quote_units": 15060.132147120301, "turnover_quote_units": 226465.64740063992, "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": 0, "trace": "reference-2019-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22682.734570318633, "return_pct": 126.82734570318632, "cagr_pct": 127.03961478412124, "max_drawdown_pct": 61.78860378325612, "mean_exposure_while_solvent": 1.1858353577454672, "realized_annual_volatility_pct": 84.48653772057546, "trading_costs_quote_units": 761.3773924756982, "borrowing_costs_quote_units": 830.4110813518364, "price_pnl_quote_units": 14274.523044146214, "turnover_quote_units": 253792.46415856612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22575.636626150834, "return_pct": 125.75636626150835, "cagr_pct": 125.96641171646294, "max_drawdown_pct": 63.22244682746137, "mean_exposure_while_solvent": 1.23361614380533, "realized_annual_volatility_pct": 86.05415587504362, "trading_costs_quote_units": 739.2103231399138, "borrowing_costs_quote_units": 1013.2329553656392, "price_pnl_quote_units": 14328.079904656379, "turnover_quote_units": 246403.44104663786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21377.134449163565, "return_pct": 113.77134449163565, "cagr_pct": 113.95690916914032, "max_drawdown_pct": 67.49619522782753, "mean_exposure_while_solvent": 1.26796728780424, "realized_annual_volatility_pct": 89.6662655958022, "trading_costs_quote_units": 740.3753817735261, "borrowing_costs_quote_units": 1261.606539196373, "price_pnl_quote_units": 13379.116370133497, "turnover_quote_units": 246791.79392450888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22889.689826400434, "return_pct": 128.89689826400434, "cagr_pct": 129.11348063555067, "max_drawdown_pct": 61.10511778929244, "mean_exposure_while_solvent": 1.1789729695317197, "realized_annual_volatility_pct": 84.09188206787535, "trading_costs_quote_units": 653.8165922421226, "borrowing_costs_quote_units": 783.5213918871691, "price_pnl_quote_units": 14327.027810529751, "turnover_quote_units": 217938.8640807076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23617.10362153074, "return_pct": 136.17103621530737, "cagr_pct": 136.4029477468001, "max_drawdown_pct": 62.6757706198241, "mean_exposure_while_solvent": 1.1967129942888997, "realized_annual_volatility_pct": 84.4861747471376, "trading_costs_quote_units": 613.5074397349948, "borrowing_costs_quote_units": 881.106314560185, "price_pnl_quote_units": 15111.717375825943, "turnover_quote_units": 204502.479911665, "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": 0, "trace": "reference-2019-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22557.510831405125, "return_pct": 125.57510831405123, "cagr_pct": 125.78477800592509, "max_drawdown_pct": 67.0130457196677, "mean_exposure_while_solvent": 1.232415868523271, "realized_annual_volatility_pct": 88.39848736401386, "trading_costs_quote_units": 624.356076339698, "borrowing_costs_quote_units": 1157.8565100143621, "price_pnl_quote_units": 14339.723417759225, "turnover_quote_units": 208118.69211323268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22939.662875837526, "return_pct": 129.39662875837524, "cagr_pct": 129.61425586828335, "max_drawdown_pct": 61.020202009030356, "mean_exposure_while_solvent": 1.1776155788497822, "realized_annual_volatility_pct": 83.80691299324545, "trading_costs_quote_units": 653.5667752162085, "borrowing_costs_quote_units": 772.8208565606019, "price_pnl_quote_units": 14366.050507614304, "turnover_quote_units": 217855.59173873617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23668.66476961926, "return_pct": 136.68664769619258, "cagr_pct": 136.9196556281878, "max_drawdown_pct": 62.594283907939285, "mean_exposure_while_solvent": 1.195355603606962, "realized_annual_volatility_pct": 84.20253639166305, "trading_costs_quote_units": 613.2289238228224, "borrowing_costs_quote_units": 869.6132533250008, "price_pnl_quote_units": 15151.506946767106, "turnover_quote_units": 204409.64127427415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22606.75866361715, "return_pct": 126.06758663617153, "cagr_pct": 126.27827766574345, "max_drawdown_pct": 66.94102819957317, "mean_exposure_while_solvent": 1.2310584778413334, "realized_annual_volatility_pct": 88.12744689216119, "trading_costs_quote_units": 624.0900561787917, "borrowing_costs_quote_units": 1146.8790905367964, "price_pnl_quote_units": 14377.727810332695, "turnover_quote_units": 208030.01872626395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15430.182572591046, "return_pct": 54.30182572591047, "cagr_pct": 54.378280175204566, "max_drawdown_pct": 65.29591533206161, "mean_exposure_while_solvent": 1.3025655900228252, "realized_annual_volatility_pct": 86.74084287678191, "trading_costs_quote_units": 604.3875134975548, "borrowing_costs_quote_units": 1207.3685652351173, "price_pnl_quote_units": 7241.938651323736, "turnover_quote_units": 201462.50449918475, "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": 0, "trace": "reference-2019-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23453.909053828193, "return_pct": 134.53909053828195, "cagr_pct": 134.76754039245543, "max_drawdown_pct": 61.16958860034538, "mean_exposure_while_solvent": 1.1965809102554261, "realized_annual_volatility_pct": 84.85048731714116, "trading_costs_quote_units": 669.6798097753906, "borrowing_costs_quote_units": 912.8715710062485, "price_pnl_quote_units": 15036.460434609808, "turnover_quote_units": 223226.6032584635, "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": 0, "trace": "reference-2019-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23050.112418959205, "return_pct": 130.50112418959205, "cagr_pct": 130.7210647776563, "max_drawdown_pct": 62.15430013181293, "mean_exposure_while_solvent": 1.1845196963650302, "realized_annual_volatility_pct": 84.08526433329983, "trading_costs_quote_units": 747.1057494374469, "borrowing_costs_quote_units": 212.0131288807076, "price_pnl_quote_units": 14009.231297277363, "turnover_quote_units": 249035.24981248225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23829.696845616498, "return_pct": 138.29696845616496, "cagr_pct": 138.53340885184502, "max_drawdown_pct": 62.71566213902917, "mean_exposure_while_solvent": 1.2322501569454711, "realized_annual_volatility_pct": 85.70269020714315, "trading_costs_quote_units": 736.9338850789389, "borrowing_costs_quote_units": 263.3482052197809, "price_pnl_quote_units": 14829.97893591523, "turnover_quote_units": 245644.6283596464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22723.784770058533, "return_pct": 127.23784770058532, "cagr_pct": 127.45097062386886, "max_drawdown_pct": 67.11443118506911, "mean_exposure_while_solvent": 1.26664126468661, "realized_annual_volatility_pct": 89.58891529504828, "trading_costs_quote_units": 732.5666757235053, "borrowing_costs_quote_units": 330.06723930401085, "price_pnl_quote_units": 13786.418685086117, "turnover_quote_units": 244188.8919078352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23335.841160146552, "return_pct": 133.35841160146552, "cagr_pct": 133.5843651009252, "max_drawdown_pct": 61.31871819215785, "mean_exposure_while_solvent": 1.1776113441275078, "realized_annual_volatility_pct": 83.76801225749935, "trading_costs_quote_units": 639.3457759831234, "borrowing_costs_quote_units": 200.03243430202178, "price_pnl_quote_units": 14175.21937043164, "turnover_quote_units": 213115.2586610411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24769.283778195222, "return_pct": 147.69283778195222, "cagr_pct": 147.94955154434345, "max_drawdown_pct": 62.028391785938354, "mean_exposure_while_solvent": 1.195454428249903, "realized_annual_volatility_pct": 84.21635799545764, "trading_costs_quote_units": 603.0525952314152, "borrowing_costs_quote_units": 226.6948040468506, "price_pnl_quote_units": 15599.03117747348, "turnover_quote_units": 201017.53174380495, "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": 0, "trace": "reference-2019-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23845.668528821876, "return_pct": 138.45668528821875, "cagr_pct": 138.6934668070517, "max_drawdown_pct": 66.50824430372208, "mean_exposure_while_solvent": 1.2312207759605303, "realized_annual_volatility_pct": 88.32975507434296, "trading_costs_quote_units": 607.851751492839, "borrowing_costs_quote_units": 300.1492755557778, "price_pnl_quote_units": 14753.669555870458, "turnover_quote_units": 202617.25049761296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23386.31914577615, "return_pct": 133.8631914577615, "cagr_pct": 134.09021139797423, "max_drawdown_pct": 61.235046334184915, "mean_exposure_while_solvent": 1.1762163263310657, "realized_annual_volatility_pct": 83.68127300319954, "trading_costs_quote_units": 639.0408790245141, "borrowing_costs_quote_units": 197.2556555341254, "price_pnl_quote_units": 14222.615680334775, "turnover_quote_units": 213013.62634150469, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24822.86245753362, "return_pct": 148.22862457533623, "cagr_pct": 148.48650684291192, "max_drawdown_pct": 61.94625502983823, "mean_exposure_while_solvent": 1.1940594104534608, "realized_annual_volatility_pct": 84.13007398722459, "trading_costs_quote_units": 602.7185778116977, "borrowing_costs_quote_units": 223.69686483248339, "price_pnl_quote_units": 15649.277900177838, "turnover_quote_units": 200906.1926038991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23897.249327005477, "return_pct": 138.97249327005477, "cagr_pct": 139.2103772871773, "max_drawdown_pct": 66.43579796029933, "mean_exposure_while_solvent": 1.229825758164088, "realized_annual_volatility_pct": 88.24749729031831, "trading_costs_quote_units": 607.5301891600419, "borrowing_costs_quote_units": 297.2631257011629, "price_pnl_quote_units": 14802.042641866665, "turnover_quote_units": 202510.0630533472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16806.117729939193, "return_pct": 68.06117729939194, "cagr_pct": 68.16085312776427, "max_drawdown_pct": 63.74076616868154, "mean_exposure_while_solvent": 1.300361955642561, "realized_annual_volatility_pct": 86.97157625868158, "trading_costs_quote_units": 588.9650361941103, "borrowing_costs_quote_units": 315.42640084377337, "price_pnl_quote_units": 7710.509166977015, "turnover_quote_units": 196321.67873136984, "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": 0, "trace": "reference-2019-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25403.722416357665, "return_pct": 154.03722416357667, "cagr_pct": 154.30785885740127, "max_drawdown_pct": 59.31945387340173, "mean_exposure_while_solvent": 1.1955279938436996, "realized_annual_volatility_pct": 84.74503476034344, "trading_costs_quote_units": 641.777915161101, "borrowing_costs_quote_units": 237.75897779744957, "price_pnl_quote_units": 16283.259309316147, "turnover_quote_units": 213925.9717203669, "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": 0, "trace": "reference-2019-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22837.35273239885, "return_pct": 128.3735273239885, "cagr_pct": 128.58901687304544, "max_drawdown_pct": 62.23790333231156, "mean_exposure_while_solvent": 1.1845355761488785, "realized_annual_volatility_pct": 84.08669441909801, "trading_costs_quote_units": 742.3782563792918, "borrowing_costs_quote_units": 421.61725174117646, "price_pnl_quote_units": 14001.348240519299, "turnover_quote_units": 247459.41879309702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23553.623419146334, "return_pct": 135.53623419146334, "cagr_pct": 135.76679764450517, "max_drawdown_pct": 62.82364612636382, "mean_exposure_while_solvent": 1.232270104277121, "realized_annual_volatility_pct": 85.70428838727857, "trading_costs_quote_units": 731.0470986096633, "borrowing_costs_quote_units": 522.8712239837541, "price_pnl_quote_units": 14807.541741739726, "turnover_quote_units": 243682.36620322094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22421.903001128823, "return_pct": 124.21903001128824, "cagr_pct": 124.42589373557537, "max_drawdown_pct": 67.24196948728243, "mean_exposure_while_solvent": 1.2666641671515102, "realized_annual_volatility_pct": 89.59115412624905, "trading_costs_quote_units": 725.759643206242, "borrowing_costs_quote_units": 654.6809325078358, "price_pnl_quote_units": 13802.343576843023, "turnover_quote_units": 241919.88106874717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23128.410948518365, "return_pct": 131.28410948518368, "cagr_pct": 131.50569378631093, "max_drawdown_pct": 61.39342379754624, "mean_exposure_while_solvent": 1.177626628758224, "realized_annual_volatility_pct": 83.76935554250056, "trading_costs_quote_units": 635.5357389284613, "borrowing_costs_quote_units": 397.86844952040747, "price_pnl_quote_units": 14161.815136967192, "turnover_quote_units": 211845.24630948712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24527.56325489789, "return_pct": 145.27563254897888, "cagr_pct": 145.5270911273209, "max_drawdown_pct": 62.10447826711152, "mean_exposure_while_solvent": 1.1954712405974979, "realized_annual_volatility_pct": 84.21761148072905, "trading_costs_quote_units": 598.7895935473047, "borrowing_costs_quote_units": 450.6213651284311, "price_pnl_quote_units": 15576.974213573625, "turnover_quote_units": 199596.53118243485, "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": 0, "trace": "reference-2019-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23570.79874393103, "return_pct": 135.7079874393103, "cagr_pct": 135.9389154380292, "max_drawdown_pct": 66.60827305870771, "mean_exposure_while_solvent": 1.2312406612425426, "realized_annual_volatility_pct": 88.33166559303002, "trading_costs_quote_units": 602.7047305646017, "borrowing_costs_quote_units": 595.9848997574245, "price_pnl_quote_units": 14769.488374253124, "turnover_quote_units": 200901.57685486737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23180.044365617996, "return_pct": 131.80044365617997, "cagr_pct": 132.0231135528982, "max_drawdown_pct": 61.30723588535949, "mean_exposure_while_solvent": 1.1762314896710668, "realized_annual_volatility_pct": 83.68259598623344, "trading_costs_quote_units": 635.2314515209496, "borrowing_costs_quote_units": 392.3622518424313, "price_pnl_quote_units": 14207.638068981338, "turnover_quote_units": 211743.81717364973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24582.320233524606, "return_pct": 145.82320233524607, "cagr_pct": 146.07584899199458, "max_drawdown_pct": 62.01987776065225, "mean_exposure_while_solvent": 1.1940761015103407, "realized_annual_volatility_pct": 84.13130706156949, "trading_costs_quote_units": 598.4564036294314, "borrowing_costs_quote_units": 444.6816879034029, "price_pnl_quote_units": 15625.45832505738, "turnover_quote_units": 199485.46787647708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23623.419777240495, "return_pct": 136.23419777240494, "cagr_pct": 136.46624354196558, "max_drawdown_pct": 66.53372712605913, "mean_exposure_while_solvent": 1.2298455221553855, "realized_annual_volatility_pct": 88.24938924876604, "trading_costs_quote_units": 602.3845376283494, "borrowing_costs_quote_units": 590.2769158447903, "price_pnl_quote_units": 14816.081230713662, "turnover_quote_units": 200794.8458761165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16553.91007555584, "return_pct": 65.5391007555584, "cagr_pct": 65.63442041220411, "max_drawdown_pct": 64.08695888019179, "mean_exposure_while_solvent": 1.3003877403746016, "realized_annual_volatility_pct": 86.97440202282094, "trading_costs_quote_units": 585.2923423160071, "borrowing_costs_quote_units": 625.9507519701281, "price_pnl_quote_units": 7765.153169841976, "turnover_quote_units": 195097.44743866887, "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": 0, "trace": "reference-2019-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25155.94815709769, "return_pct": 151.5594815709769, "cagr_pct": 151.82465773496907, "max_drawdown_pct": 59.4198214888945, "mean_exposure_while_solvent": 1.195544821442713, "realized_annual_volatility_pct": 84.7463307902497, "trading_costs_quote_units": 637.2093673718945, "borrowing_costs_quote_units": 472.66302192028934, "price_pnl_quote_units": 16265.820546389958, "turnover_quote_units": 212403.1224572981, "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": 0, "trace": "reference-2019-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22417.55410080401, "return_pct": 124.17554100804007, "cagr_pct": 124.3823149008624, "max_drawdown_pct": 62.40460230805759, "mean_exposure_while_solvent": 1.184567342595909, "realized_annual_volatility_pct": 84.08957816725814, "trading_costs_quote_units": 733.0383529118617, "borrowing_costs_quote_units": 833.690819857679, "price_pnl_quote_units": 13984.283273573552, "turnover_quote_units": 244346.1176372874, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23010.848120185037, "return_pct": 130.1084812018504, "cagr_pct": 130.32759866380047, "max_drawdown_pct": 63.03873619165694, "mean_exposure_while_solvent": 1.2323100075794402, "realized_annual_volatility_pct": 85.70750946053462, "trading_costs_quote_units": 719.4468751432394, "borrowing_costs_quote_units": 1030.6300625341805, "price_pnl_quote_units": 14760.925057862418, "turnover_quote_units": 239815.6250477465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21829.919886200423, "return_pct": 118.29919886200422, "cagr_pct": 118.49392407864565, "max_drawdown_pct": 67.49563419319628, "mean_exposure_while_solvent": 1.26670998201029, "realized_annual_volatility_pct": 89.59565580221238, "trading_costs_quote_units": 712.3754028939268, "borrowing_costs_quote_units": 1287.8522300467175, "price_pnl_quote_units": 13830.14751914099, "turnover_quote_units": 237458.46763130891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22718.915222702115, "return_pct": 127.18915222702117, "cagr_pct": 127.4021738195379, "max_drawdown_pct": 61.54244382727803, "mean_exposure_while_solvent": 1.17765720463891, "realized_annual_volatility_pct": 83.77206539032545, "trading_costs_quote_units": 628.0081424409774, "borrowing_costs_quote_units": 787.0325907385605, "price_pnl_quote_units": 14133.955955881602, "turnover_quote_units": 209336.0474803259, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 138, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24051.005220944546, "return_pct": 140.51005220944543, "cagr_pct": 140.75123018541325, "max_drawdown_pct": 62.25623630152829, "mean_exposure_while_solvent": 1.1955048725744581, "realized_annual_volatility_pct": 84.22014228068291, "trading_costs_quote_units": 590.3780817831909, "borrowing_costs_quote_units": 890.2839671641833, "price_pnl_quote_units": 15531.66726989201, "turnover_quote_units": 196792.69392773023, "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": 0, "trace": "reference-2019-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23030.341823821094, "return_pct": 130.30341823821092, "cagr_pct": 130.52294426511853, "max_drawdown_pct": 66.80749044344752, "mean_exposure_while_solvent": 1.2312804404291755, "realized_annual_volatility_pct": 88.33551071200787, "trading_costs_quote_units": 592.5706530785641, "borrowing_costs_quote_units": 1174.9241175233112, "price_pnl_quote_units": 14797.83659442298, "turnover_quote_units": 197523.55102618804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22772.787096405136, "return_pct": 127.72787096405138, "cagr_pct": 127.94201424465577, "max_drawdown_pct": 61.45125194647054, "mean_exposure_while_solvent": 1.1762618229167163, "realized_annual_volatility_pct": 83.68526518538974, "trading_costs_quote_units": 627.7050532900238, "borrowing_costs_quote_units": 776.2072825940465, "price_pnl_quote_units": 14176.699432289126, "turnover_quote_units": 209235.0177633413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 137, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24108.035792298506, "return_pct": 141.0803579229851, "cagr_pct": 141.3227605462181, "max_drawdown_pct": 62.166736990002704, "mean_exposure_while_solvent": 1.1941094908522647, "realized_annual_volatility_pct": 84.13379701526918, "trading_costs_quote_units": 590.0465273875587, "borrowing_costs_quote_units": 878.6263402555658, "price_pnl_quote_units": 15576.708659941716, "turnover_quote_units": 196682.175795853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 148, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23084.95216299919, "return_pct": 130.8495216299919, "cagr_pct": 131.07019322998656, "max_drawdown_pct": 66.72878322238576, "mean_exposure_while_solvent": 1.2298850587069818, "realized_annual_volatility_pct": 88.2531972625043, "trading_costs_quote_units": 592.2531690069235, "borrowing_costs_quote_units": 1163.7612106055487, "price_pnl_quote_units": 14840.966542611635, "turnover_quote_units": 197417.7230023078, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 173, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2019-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16060.647673964624, "return_pct": 60.60647673964623, "cagr_pct": 60.693404380567316, "max_drawdown_pct": 64.76967171887225, "mean_exposure_while_solvent": 1.3004393210288197, "realized_annual_volatility_pct": 86.98008003231033, "trading_costs_quote_units": 578.0484758722924, "borrowing_costs_quote_units": 1232.5678183835614, "price_pnl_quote_units": 7871.26396822045, "turnover_quote_units": 192682.8252907642, "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": 0, "trace": "reference-2019-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24667.432865108174, "return_pct": 146.67432865108174, "cagr_pct": 146.92882479211627, "max_drawdown_pct": 59.61989945738535, "mean_exposure_while_solvent": 1.1955784839340415, "realized_annual_volatility_pct": 84.7489469158778, "trading_costs_quote_units": 628.2168889451477, "borrowing_costs_quote_units": 934.0221972371935, "price_pnl_quote_units": 16229.671951290571, "turnover_quote_units": 209405.6296483824, "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": 0, "trace": "reference-2019-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25831.95990074208, "return_pct": 158.31959900742078, "cagr_pct": 158.59973294727064, "max_drawdown_pct": 62.41290383507278, "mean_exposure_while_solvent": 1.2072399331921317, "realized_annual_volatility_pct": 81.2118590694115, "trading_costs_quote_units": 127.94045035732803, "borrowing_costs_quote_units": 234.23326553076538, "price_pnl_quote_units": 16194.133616630117, "turnover_quote_units": 213234.08392888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 155, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25817.36673114378, "return_pct": 158.17366731143778, "cagr_pct": 158.4534761977378, "max_drawdown_pct": 61.46797013292738, "mean_exposure_while_solvent": 1.2246562742713905, "realized_annual_volatility_pct": 82.69125395553404, "trading_costs_quote_units": 133.64006714843666, "borrowing_costs_quote_units": 245.3364541506689, "price_pnl_quote_units": 16196.343252442868, "turnover_quote_units": 222733.4452473945, "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, "trace": "binance-2019-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24775.804891871263, "return_pct": 147.75804891871266, "cagr_pct": 148.0149048301743, "max_drawdown_pct": 65.73357731323212, "mean_exposure_while_solvent": 1.2604924027945819, "realized_annual_volatility_pct": 86.43897391329001, "trading_costs_quote_units": 135.3541013847317, "borrowing_costs_quote_units": 317.38114297833226, "price_pnl_quote_units": 15228.540136234335, "turnover_quote_units": 225590.16897455294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25067.642652028306, "return_pct": 150.67642652028303, "cagr_pct": 150.93966402901833, "max_drawdown_pct": 62.41290383507283, "mean_exposure_while_solvent": 1.1935103795219524, "realized_annual_volatility_pct": 81.04410125874224, "trading_costs_quote_units": 124.19230490505879, "borrowing_costs_quote_units": 220.8056862862634, "price_pnl_quote_units": 15412.640643219755, "turnover_quote_units": 206987.17484176456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25053.481265820825, "return_pct": 150.53481265820824, "cagr_pct": 150.79773959943194, "max_drawdown_pct": 61.4679701329274, "mean_exposure_while_solvent": 1.2109267206012109, "realized_annual_volatility_pct": 82.52649281240927, "trading_costs_quote_units": 129.93439025228307, "borrowing_costs_quote_units": 231.9541062743131, "price_pnl_quote_units": 15415.369762347416, "turnover_quote_units": 216557.31708713842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 157, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24042.73720740648, "return_pct": 140.4273720740648, "cagr_pct": 140.6683726350298, "max_drawdown_pct": 65.73357731323213, "mean_exposure_while_solvent": 1.2467628491244025, "realized_annual_volatility_pct": 86.28130332126166, "trading_costs_quote_units": 131.59770956269853, "borrowing_costs_quote_units": 301.86713344870714, "price_pnl_quote_units": 14476.202050417874, "turnover_quote_units": 219329.51593783085, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25144.387475417916, "return_pct": 151.44387475417918, "cagr_pct": 151.70879691335512, "max_drawdown_pct": 62.29783058718321, "mean_exposure_while_solvent": 1.192143322259862, "realized_annual_volatility_pct": 80.78848034772814, "trading_costs_quote_units": 124.10788398661491, "borrowing_costs_quote_units": 217.9596289518013, "price_pnl_quote_units": 15486.454988356423, "turnover_quote_units": 206846.47331102486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25776.51343271644, "return_pct": 157.76513432716445, "cagr_pct": 158.04403373458965, "max_drawdown_pct": 61.35000396163475, "mean_exposure_while_solvent": 1.1959176687978679, "realized_annual_volatility_pct": 81.5579037022222, "trading_costs_quote_units": 125.83614518173336, "borrowing_costs_quote_units": 227.6598384467494, "price_pnl_quote_units": 16130.009416344938, "turnover_quote_units": 209726.9086362223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24736.59975675561, "return_pct": 147.36599756755612, "cagr_pct": 147.62199917061406, "max_drawdown_pct": 65.62867033838037, "mean_exposure_while_solvent": 1.2317537973210595, "realized_annual_volatility_pct": 85.35539691990977, "trading_costs_quote_units": 127.5458400574753, "borrowing_costs_quote_units": 299.49002302800284, "price_pnl_quote_units": 15163.635619841154, "turnover_quote_units": 212576.40009579217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16624.68877991727, "return_pct": 66.2468877991727, "cagr_pct": 66.34342554843742, "max_drawdown_pct": 64.7635805276901, "mean_exposure_while_solvent": 1.2883953027492057, "realized_annual_volatility_pct": 84.33734320703577, "trading_costs_quote_units": 123.32966985370699, "borrowing_costs_quote_units": 306.80683913019755, "price_pnl_quote_units": 7054.82528890118, "turnover_quote_units": 205549.44975617822, "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, "trace": "binance-2019-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24166.5486099909, "return_pct": 141.665486099909, "cagr_pct": 141.9091468042624, "max_drawdown_pct": 60.732797718380205, "mean_exposure_while_solvent": 1.218872322718477, "realized_annual_volatility_pct": 82.93287318674533, "trading_costs_quote_units": 138.5156271675909, "borrowing_costs_quote_units": 240.86570102089618, "price_pnl_quote_units": 14545.929938179388, "turnover_quote_units": 230859.37861265158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25566.075480322426, "return_pct": 155.66075480322428, "cagr_pct": 155.93498119368982, "max_drawdown_pct": 62.4822859963704, "mean_exposure_while_solvent": 1.2072580941983193, "realized_annual_volatility_pct": 81.21314551436411, "trading_costs_quote_units": 126.93728708790721, "borrowing_costs_quote_units": 465.41153824437947, "price_pnl_quote_units": 16158.424305654647, "turnover_quote_units": 211562.1451465121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 155, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25529.080514169218, "return_pct": 155.29080514169218, "cagr_pct": 155.5642120608347, "max_drawdown_pct": 61.54694338546752, "mean_exposure_while_solvent": 1.224676157888506, "realized_annual_volatility_pct": 82.69275818030634, "trading_costs_quote_units": 132.56155684816542, "borrowing_costs_quote_units": 487.1733147833855, "price_pnl_quote_units": 16148.815385800719, "turnover_quote_units": 220935.92808027574, "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, "trace": "binance-2019-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24455.339800419828, "return_pct": 144.5533980041983, "cagr_pct": 144.80329166909925, "max_drawdown_pct": 65.83744334312003, "mean_exposure_while_solvent": 1.2605153664190867, "realized_annual_volatility_pct": 86.4411864395467, "trading_costs_quote_units": 134.08292205932483, "borrowing_costs_quote_units": 629.5305273865118, "price_pnl_quote_units": 15218.953249865606, "turnover_quote_units": 223471.53676554147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24826.453164655835, "return_pct": 148.26453164655837, "cagr_pct": 148.5224922717443, "max_drawdown_pct": 62.48228599637042, "mean_exposure_while_solvent": 1.1935273689937629, "realized_annual_volatility_pct": 81.04543978366233, "trading_costs_quote_units": 123.29975945864109, "borrowing_costs_quote_units": 438.94757188080763, "price_pnl_quote_units": 15388.700495995326, "turnover_quote_units": 205499.59909773513, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24790.528456726424, "return_pct": 147.90528456726423, "cagr_pct": 148.16246149937803, "max_drawdown_pct": 61.546943385467536, "mean_exposure_while_solvent": 1.2109454326839495, "realized_annual_volatility_pct": 82.52804741620484, "trading_costs_quote_units": 128.96780800600817, "borrowing_costs_quote_units": 460.8265472445596, "price_pnl_quote_units": 15380.322811977045, "turnover_quote_units": 214946.34667668035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 157, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23747.850883416457, "return_pct": 137.47850883416456, "cagr_pct": 137.71320308843852, "max_drawdown_pct": 65.83744334312, "mean_exposure_while_solvent": 1.24678464121453, "realized_annual_volatility_pct": 86.28356388443919, "trading_costs_quote_units": 130.44516037439408, "borrowing_costs_quote_units": 599.0653893407078, "price_pnl_quote_units": 14477.36143313154, "turnover_quote_units": 217408.6006239901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24904.181437560987, "return_pct": 149.04181437560987, "cagr_pct": 149.30147266870972, "max_drawdown_pct": 62.36482309929406, "mean_exposure_while_solvent": 1.1921601932204762, "realized_annual_volatility_pct": 80.78979131024406, "trading_costs_quote_units": 123.21585685907507, "borrowing_costs_quote_units": 433.30841379317144, "price_pnl_quote_units": 15460.705708213316, "turnover_quote_units": 205359.76143179185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25525.059940071944, "return_pct": 155.25059940071944, "cagr_pct": 155.52391729753072, "max_drawdown_pct": 61.42655205696206, "mean_exposure_while_solvent": 1.1959351072150834, "realized_annual_volatility_pct": 81.5592381298899, "trading_costs_quote_units": 124.92818871975281, "borrowing_costs_quote_units": 452.529432125364, "price_pnl_quote_units": 16102.517560917102, "turnover_quote_units": 208213.64786625467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24451.488329714237, "return_pct": 144.51488329714235, "cagr_pct": 144.7646935781762, "max_drawdown_pct": 65.73048499069843, "mean_exposure_while_solvent": 1.231774315745664, "realized_annual_volatility_pct": 85.35745848676268, "trading_costs_quote_units": 126.44829362659631, "borrowing_costs_quote_units": 594.6658463847689, "price_pnl_quote_units": 15172.602469725567, "turnover_quote_units": 210747.15604432722, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16386.986947582085, "return_pct": 63.86986947582085, "cagr_pct": 63.96233014373516, "max_drawdown_pct": 65.11472124384746, "mean_exposure_while_solvent": 1.2884202952608705, "realized_annual_volatility_pct": 84.34064337121919, "trading_costs_quote_units": 122.61894014217408, "borrowing_costs_quote_units": 609.1801288206524, "price_pnl_quote_units": 7118.78601654499, "turnover_quote_units": 204364.90023695698, "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, "trace": "binance-2019-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23902.90415480932, "return_pct": 139.0290415480932, "cagr_pct": 139.26704651019014, "max_drawdown_pct": 60.82922136309179, "mean_exposure_while_solvent": 1.2188919611884745, "realized_annual_volatility_pct": 82.93464654795858, "trading_costs_quote_units": 137.43015853032125, "borrowing_costs_quote_units": 478.4422872510312, "price_pnl_quote_units": 14518.776600590696, "turnover_quote_units": 229050.2642172021, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25042.336346350647, "return_pct": 150.42336346350646, "cagr_pct": 150.68604605452697, "max_drawdown_pct": 62.62070484205715, "mean_exposure_while_solvent": 1.2072944245016055, "realized_annual_volatility_pct": 81.21574434924098, "trading_costs_quote_units": 124.95845530706276, "borrowing_costs_quote_units": 918.7391291729675, "price_pnl_quote_units": 16086.03393083055, "turnover_quote_units": 208264.09217843798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 155, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24961.96360275659, "return_pct": 149.6196360275659, "cagr_pct": 149.88055814422933, "max_drawdown_pct": 61.70445163603364, "mean_exposure_while_solvent": 1.224715934427965, "realized_annual_volatility_pct": 82.6957925483899, "trading_costs_quote_units": 130.43595240987142, "borrowing_costs_quote_units": 960.5188933816695, "price_pnl_quote_units": 16052.91844854809, "turnover_quote_units": 217393.25401645232, "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, "trace": "binance-2019-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23826.609482005006, "return_pct": 138.26609482005009, "cagr_pct": 138.5024692899572, "max_drawdown_pct": 66.0442920870082, "mean_exposure_while_solvent": 1.2605613043193518, "realized_annual_volatility_pct": 86.44563701749175, "trading_costs_quote_units": 131.58312152956955, "borrowing_costs_quote_units": 1238.4265725803148, "price_pnl_quote_units": 15196.619176114897, "turnover_quote_units": 219305.20254928264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24350.881191812143, "return_pct": 143.5088119181214, "cagr_pct": 143.7564465298786, "max_drawdown_pct": 62.62070484205717, "mean_exposure_while_solvent": 1.1935613557223983, "realized_annual_volatility_pct": 81.04814230683624, "trading_costs_quote_units": 121.5351525360404, "borrowing_costs_quote_units": 867.3498542966466, "price_pnl_quote_units": 15339.766198644891, "turnover_quote_units": 202558.58756006742, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24272.72765600589, "return_pct": 142.7272765600589, "cagr_pct": 142.97322435286918, "max_drawdown_pct": 61.70445163603361, "mean_exposure_while_solvent": 1.2109828656487578, "realized_annual_volatility_pct": 82.5311822702411, "trading_costs_quote_units": 127.0587112485097, "borrowing_costs_quote_units": 909.4665661272346, "price_pnl_quote_units": 15309.252933381604, "turnover_quote_units": 211764.51874751615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 157, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23168.72230591859, "return_pct": 131.6872230591859, "cagr_pct": 131.909654796168, "max_drawdown_pct": 66.04429208700819, "mean_exposure_while_solvent": 1.2468282355401445, "realized_annual_volatility_pct": 86.28811066151755, "trading_costs_quote_units": 128.17420536832094, "borrowing_costs_quote_units": 1179.7008120403423, "price_pnl_quote_units": 14476.597323327287, "turnover_quote_units": 213623.6756138682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24430.49953167473, "return_pct": 144.30499531674732, "cagr_pct": 144.55435131493664, "max_drawdown_pct": 62.49848842605701, "mean_exposure_while_solvent": 1.192193942874406, "realized_annual_volatility_pct": 80.79243868802139, "trading_costs_quote_units": 121.45227506145392, "borrowing_costs_quote_units": 856.2804716887975, "price_pnl_quote_units": 15408.232278424968, "turnover_quote_units": 202420.4584357566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25029.34772894732, "return_pct": 150.2934772894732, "cagr_pct": 150.55587517920648, "max_drawdown_pct": 61.57923941226029, "mean_exposure_while_solvent": 1.195969992298264, "realized_annual_volatility_pct": 81.56193225901221, "trading_costs_quote_units": 123.13317563585893, "borrowing_costs_quote_units": 894.0146494151603, "price_pnl_quote_units": 16046.495553998375, "turnover_quote_units": 205221.95939309816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23890.92875133742, "return_pct": 138.90928751337418, "cagr_pct": 139.1470363646895, "max_drawdown_pct": 65.93326953009966, "mean_exposure_while_solvent": 1.2318153621896506, "realized_annual_volatility_pct": 85.36160734824485, "trading_costs_quote_units": 124.28367545181891, "borrowing_costs_quote_units": 1172.2861127013196, "price_pnl_quote_units": 15187.498539490602, "turnover_quote_units": 207139.45908636486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15921.59743395653, "return_pct": 59.21597433956529, "cagr_pct": 59.30056736627638, "max_drawdown_pct": 65.80673069585235, "mean_exposure_while_solvent": 1.2884702914015789, "realized_annual_volatility_pct": 84.347270297204, "trading_costs_quote_units": 121.21668282055656, "borrowing_costs_quote_units": 1200.8591388971533, "price_pnl_quote_units": 7243.673255674276, "turnover_quote_units": 202027.8047009274, "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, "trace": "binance-2019-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23384.06474580552, "return_pct": 133.84064745805523, "cagr_pct": 134.06761974327966, "max_drawdown_pct": 61.02141863325223, "mean_exposure_while_solvent": 1.2189312475872753, "realized_annual_volatility_pct": 82.93821935737034, "trading_costs_quote_units": 135.28748864460732, "borrowing_costs_quote_units": 943.8819632611459, "price_pnl_quote_units": 14463.2341977113, "turnover_quote_units": 225479.14774101228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25332.130447021846, "return_pct": 153.32130447021845, "cagr_pct": 153.59035912130219, "max_drawdown_pct": 63.361370839482674, "mean_exposure_while_solvent": 1.2059356162667392, "realized_annual_volatility_pct": 81.09421177827798, "trading_costs_quote_units": 122.38774610814569, "borrowing_costs_quote_units": 235.1501024737344, "price_pnl_quote_units": 15689.668295603726, "turnover_quote_units": 203979.57684690945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 156, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25702.102830261363, "return_pct": 157.02102830261362, "cagr_pct": 157.2982730813263, "max_drawdown_pct": 62.19552952069585, "mean_exposure_while_solvent": 1.2216436017522756, "realized_annual_volatility_pct": 82.32272016796932, "trading_costs_quote_units": 129.4540235232367, "borrowing_costs_quote_units": 245.83624880309446, "price_pnl_quote_units": 16077.39310258771, "turnover_quote_units": 215756.70587206123, "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, "trace": "binance-2019-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24718.067291376425, "return_pct": 147.18067291376425, "cagr_pct": 147.43627092840518, "max_drawdown_pct": 66.5355193776801, "mean_exposure_while_solvent": 1.2575187951308666, "realized_annual_volatility_pct": 86.26907160991037, "trading_costs_quote_units": 129.2582529121629, "borrowing_costs_quote_units": 320.3316091224316, "price_pnl_quote_units": 15167.657153411115, "turnover_quote_units": 215430.4215202715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 193, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24594.73027979241, "return_pct": 145.94730279792407, "cagr_pct": 146.20021891328835, "max_drawdown_pct": 63.3613708394827, "mean_exposure_while_solvent": 1.1922856220144122, "realized_annual_volatility_pct": 80.92181213432994, "trading_costs_quote_units": 118.8036908804026, "borrowing_costs_quote_units": 221.78052061515714, "price_pnl_quote_units": 14935.31449128795, "turnover_quote_units": 198006.15146733753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24953.933032035467, "return_pct": 149.53933032035468, "cagr_pct": 149.80007669902204, "max_drawdown_pct": 62.1955295206958, "mean_exposure_while_solvent": 1.2079936074999489, "realized_annual_volatility_pct": 82.15291380787944, "trading_costs_quote_units": 125.86823532717634, "borrowing_costs_quote_units": 232.47254703633436, "price_pnl_quote_units": 15312.273814398923, "turnover_quote_units": 209780.39221196057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 158, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23998.542062641092, "return_pct": 139.98542062641093, "cagr_pct": 140.22547340027813, "max_drawdown_pct": 66.5355193776801, "mean_exposure_while_solvent": 1.24386880087854, "realized_annual_volatility_pct": 86.10698599657557, "trading_costs_quote_units": 125.67816345832449, "borrowing_costs_quote_units": 304.79940079156046, "price_pnl_quote_units": 14429.019626890946, "turnover_quote_units": 209463.60576387413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24631.806311837583, "return_pct": 146.31806311837585, "cagr_pct": 146.57178469024817, "max_drawdown_pct": 63.306138886401975, "mean_exposure_while_solvent": 1.1908860879443126, "realized_annual_volatility_pct": 80.83918175191096, "trading_costs_quote_units": 118.75924148814654, "borrowing_costs_quote_units": 218.85178497896823, "price_pnl_quote_units": 14969.4173383047, "turnover_quote_units": 197932.06914691094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25415.590482060892, "return_pct": 154.15590482060892, "cagr_pct": 154.4268016672841, "max_drawdown_pct": 62.138540086658686, "mean_exposure_while_solvent": 1.193067594619974, "realized_annual_volatility_pct": 81.36509683971262, "trading_costs_quote_units": 120.84330465072713, "borrowing_costs_quote_units": 226.06766175214375, "price_pnl_quote_units": 15762.501448463758, "turnover_quote_units": 201405.50775121182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 147, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24442.524408780384, "return_pct": 144.42524408780386, "cagr_pct": 144.67486032793997, "max_drawdown_pct": 66.48507238591344, "mean_exposure_while_solvent": 1.2289427879985653, "realized_annual_volatility_pct": 85.35571097047138, "trading_costs_quote_units": 120.65182419137547, "borrowing_costs_quote_units": 299.73961070407177, "price_pnl_quote_units": 14862.915843675795, "turnover_quote_units": 201086.3736522924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17595.415538339308, "return_pct": 75.95415538339307, "cagr_pct": 76.06774099630256, "max_drawdown_pct": 63.285335004592724, "mean_exposure_while_solvent": 1.2877325395690644, "realized_annual_volatility_pct": 84.64129591815083, "trading_costs_quote_units": 118.80254869210536, "borrowing_costs_quote_units": 318.34604602489753, "price_pnl_quote_units": 8032.564133056397, "turnover_quote_units": 198004.24782017543, "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": 4, "trace": "binance-2019-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25372.53024551816, "return_pct": 153.72530245518158, "cagr_pct": 153.9952484500471, "max_drawdown_pct": 59.509162092698, "mean_exposure_while_solvent": 1.2174131588834982, "realized_annual_volatility_pct": 82.79418481022034, "trading_costs_quote_units": 133.16362134677462, "borrowing_costs_quote_units": 246.95382931530398, "price_pnl_quote_units": 15752.647696180153, "turnover_quote_units": 221939.3689112911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25071.135206847506, "return_pct": 150.7113520684751, "cagr_pct": 150.97466618506576, "max_drawdown_pct": 63.42992647632706, "mean_exposure_while_solvent": 1.2059535014911538, "realized_annual_volatility_pct": 81.09533155777375, "trading_costs_quote_units": 121.44653702904527, "borrowing_costs_quote_units": 467.2397350812882, "price_pnl_quote_units": 15659.8214789578, "turnover_quote_units": 202410.8950484088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 156, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25416.752824335323, "return_pct": 154.16752824335322, "cagr_pct": 154.43845076833435, "max_drawdown_pct": 62.2712053861596, "mean_exposure_while_solvent": 1.221662774520602, "realized_annual_volatility_pct": 82.32394825327836, "trading_costs_quote_units": 128.4260504783453, "borrowing_costs_quote_units": 488.1907993836297, "price_pnl_quote_units": 16033.369674197294, "turnover_quote_units": 214043.41746390893, "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, "trace": "binance-2019-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24399.94938542957, "return_pct": 143.99949385429568, "cagr_pct": 144.24818899210013, "max_drawdown_pct": 66.63538459370673, "mean_exposure_while_solvent": 1.2575410486944183, "realized_annual_volatility_pct": 86.27093650481854, "trading_costs_quote_units": 128.0602363143147, "borrowing_costs_quote_units": 635.4086917964169, "price_pnl_quote_units": 15163.418313540316, "turnover_quote_units": 213433.72719052446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 193, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24357.854029459544, "return_pct": 143.57854029459546, "cagr_pct": 143.8263255435213, "max_drawdown_pct": 63.42992647632706, "mean_exposure_while_solvent": 1.1923023466851888, "realized_annual_volatility_pct": 80.92299158702988, "trading_costs_quote_units": 117.96389293450429, "borrowing_costs_quote_units": 440.89200837387585, "price_pnl_quote_units": 14916.709930767853, "turnover_quote_units": 196606.48822417375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24693.63872398254, "return_pct": 146.9363872398254, "cagr_pct": 147.19145350743196, "max_drawdown_pct": 62.27120538615958, "mean_exposure_while_solvent": 1.2080116197146369, "realized_annual_volatility_pct": 82.15419925668384, "trading_costs_quote_units": 124.94432363102942, "borrowing_costs_quote_units": 461.880159458689, "price_pnl_quote_units": 15280.463207072138, "turnover_quote_units": 208240.53938504908, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 158, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23705.76364225294, "return_pct": 137.0576364225294, "cagr_pct": 137.29143402341924, "max_drawdown_pct": 66.6353845937067, "mean_exposure_while_solvent": 1.2438898938884533, "realized_annual_volatility_pct": 86.10890535783923, "trading_costs_quote_units": 124.58891698765832, "borrowing_costs_quote_units": 604.9096594924937, "price_pnl_quote_units": 14435.262218733073, "turnover_quote_units": 207648.19497943053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24396.25192367828, "return_pct": 143.96251923678278, "cagr_pct": 144.21113442082896, "max_drawdown_pct": 63.37227715249767, "mean_exposure_while_solvent": 1.1909026910266907, "realized_annual_volatility_pct": 80.84034142122356, "trading_costs_quote_units": 117.91946233668733, "borrowing_costs_quote_units": 435.0887876211187, "price_pnl_quote_units": 14949.260173636048, "turnover_quote_units": 196532.4372278123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25169.246038844765, "return_pct": 151.69246038844767, "cagr_pct": 151.95792880124316, "max_drawdown_pct": 62.21172944616789, "mean_exposure_while_solvent": 1.1930843453862332, "realized_annual_volatility_pct": 81.36619452334794, "trading_costs_quote_units": 119.98439008149545, "borrowing_costs_quote_units": 449.38793245534515, "price_pnl_quote_units": 15738.618361381572, "turnover_quote_units": 199973.98346915902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 147, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24162.344169678418, "return_pct": 141.62344169678417, "cagr_pct": 141.86701194756304, "max_drawdown_pct": 66.58278837683677, "mean_exposure_while_solvent": 1.2289626195600496, "realized_annual_volatility_pct": 85.35745980328817, "trading_costs_quote_units": 119.62460637166174, "borrowing_costs_quote_units": 595.186855410983, "price_pnl_quote_units": 14877.155631461, "turnover_quote_units": 199374.34395276953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17343.22299249949, "return_pct": 73.4322299249949, "cagr_pct": 73.54132622416036, "max_drawdown_pct": 63.65254804062745, "mean_exposure_while_solvent": 1.28775724821667, "realized_annual_volatility_pct": 84.64393116852868, "trading_costs_quote_units": 118.12032694628013, "borrowing_costs_quote_units": 632.0489968313954, "price_pnl_quote_units": 8093.392316277106, "turnover_quote_units": 196867.21157713362, "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": 4, "trace": "binance-2019-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25095.93184197445, "return_pct": 150.9593184197445, "cagr_pct": 151.2231766011297, "max_drawdown_pct": 59.60900966382299, "mean_exposure_while_solvent": 1.2174319729727958, "realized_annual_volatility_pct": 82.79555134076058, "trading_costs_quote_units": 132.1215245900082, "borrowing_costs_quote_units": 490.5280392971551, "price_pnl_quote_units": 15718.581405861574, "turnover_quote_units": 220202.54098334702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24557.043074347617, "return_pct": 145.57043074347615, "cagr_pct": 145.8225287805416, "max_drawdown_pct": 63.56669120126758, "mean_exposure_while_solvent": 1.205989279892286, "realized_annual_volatility_pct": 81.09759753603257, "trading_costs_quote_units": 119.58744854298943, "borrowing_costs_quote_units": 922.3738949350583, "price_pnl_quote_units": 15599.004417825705, "turnover_quote_units": 199312.41423831577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 156, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24855.368230852244, "return_pct": 148.5536823085224, "cagr_pct": 148.8122741445288, "max_drawdown_pct": 62.42214467331557, "mean_exposure_while_solvent": 1.2217011285502184, "realized_annual_volatility_pct": 82.32643104610628, "trading_costs_quote_units": 126.39756650286026, "borrowing_costs_quote_units": 962.6237521514253, "price_pnl_quote_units": 15944.389549506475, "turnover_quote_units": 210662.6108381005, "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, "trace": "binance-2019-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23775.773089740378, "return_pct": 137.7577308974038, "cagr_pct": 137.99302049528833, "max_drawdown_pct": 66.83427681194144, "mean_exposure_while_solvent": 1.2575855656580268, "realized_annual_volatility_pct": 86.27469235638216, "trading_costs_quote_units": 125.70205633958436, "borrowing_costs_quote_units": 1250.0919543069347, "price_pnl_quote_units": 15151.567100386806, "turnover_quote_units": 209503.42723264068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 193, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23890.79542839462, "return_pct": 138.9079542839462, "cagr_pct": 139.14570028435028, "max_drawdown_pct": 63.5666912012676, "mean_exposure_while_solvent": 1.1923358034795282, "realized_annual_volatility_pct": 80.925376378163, "trading_costs_quote_units": 116.30345622770805, "borrowing_costs_quote_units": 871.2178374077293, "price_pnl_quote_units": 14878.316722030064, "turnover_quote_units": 193839.09371284684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24181.026840361275, "return_pct": 141.81026840361275, "cagr_pct": 142.05424065406032, "max_drawdown_pct": 62.42214467331559, "mean_exposure_while_solvent": 1.2080476521374606, "realized_annual_volatility_pct": 82.15679642653915, "trading_costs_quote_units": 123.11935840345491, "borrowing_costs_quote_units": 911.6390247347836, "price_pnl_quote_units": 15215.785223499486, "turnover_quote_units": 205198.93067242487, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 158, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23130.721777829724, "return_pct": 131.30721777829723, "cagr_pct": 131.52885063656709, "max_drawdown_pct": 66.83427681194148, "mean_exposure_while_solvent": 1.243932089245269, "realized_annual_volatility_pct": 86.1127701933541, "trading_costs_quote_units": 122.44271785764943, "borrowing_costs_quote_units": 1191.3080381853417, "price_pnl_quote_units": 14444.472533872799, "turnover_quote_units": 204071.19642941566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23931.75180096165, "return_pct": 139.3175180096165, "cagr_pct": 139.55614020091792, "max_drawdown_pct": 63.5042329975011, "mean_exposure_while_solvent": 1.1909359045905457, "realized_annual_volatility_pct": 80.84268662005162, "trading_costs_quote_units": 116.25906181885068, "borrowing_costs_quote_units": 859.8254455540073, "price_pnl_quote_units": 14907.836308334516, "turnover_quote_units": 193765.1030314178, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24683.563929333406, "return_pct": 146.83563929333405, "cagr_pct": 147.0904863391377, "max_drawdown_pct": 62.35772435513729, "mean_exposure_while_solvent": 1.193117854369224, "realized_annual_volatility_pct": 81.36841566395695, "trading_costs_quote_units": 118.28624493205825, "borrowing_costs_quote_units": 887.9004640702368, "price_pnl_quote_units": 15689.750638335689, "turnover_quote_units": 197143.7415534305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 147, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23611.431123416867, "return_pct": 136.1143112341687, "cagr_pct": 136.34610222380888, "max_drawdown_pct": 66.7774202824292, "mean_exposure_while_solvent": 1.2290022914770324, "realized_annual_volatility_pct": 85.36098353590786, "trading_costs_quote_units": 117.59878513745606, "borrowing_costs_quote_units": 1173.4132080096488, "price_pnl_quote_units": 14902.443116563876, "turnover_quote_units": 195997.97522909346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16849.49518839657, "return_pct": 68.49495188396571, "cagr_pct": 68.59538131719, "max_drawdown_pct": 64.37619253893182, "mean_exposure_while_solvent": 1.2878066762359435, "realized_annual_volatility_pct": 84.64922854997303, "trading_costs_quote_units": 116.77345634968074, "borrowing_costs_quote_units": 1245.771817547689, "price_pnl_quote_units": 8212.040462294048, "turnover_quote_units": 194622.42724946787, "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": 4, "trace": "binance-2019-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24551.599355443796, "return_pct": 145.51599355443793, "cagr_pct": 145.7679734790815, "max_drawdown_pct": 59.808021451935, "mean_exposure_while_solvent": 1.2174696094943847, "realized_annual_volatility_pct": 82.79831070534362, "trading_costs_quote_units": 130.0645963489486, "borrowing_costs_quote_units": 967.6959916017973, "price_pnl_quote_units": 15649.35994339463, "turnover_quote_units": 216774.32724824766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25366.226340957888, "return_pct": 153.66226340957888, "cagr_pct": 153.93207027241513, "max_drawdown_pct": 62.69553812665466, "mean_exposure_while_solvent": 1.2072399331921317, "realized_annual_volatility_pct": 81.21629483098639, "trading_costs_quote_units": 632.668828977659, "borrowing_costs_quote_units": 232.1580474801571, "price_pnl_quote_units": 16231.05321741573, "turnover_quote_units": 210889.60965921968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 155, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25281.327953401567, "return_pct": 152.81327953401566, "cagr_pct": 153.08121437276228, "max_drawdown_pct": 61.75441088623459, "mean_exposure_while_solvent": 1.2246562742713905, "realized_annual_volatility_pct": 82.6772892068768, "trading_costs_quote_units": 659.4012357317707, "borrowing_costs_quote_units": 242.4833234343182, "price_pnl_quote_units": 16183.212512567601, "turnover_quote_units": 219800.41191059022, "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, "trace": "binance-2019-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24266.26079668899, "return_pct": 142.66260796688988, "cagr_pct": 142.90841631178637, "max_drawdown_pct": 66.04847257350622, "mean_exposure_while_solvent": 1.2604924027945819, "realized_annual_volatility_pct": 86.43874716627579, "trading_costs_quote_units": 668.0694303525676, "borrowing_costs_quote_units": 313.76844987503983, "price_pnl_quote_units": 15248.09867691651, "turnover_quote_units": 222689.81011752255, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24619.820879841056, "return_pct": 146.19820879841058, "cagr_pct": 146.45166992341728, "max_drawdown_pct": 62.695538126654625, "mean_exposure_while_solvent": 1.1935103795219522, "realized_annual_volatility_pct": 81.0485970584209, "trading_costs_quote_units": 614.2337464647945, "borrowing_costs_quote_units": 218.8521140418447, "price_pnl_quote_units": 15452.906740347671, "turnover_quote_units": 204744.58215493153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24537.42064156634, "return_pct": 145.3742064156634, "cagr_pct": 145.62587876947282, "max_drawdown_pct": 61.75441088623459, "mean_exposure_while_solvent": 1.2109267206012109, "realized_annual_volatility_pct": 82.51254552534071, "trading_costs_quote_units": 641.2274146788415, "borrowing_costs_quote_units": 229.26292860236313, "price_pnl_quote_units": 15407.910984847513, "turnover_quote_units": 213742.47155961374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 157, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23552.222006051477, "return_pct": 135.52222006051474, "cagr_pct": 135.75275377493548, "max_drawdown_pct": 66.04847257350617, "mean_exposure_while_solvent": 1.2467628491244025, "realized_annual_volatility_pct": 86.28112021759611, "trading_costs_quote_units": 649.6405462202499, "borrowing_costs_quote_units": 298.4504782511491, "price_pnl_quote_units": 14500.31303052276, "turnover_quote_units": 216546.84874008337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24695.468102480783, "return_pct": 146.95468102480783, "cagr_pct": 147.20978710369775, "max_drawdown_pct": 62.580915890101366, "mean_exposure_while_solvent": 1.192143322259862, "realized_annual_volatility_pct": 80.78947129876951, "trading_costs_quote_units": 613.817650811952, "borrowing_costs_quote_units": 216.04500312410187, "price_pnl_quote_units": 15525.330756416863, "turnover_quote_units": 204605.88360398402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25318.492174643474, "return_pct": 153.18492174643472, "cagr_pct": 153.45367566173223, "max_drawdown_pct": 61.63689692832249, "mean_exposure_while_solvent": 1.1959176687978679, "realized_annual_volatility_pct": 81.53911652352275, "trading_costs_quote_units": 622.3637722174406, "borrowing_costs_quote_units": 225.62249755284483, "price_pnl_quote_units": 16166.47844441383, "turnover_quote_units": 207454.5907391468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24301.932842343584, "return_pct": 143.01932842343584, "cagr_pct": 143.265906226893, "max_drawdown_pct": 65.94415261249887, "mean_exposure_while_solvent": 1.2317537973210595, "realized_annual_volatility_pct": 85.35075243648134, "trading_costs_quote_units": 631.035761783407, "borrowing_costs_quote_units": 296.9106020741384, "price_pnl_quote_units": 15229.879206201043, "turnover_quote_units": 210345.25392780238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16260.45916830312, "return_pct": 62.60459168303119, "cagr_pct": 62.69489818686653, "max_drawdown_pct": 65.23379817918095, "mean_exposure_while_solvent": 1.2883953027492057, "realized_annual_volatility_pct": 84.32899844468918, "trading_costs_quote_units": 609.1389668167342, "borrowing_costs_quote_units": 302.4527487338073, "price_pnl_quote_units": 7172.050883853686, "turnover_quote_units": 203046.32227224475, "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, "trace": "binance-2019-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23656.897442884612, "return_pct": 136.56897442884613, "cagr_pct": 136.80173202611905, "max_drawdown_pct": 61.05753700792469, "mean_exposure_while_solvent": 1.218872322718477, "realized_annual_volatility_pct": 82.93243419222479, "trading_costs_quote_units": 683.4608833602531, "borrowing_costs_quote_units": 238.119591348726, "price_pnl_quote_units": 14578.477917593551, "turnover_quote_units": 227820.29445341768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25105.234331640342, "return_pct": 151.0523433164034, "cagr_pct": 151.3164056767494, "max_drawdown_pct": 62.76449851555571, "mean_exposure_while_solvent": 1.2072580941983193, "realized_annual_volatility_pct": 81.21761807092665, "trading_costs_quote_units": 627.7190476407714, "borrowing_costs_quote_units": 461.2949984984961, "price_pnl_quote_units": 16194.248377779591, "turnover_quote_units": 209239.6825469238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 155, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24999.102557515052, "return_pct": 149.9910255751505, "cagr_pct": 150.2527608112143, "max_drawdown_pct": 61.83292766481928, "mean_exposure_while_solvent": 1.224676157888506, "realized_annual_volatility_pct": 82.67882692700893, "trading_costs_quote_units": 654.0940311522024, "borrowing_costs_quote_units": 481.5154647852504, "price_pnl_quote_units": 16134.712053452511, "turnover_quote_units": 218031.3437174009, "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, "trace": "binance-2019-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23952.490392944128, "return_pct": 139.52490392944128, "cagr_pct": 139.7639700931558, "max_drawdown_pct": 66.15150046309594, "mean_exposure_while_solvent": 1.2605153664190867, "realized_annual_volatility_pct": 86.44100188031811, "trading_costs_quote_units": 661.8127487889252, "borrowing_costs_quote_units": 622.3749998243092, "price_pnl_quote_units": 15236.678141557339, "turnover_quote_units": 220604.2495963084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24383.002862934227, "return_pct": 143.83002862934228, "cagr_pct": 144.07835736892775, "max_drawdown_pct": 62.76449851555576, "mean_exposure_while_solvent": 1.1935273689937629, "realized_annual_volatility_pct": 81.04997115918377, "trading_costs_quote_units": 609.8289483220522, "borrowing_costs_quote_units": 435.0695929861569, "price_pnl_quote_units": 15427.90140424251, "turnover_quote_units": 203276.31610735063, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24279.924304966655, "return_pct": 142.79924304966656, "cagr_pct": 143.04534605036926, "max_drawdown_pct": 61.83292766481925, "mean_exposure_while_solvent": 1.2109454326839495, "realized_annual_volatility_pct": 82.51413254272133, "trading_costs_quote_units": 636.470049566057, "borrowing_costs_quote_units": 455.4863499468511, "price_pnl_quote_units": 15371.880704479532, "turnover_quote_units": 212156.68318868562, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 157, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23263.42124954795, "return_pct": 132.63421249547952, "cagr_pct": 132.85863817367348, "max_drawdown_pct": 66.15150046309594, "mean_exposure_while_solvent": 1.24678464121453, "realized_annual_volatility_pct": 86.28342194607714, "trading_costs_quote_units": 643.9667138771005, "borrowing_costs_quote_units": 592.2936149481715, "price_pnl_quote_units": 14499.681578373185, "turnover_quote_units": 214655.5712923669, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24459.61968617797, "return_pct": 144.5961968617797, "cagr_pct": 144.84618319382463, "max_drawdown_pct": 62.647496280365, "mean_exposure_while_solvent": 1.1921601932204762, "realized_annual_volatility_pct": 80.79081870670417, "trading_costs_quote_units": 609.4153915832856, "borrowing_costs_quote_units": 429.50758807402383, "price_pnl_quote_units": 15498.542665835294, "turnover_quote_units": 203138.46386109508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25071.55904005675, "return_pct": 150.71559040056746, "cagr_pct": 150.97891381415653, "max_drawdown_pct": 61.71299822662524, "mean_exposure_while_solvent": 1.1959351072150834, "realized_annual_volatility_pct": 81.54048372431618, "trading_costs_quote_units": 617.8828477236559, "borrowing_costs_quote_units": 448.48552850584974, "price_pnl_quote_units": 16137.927416286182, "turnover_quote_units": 205960.94924121854, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24021.913413150327, "return_pct": 140.2191341315033, "cagr_pct": 140.4596879997883, "max_drawdown_pct": 66.04514094205318, "mean_exposure_while_solvent": 1.231774315745664, "realized_annual_volatility_pct": 85.35285592922126, "trading_costs_quote_units": 625.6179781140772, "borrowing_costs_quote_units": 589.5522342982676, "price_pnl_quote_units": 15237.08362556263, "turnover_quote_units": 208539.32603802573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16027.908399615764, "return_pct": 60.279083996157645, "cagr_pct": 60.365460709892794, "max_drawdown_pct": 65.58045734550053, "mean_exposure_while_solvent": 1.2884202952608705, "realized_annual_volatility_pct": 84.33234213158765, "trading_costs_quote_units": 605.6431704864843, "borrowing_costs_quote_units": 600.5460674492012, "price_pnl_quote_units": 7234.097637551426, "turnover_quote_units": 201881.05682882827, "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, "trace": "binance-2019-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23398.82522693381, "return_pct": 133.98825226933812, "cagr_pct": 134.2155366164764, "max_drawdown_pct": 61.15326705351502, "mean_exposure_while_solvent": 1.2188919611884745, "realized_annual_volatility_pct": 82.93424409989473, "trading_costs_quote_units": 678.1179466410274, "borrowing_costs_quote_units": 472.99402704237315, "price_pnl_quote_units": 14549.937200617183, "turnover_quote_units": 226039.3155470092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24591.102929590008, "return_pct": 145.9110292959001, "cagr_pct": 146.16386664340519, "max_drawdown_pct": 62.902075387846956, "mean_exposure_while_solvent": 1.2072944245016055, "realized_annual_volatility_pct": 81.22029065397412, "trading_costs_quote_units": 617.9544986962501, "borrowing_costs_quote_units": 910.6389385610579, "price_pnl_quote_units": 16119.696366847285, "turnover_quote_units": 205984.83289875014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 155, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24443.879825933567, "return_pct": 144.43879825933567, "cagr_pct": 144.6884438376066, "max_drawdown_pct": 61.98952473920859, "mean_exposure_while_solvent": 1.224715934427965, "realized_annual_volatility_pct": 82.68192845341142, "trading_costs_quote_units": 643.6335550206398, "borrowing_costs_quote_units": 949.3932435181632, "price_pnl_quote_units": 16036.906624472442, "turnover_quote_units": 214544.5183402132, "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, "trace": "binance-2019-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23336.865603763606, "return_pct": 133.36865603763607, "cagr_pct": 133.59463116794643, "max_drawdown_pct": 66.35667904120113, "mean_exposure_while_solvent": 1.2605613043193518, "realized_annual_volatility_pct": 86.44553699785854, "trading_costs_quote_units": 649.5081031869998, "borrowing_costs_quote_units": 1224.3893576151586, "price_pnl_quote_units": 15210.763064565812, "turnover_quote_units": 216502.70106233333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23916.04865382247, "return_pct": 139.1604865382247, "cagr_pct": 139.3987726928983, "max_drawdown_pct": 62.902075387846935, "mean_exposure_while_solvent": 1.1935613557223983, "realized_annual_volatility_pct": 81.05274487549772, "trading_costs_quote_units": 601.12032058457, "borrowing_costs_quote_units": 859.7091861170935, "price_pnl_quote_units": 15376.878160524113, "turnover_quote_units": 200373.44019485667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23772.866994988603, "return_pct": 137.72866994988604, "cagr_pct": 137.9638975679359, "max_drawdown_pct": 61.989524739208555, "mean_exposure_while_solvent": 1.2109828656487578, "realized_annual_volatility_pct": 82.51733227745684, "trading_costs_quote_units": 627.0736414311448, "borrowing_costs_quote_units": 898.9526879444758, "price_pnl_quote_units": 15298.893324364257, "turnover_quote_units": 209024.54714371485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 157, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22696.24159621341, "return_pct": 126.96241596213409, "cagr_pct": 127.17496589483628, "max_drawdown_pct": 66.35667904120116, "mean_exposure_while_solvent": 1.2468282355401445, "realized_annual_volatility_pct": 86.28805111032514, "trading_costs_quote_units": 632.7869264419127, "borrowing_costs_quote_units": 1166.3998399972643, "price_pnl_quote_units": 14495.428362652578, "turnover_quote_units": 210928.97548063757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23994.528960950185, "return_pct": 139.94528960950183, "cagr_pct": 140.18525636649298, "max_drawdown_pct": 62.78033886859558, "mean_exposure_while_solvent": 1.192193942874406, "realized_annual_volatility_pct": 80.79353901729269, "trading_costs_quote_units": 600.7117858200371, "borrowing_costs_quote_units": 848.7911925144199, "price_pnl_quote_units": 15444.031939284596, "turnover_quote_units": 200237.2619400124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24584.75666764824, "return_pct": 145.8475666764824, "cagr_pct": 146.100266229728, "max_drawdown_pct": 61.86479369288408, "mean_exposure_while_solvent": 1.195969992298264, "realized_annual_volatility_pct": 81.54324345038046, "trading_costs_quote_units": 609.0240189553174, "borrowing_costs_quote_units": 886.0484911726827, "price_pnl_quote_units": 16079.829177776197, "turnover_quote_units": 203008.00631843918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23471.362416265827, "return_pct": 134.71362416265828, "cagr_pct": 134.94244361789143, "max_drawdown_pct": 66.24627877400566, "mean_exposure_while_solvent": 1.2318153621896506, "realized_annual_volatility_pct": 85.35708869638094, "trading_costs_quote_units": 614.9326505517632, "borrowing_costs_quote_units": 1162.237292478585, "price_pnl_quote_units": 15248.532359296294, "turnover_quote_units": 204977.55018392118, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15572.5819170386, "return_pct": 55.72581917038599, "cagr_pct": 55.80461379429802, "max_drawdown_pct": 66.26362877288561, "mean_exposure_while_solvent": 1.2884702914015789, "realized_annual_volatility_pct": 84.33905595722547, "trading_costs_quote_units": 598.7451649583008, "borrowing_costs_quote_units": 1183.881528974796, "price_pnl_quote_units": 7355.208610971648, "turnover_quote_units": 199581.72165276692, "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, "trace": "binance-2019-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22890.951300048444, "return_pct": 128.90951300048442, "cagr_pct": 129.12612172909377, "max_drawdown_pct": 61.34408105960616, "mean_exposure_while_solvent": 1.2189312475872753, "realized_annual_volatility_pct": 82.93789005930611, "trading_costs_quote_units": 667.5710751248404, "borrowing_costs_quote_units": 933.1590208108464, "price_pnl_quote_units": 14491.681395984122, "turnover_quote_units": 222523.6917082802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24888.979164755565, "return_pct": 148.88979164755565, "cagr_pct": 149.14911768819445, "max_drawdown_pct": 63.6177827280735, "mean_exposure_while_solvent": 1.2059356162667392, "realized_annual_volatility_pct": 81.09836103429012, "trading_costs_quote_units": 605.4146002992129, "borrowing_costs_quote_units": 233.11596533565557, "price_pnl_quote_units": 15727.509730390433, "turnover_quote_units": 201804.86676640413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 156, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25184.752748096696, "return_pct": 151.84752748096696, "cagr_pct": 152.11333678773508, "max_drawdown_pct": 62.45605051165437, "mean_exposure_while_solvent": 1.2216436017522756, "realized_annual_volatility_pct": 82.33020295919144, "trading_costs_quote_units": 639.0033381373372, "borrowing_costs_quote_units": 243.06044624264337, "price_pnl_quote_units": 16066.816532476618, "turnover_quote_units": 213001.1127124458, "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, "trace": "binance-2019-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24228.646580297707, "return_pct": 142.2864658029771, "cagr_pct": 142.531463446112, "max_drawdown_pct": 66.8209311792182, "mean_exposure_while_solvent": 1.2575187951308666, "realized_annual_volatility_pct": 86.28889847062369, "trading_costs_quote_units": 638.2739306823873, "borrowing_costs_quote_units": 316.80453324040036, "price_pnl_quote_units": 15183.725044220497, "turnover_quote_units": 212757.97689412907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 193, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24169.0545490753, "return_pct": 141.69054549075298, "cagr_pct": 141.93426011141227, "max_drawdown_pct": 63.61778272807355, "mean_exposure_while_solvent": 1.1922856220144122, "realized_annual_volatility_pct": 80.92659012103188, "trading_costs_quote_units": 587.7900388363106, "borrowing_costs_quote_units": 219.87088408606772, "price_pnl_quote_units": 14976.715471997668, "turnover_quote_units": 195930.0129454367, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24456.272752064968, "return_pct": 144.56272752064967, "cagr_pct": 144.81264138488353, "max_drawdown_pct": 62.45605051165435, "mean_exposure_while_solvent": 1.2079936074999489, "realized_annual_volatility_pct": 82.16102021838157, "trading_costs_quote_units": 621.4195969519653, "borrowing_costs_quote_units": 229.8600417650611, "price_pnl_quote_units": 15307.552390781955, "turnover_quote_units": 207139.86565065518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 158, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23527.8223736355, "return_pct": 135.27822373635502, "cagr_pct": 135.5082398325252, "max_drawdown_pct": 66.82093117921819, "mean_exposure_while_solvent": 1.24386880087854, "realized_annual_volatility_pct": 86.12743124259626, "trading_costs_quote_units": 620.7112879268946, "borrowing_costs_quote_units": 301.4710487702999, "price_pnl_quote_units": 14450.004710332689, "turnover_quote_units": 206903.7626422984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24205.620839872598, "return_pct": 142.05620839872597, "cagr_pct": 142.30071009624066, "max_drawdown_pct": 63.562738674367814, "mean_exposure_while_solvent": 1.1908860879443126, "realized_annual_volatility_pct": 80.83629540639924, "trading_costs_quote_units": 587.5708506894568, "borrowing_costs_quote_units": 216.9809900083957, "price_pnl_quote_units": 15010.17268057048, "turnover_quote_units": 195856.9502298188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24978.538260983336, "return_pct": 149.78538260983333, "cagr_pct": 150.04666753358578, "max_drawdown_pct": 62.39924882866412, "mean_exposure_while_solvent": 1.193067594619974, "realized_annual_volatility_pct": 81.36436117450339, "trading_costs_quote_units": 597.8810432497294, "borrowing_costs_quote_units": 224.11177844827677, "price_pnl_quote_units": 15800.531082681278, "turnover_quote_units": 199293.68108324296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 147, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24030.260756224678, "return_pct": 140.3026075622468, "cagr_pct": 140.54334046517715, "max_drawdown_pct": 66.77073329181547, "mean_exposure_while_solvent": 1.2289427879985653, "realized_annual_volatility_pct": 85.36783940759169, "trading_costs_quote_units": 597.167584980592, "borrowing_costs_quote_units": 297.25693259063553, "price_pnl_quote_units": 14924.685273795913, "turnover_quote_units": 199055.86166019732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17230.738757782747, "return_pct": 72.30738757782747, "cagr_pct": 72.41449502409034, "max_drawdown_pct": 63.73145742778099, "mean_exposure_while_solvent": 1.2877325395690644, "realized_annual_volatility_pct": 84.65457790496187, "trading_costs_quote_units": 587.0410597973333, "borrowing_costs_quote_units": 313.96484473311733, "price_pnl_quote_units": 8131.744662313178, "turnover_quote_units": 195680.35326577755, "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": 4, "trace": "binance-2019-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24862.739856032185, "return_pct": 148.62739856032184, "cagr_pct": 148.8861513792188, "max_drawdown_pct": 59.814383489906064, "mean_exposure_while_solvent": 1.2174131588834982, "realized_annual_volatility_pct": 82.79789618686551, "trading_costs_quote_units": 657.4054923729406, "borrowing_costs_quote_units": 244.22729863532683, "price_pnl_quote_units": 15764.372647040485, "turnover_quote_units": 219135.16412431363, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24632.603522895803, "return_pct": 146.326035228958, "cagr_pct": 146.57977412682257, "max_drawdown_pct": 63.68593284017096, "mean_exposure_while_solvent": 1.2059535014911538, "realized_annual_volatility_pct": 81.09950356790516, "trading_costs_quote_units": 600.7683730182591, "borrowing_costs_quote_units": 463.20367071541665, "price_pnl_quote_units": 15696.57556662951, "turnover_quote_units": 200256.12433941968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 156, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24905.197525247953, "return_pct": 149.05197525247954, "cagr_pct": 149.31165575641708, "max_drawdown_pct": 62.53129902948139, "mean_exposure_while_solvent": 1.221662774520602, "realized_annual_volatility_pct": 82.33145359242124, "trading_costs_quote_units": 633.9422894809442, "borrowing_costs_quote_units": 482.6852487962584, "price_pnl_quote_units": 16021.825063525168, "turnover_quote_units": 211314.096493648, "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, "trace": "binance-2019-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23916.9209634743, "return_pct": 139.169209634743, "cagr_pct": 139.40751445315277, "max_drawdown_pct": 66.9200272329975, "mean_exposure_while_solvent": 1.2575410486944183, "realized_annual_volatility_pct": 86.29079296983741, "trading_costs_quote_units": 632.3744390392982, "borrowing_costs_quote_units": 628.4213916650646, "price_pnl_quote_units": 15177.71679417873, "turnover_quote_units": 210791.47967976608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 193, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23936.331924504026, "return_pct": 139.36331924504026, "cagr_pct": 139.60203947007633, "max_drawdown_pct": 63.68593284017096, "mean_exposure_while_solvent": 1.1923023466851888, "realized_annual_volatility_pct": 80.9277924359634, "trading_costs_quote_units": 583.6441185470683, "borrowing_costs_quote_units": 437.10090190799303, "price_pnl_quote_units": 14957.076944959059, "turnover_quote_units": 194548.03951568936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24201.220713659637, "return_pct": 142.0122071365964, "cagr_pct": 142.25661408942454, "max_drawdown_pct": 62.53129902948133, "mean_exposure_while_solvent": 1.2080116197146369, "realized_annual_volatility_pct": 82.16232837970647, "trading_costs_quote_units": 616.87045938105, "borrowing_costs_quote_units": 456.69570759485856, "price_pnl_quote_units": 15274.786880635542, "turnover_quote_units": 205623.48646035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 158, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23240.879035045164, "return_pct": 132.40879035045165, "cagr_pct": 132.63274098845596, "max_drawdown_pct": 66.92002723299754, "mean_exposure_while_solvent": 1.2438898938884533, "realized_annual_volatility_pct": 86.1293803733423, "trading_costs_quote_units": 615.3469262090763, "borrowing_costs_quote_units": 598.3124346234196, "price_pnl_quote_units": 14454.53839587768, "turnover_quote_units": 205115.64206969217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23974.201998465058, "return_pct": 139.7420199846506, "cagr_pct": 139.9815511712773, "max_drawdown_pct": 63.62847974278303, "mean_exposure_while_solvent": 1.1909026910266907, "realized_annual_volatility_pct": 80.83747895279252, "trading_costs_quote_units": 583.4250076372747, "borrowing_costs_quote_units": 431.3746426357977, "price_pnl_quote_units": 14989.001648738125, "turnover_quote_units": 194475.00254575815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24736.48026627505, "return_pct": 147.36480266275055, "cagr_pct": 147.62080166311057, "max_drawdown_pct": 62.472019166490945, "mean_exposure_while_solvent": 1.1930843453862332, "realized_annual_volatility_pct": 81.36548081774653, "trading_costs_quote_units": 593.640620369461, "borrowing_costs_quote_units": 445.50521024116375, "price_pnl_quote_units": 15775.62609688566, "turnover_quote_units": 197880.20678982034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 147, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23754.898664958553, "return_pct": 137.54898664958554, "cagr_pct": 137.78383113777255, "max_drawdown_pct": 66.8676908508289, "mean_exposure_while_solvent": 1.2289626195600496, "realized_annual_volatility_pct": 85.36961768034281, "trading_costs_quote_units": 592.095137717287, "borrowing_costs_quote_units": 590.2643728226623, "price_pnl_quote_units": 14937.258175498413, "turnover_quote_units": 197365.0459057622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16983.690210948596, "return_pct": 69.83690210948596, "cagr_pct": 69.93967101387248, "max_drawdown_pct": 64.09434798149238, "mean_exposure_while_solvent": 1.28775724821667, "realized_annual_volatility_pct": 84.65723913221616, "trading_costs_quote_units": 583.6830384298645, "borrowing_costs_quote_units": 623.3605304585893, "price_pnl_quote_units": 8190.733779837093, "turnover_quote_units": 194561.01280995473, "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": 4, "trace": "binance-2019-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24591.74368205365, "return_pct": 145.9174368205365, "cagr_pct": 146.17028808152708, "max_drawdown_pct": 59.91355688336073, "mean_exposure_while_solvent": 1.2174319729727958, "realized_annual_volatility_pct": 82.79928103319153, "trading_costs_quote_units": 652.2736439309465, "borrowing_costs_quote_units": 485.11876250830744, "price_pnl_quote_units": 15729.136088492985, "turnover_quote_units": 217424.54797698217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24127.60912164883, "return_pct": 141.2760912164883, "cagr_pct": 141.51891450415488, "max_drawdown_pct": 63.82188816676013, "mean_exposure_while_solvent": 1.205989279892286, "realized_annual_volatility_pct": 81.10181508914924, "trading_costs_quote_units": 591.590956143469, "borrowing_costs_quote_units": 914.4289929529232, "price_pnl_quote_units": 15633.629070745223, "turnover_quote_units": 197196.98538115626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 156, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24355.21162175393, "return_pct": 143.55211621753932, "cagr_pct": 143.79984437872218, "max_drawdown_pct": 62.68138540643169, "mean_exposure_while_solvent": 1.2217011285502184, "realized_annual_volatility_pct": 82.3339815155821, "trading_costs_quote_units": 623.9552460930375, "borrowing_costs_quote_units": 951.794420476006, "price_pnl_quote_units": 15930.961288322958, "turnover_quote_units": 207985.08203101245, "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, "trace": "binance-2019-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23305.283332054794, "return_pct": 133.05283332054793, "cagr_pct": 133.27814183646623, "max_drawdown_pct": 67.11738686791222, "mean_exposure_while_solvent": 1.2575855656580268, "realized_annual_volatility_pct": 86.29460806643779, "trading_costs_quote_units": 620.7616327043828, "borrowing_costs_quote_units": 1236.3806868492622, "price_pnl_quote_units": 15162.425651608464, "turnover_quote_units": 206920.54423479424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 193, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23477.4616396483, "return_pct": 134.774616396483, "cagr_pct": 135.0035650469247, "max_drawdown_pct": 63.82188816676012, "mean_exposure_while_solvent": 1.1923358034795282, "realized_annual_volatility_pct": 80.93022298430498, "trading_costs_quote_units": 575.4467490230336, "borrowing_costs_quote_units": 863.7469816150871, "price_pnl_quote_units": 14916.655370286415, "turnover_quote_units": 191815.58300767778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 146, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23698.931116311527, "return_pct": 136.98931116311525, "cagr_pct": 137.22296328016833, "max_drawdown_pct": 62.681385406431644, "mean_exposure_while_solvent": 1.2080476521374606, "realized_annual_volatility_pct": 82.16497100714318, "trading_costs_quote_units": 607.8845970029661, "borrowing_costs_quote_units": 901.4303428814881, "price_pnl_quote_units": 15208.246056195962, "turnover_quote_units": 202628.19900098868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 158, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22677.29440869113, "return_pct": 126.77294408691128, "cagr_pct": 126.98510007649402, "max_drawdown_pct": 67.1173868679122, "mean_exposure_while_solvent": 1.243932089245269, "realized_annual_volatility_pct": 86.13330478195329, "trading_costs_quote_units": 604.7770393727848, "borrowing_costs_quote_units": 1178.3480896114747, "price_pnl_quote_units": 14460.419537675405, "turnover_quote_units": 201592.346457595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23517.855224908086, "return_pct": 135.17855224908084, "cagr_pct": 135.40835698363657, "max_drawdown_pct": 63.759642781492154, "mean_exposure_while_solvent": 1.1909359045905457, "realized_annual_volatility_pct": 80.83987194049158, "trading_costs_quote_units": 575.2277865548419, "borrowing_costs_quote_units": 852.5056656763984, "price_pnl_quote_units": 14945.588677139267, "turnover_quote_units": 191742.5955182807, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24259.247670280773, "return_pct": 142.59247670280772, "cagr_pct": 142.83813384267216, "max_drawdown_pct": 62.61717775640974, "mean_exposure_while_solvent": 1.193117854369224, "realized_annual_volatility_pct": 81.36774591003582, "trading_costs_quote_units": 585.2568378853712, "borrowing_costs_quote_units": 880.249839095803, "price_pnl_quote_units": 15724.754347261878, "turnover_quote_units": 195085.61262845714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 147, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23213.456288484882, "return_pct": 132.13456288484883, "cagr_pct": 132.35793597084742, "max_drawdown_pct": 67.06081147413656, "mean_exposure_while_solvent": 1.2290022914770324, "realized_annual_volatility_pct": 85.3732003264031, "trading_costs_quote_units": 582.0913622707174, "borrowing_costs_quote_units": 1163.7373872448586, "price_pnl_quote_units": 14959.285038000404, "turnover_quote_units": 194030.45409023928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16500.0303714752, "return_pct": 65.00030371475201, "cagr_pct": 65.0946984285681, "max_drawdown_pct": 64.80948344588509, "mean_exposure_while_solvent": 1.2878066762359435, "realized_annual_volatility_pct": 84.66258861231229, "trading_costs_quote_units": 577.0532426451665, "borrowing_costs_quote_units": 1228.686217997403, "price_pnl_quote_units": 8305.769832117789, "turnover_quote_units": 192351.08088172204, "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": 4, "trace": "binance-2019-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24058.434648505212, "return_pct": 140.58434648505212, "cagr_pct": 140.82568390939733, "max_drawdown_pct": 60.111224371032804, "mean_exposure_while_solvent": 1.2174696094943847, "realized_annual_volatility_pct": 82.80207706146088, "trading_costs_quote_units": 642.1440697085203, "borrowing_costs_quote_units": 957.0503232377415, "price_pnl_quote_units": 15657.629041451468, "turnover_quote_units": 214048.02323617344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2019-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60734.31560780625, "return_pct": 507.3431560780626, "cagr_pct": 505.59869458058097, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.2913476724222763, "realized_annual_volatility_pct": 84.52058015706434, "trading_costs_quote_units": 115.69834655094938, "borrowing_costs_quote_units": 273.5947613413664, "price_pnl_quote_units": 51123.60871569856, "turnover_quote_units": 192830.57758491562, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68679.10289750161, "return_pct": 586.791028975016, "cagr_pct": 584.6841418635947, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.3566967134814827, "realized_annual_volatility_pct": 86.76155244013302, "trading_costs_quote_units": 102.16330698460074, "borrowing_costs_quote_units": 362.3584020955968, "price_pnl_quote_units": 59143.62460658173, "turnover_quote_units": 170272.17830766784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 71312.11617478223, "return_pct": 613.1211617478224, "cagr_pct": 610.8908545320206, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.4140262371532435, "realized_annual_volatility_pct": 88.21969189643855, "trading_costs_quote_units": 91.74627443635488, "borrowing_costs_quote_units": 419.82825907922944, "price_pnl_quote_units": 61823.690708297836, "turnover_quote_units": 152910.45739392488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59958.82176545079, "return_pct": 499.5882176545079, "cagr_pct": 497.87828159381957, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.262611345891955, "realized_annual_volatility_pct": 83.9959994409427, "trading_costs_quote_units": 113.16489485927299, "borrowing_costs_quote_units": 249.10394656964482, "price_pnl_quote_units": 50321.09060687973, "turnover_quote_units": 188608.15809878835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67802.16502699959, "return_pct": 578.0216502699959, "cagr_pct": 575.9555161449846, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.3279603869511614, "realized_annual_volatility_pct": 86.2506858653875, "trading_costs_quote_units": 99.74232324849243, "borrowing_costs_quote_units": 336.8393753881571, "price_pnl_quote_units": 58238.74672563617, "turnover_quote_units": 166237.2054141541, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70401.55833897836, "return_pct": 604.0155833897836, "cagr_pct": 601.8281352186985, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.3852899106229222, "realized_annual_volatility_pct": 87.71734303352267, "trading_costs_quote_units": 89.23247524325419, "borrowing_costs_quote_units": 393.33088621831376, "price_pnl_quote_units": 60884.12170043986, "turnover_quote_units": 148720.79207209032, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59958.82176545079, "return_pct": 499.5882176545079, "cagr_pct": 497.87828159381957, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.262611345891955, "realized_annual_volatility_pct": 83.9959994409427, "trading_costs_quote_units": 113.16489485927299, "borrowing_costs_quote_units": 249.10394656964482, "price_pnl_quote_units": 50321.09060687973, "turnover_quote_units": 188608.15809878835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67802.16502699959, "return_pct": 578.0216502699959, "cagr_pct": 575.9555161449846, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.3279603869511614, "realized_annual_volatility_pct": 86.2506858653875, "trading_costs_quote_units": 99.74232324849243, "borrowing_costs_quote_units": 336.8393753881571, "price_pnl_quote_units": 58238.74672563617, "turnover_quote_units": 166237.2054141541, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70401.55833897836, "return_pct": 604.0155833897836, "cagr_pct": 601.8281352186985, "max_drawdown_pct": 60.004818663952044, "mean_exposure_while_solvent": 1.3852899106229222, "realized_annual_volatility_pct": 87.71734303352267, "trading_costs_quote_units": 89.23247524325419, "borrowing_costs_quote_units": 393.33088621831376, "price_pnl_quote_units": 60884.12170043986, "turnover_quote_units": 148720.79207209032, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37836.46590719344, "return_pct": 278.3646590719344, "cagr_pct": 277.56268608598134, "max_drawdown_pct": 70.64586435763658, "mean_exposure_while_solvent": 1.1705469961783217, "realized_annual_volatility_pct": 93.52469748400024, "trading_costs_quote_units": 53.71742406360886, "borrowing_costs_quote_units": 98.91513731205059, "price_pnl_quote_units": 27989.098468569086, "turnover_quote_units": 89529.04010601473, "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": 0, "trace": "reference-2020-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69760.50426027691, "return_pct": 597.6050426027691, "cagr_pct": 595.4476562328704, "max_drawdown_pct": 59.70881953146039, "mean_exposure_while_solvent": 1.318248810845265, "realized_annual_volatility_pct": 84.79593169948677, "trading_costs_quote_units": 101.20665050815762, "borrowing_costs_quote_units": 338.0153054873816, "price_pnl_quote_units": 60199.7262162724, "turnover_quote_units": 168677.75084692935, "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": 0, "trace": "reference-2020-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59856.69677968669, "return_pct": 498.56696779686683, "cagr_pct": 496.8615665794709, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.2913725829583866, "realized_annual_volatility_pct": 84.5222639274584, "trading_costs_quote_units": 114.71903564053592, "borrowing_costs_quote_units": 542.3325103821015, "price_pnl_quote_units": 50513.748325709304, "turnover_quote_units": 191198.39273422645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67466.2952299144, "return_pct": 574.6629522991439, "cagr_pct": 572.612379137929, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.3567271959685074, "realized_annual_volatility_pct": 86.76344209953278, "trading_costs_quote_units": 101.15012125281824, "borrowing_costs_quote_units": 716.7281337948202, "price_pnl_quote_units": 58284.17348496206, "turnover_quote_units": 168583.53542136383, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69852.22617584236, "return_pct": 598.5222617584236, "cagr_pct": 596.3605798622299, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.414061620706223, "realized_annual_volatility_pct": 88.22192546195977, "trading_costs_quote_units": 90.6293819664422, "borrowing_costs_quote_units": 828.9816725969173, "price_pnl_quote_units": 60771.83723040567, "turnover_quote_units": 151048.96994407047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59177.25196654361, "return_pct": 491.7725196654361, "cagr_pct": 490.09721843827947, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.2626337961162217, "realized_annual_volatility_pct": 83.99753038085872, "trading_costs_quote_units": 112.27900649000894, "borrowing_costs_quote_units": 494.18991455216747, "price_pnl_quote_units": 49783.72088758583, "turnover_quote_units": 187131.677483348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66700.47240937596, "return_pct": 567.0047240937596, "cagr_pct": 564.9895323149425, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.3279884091263425, "realized_annual_volatility_pct": 86.25241637145461, "trading_costs_quote_units": 98.81076452727908, "borrowing_costs_quote_units": 666.8114723004999, "price_pnl_quote_units": 57466.0946462037, "turnover_quote_units": 164684.60754546543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69059.32019681114, "return_pct": 590.5932019681113, "cagr_pct": 588.4685900646879, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.3853228338640582, "realized_annual_volatility_pct": 87.71941739498786, "trading_costs_quote_units": 88.20729439602691, "borrowing_costs_quote_units": 777.299719159845, "price_pnl_quote_units": 59924.827210367, "turnover_quote_units": 147012.15732671143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 59177.25196654361, "return_pct": 491.7725196654361, "cagr_pct": 490.09721843827947, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.2626337961162217, "realized_annual_volatility_pct": 83.99753038085872, "trading_costs_quote_units": 112.27900649000894, "borrowing_costs_quote_units": 494.18991455216747, "price_pnl_quote_units": 49783.72088758583, "turnover_quote_units": 187131.677483348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66700.47240937596, "return_pct": 567.0047240937596, "cagr_pct": 564.9895323149425, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.3279884091263425, "realized_annual_volatility_pct": 86.25241637145461, "trading_costs_quote_units": 98.81076452727908, "borrowing_costs_quote_units": 666.8114723004999, "price_pnl_quote_units": 57466.0946462037, "turnover_quote_units": 164684.60754546543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69059.32019681114, "return_pct": 590.5932019681113, "cagr_pct": 588.4685900646879, "max_drawdown_pct": 60.04392384842914, "mean_exposure_while_solvent": 1.3853228338640582, "realized_annual_volatility_pct": 87.71941739498786, "trading_costs_quote_units": 88.20729439602691, "borrowing_costs_quote_units": 777.299719159845, "price_pnl_quote_units": 59924.827210367, "turnover_quote_units": 147012.15732671143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37513.76806059886, "return_pct": 275.1376806059886, "cagr_pct": 274.3476601428795, "max_drawdown_pct": 70.6850029651798, "mean_exposure_while_solvent": 1.1705616749928844, "realized_annual_volatility_pct": 93.52933561188172, "trading_costs_quote_units": 53.526893569981596, "borrowing_costs_quote_units": 196.93190793200716, "price_pnl_quote_units": 27764.22686210086, "turnover_quote_units": 89211.48928330265, "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": 0, "trace": "reference-2020-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68660.2958468494, "return_pct": 586.6029584684941, "cagr_pct": 584.4969472297669, "max_drawdown_pct": 59.767444748123964, "mean_exposure_while_solvent": 1.3182759974161145, "realized_annual_volatility_pct": 84.79731991037347, "trading_costs_quote_units": 100.27664138358688, "borrowing_costs_quote_units": 669.3146395981541, "price_pnl_quote_units": 59429.88712783121, "turnover_quote_units": 167127.7356393114, "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": 0, "trace": "reference-2020-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58138.830635803664, "return_pct": 481.38830635803663, "cagr_pct": 479.75876832624306, "max_drawdown_pct": 60.12204109479795, "mean_exposure_while_solvent": 1.2914224148053142, "realized_annual_volatility_pct": 84.52565696274087, "trading_costs_quote_units": 112.80354063340397, "borrowing_costs_quote_units": 1065.550637624265, "price_pnl_quote_units": 49317.184814061264, "turnover_quote_units": 188005.90105567325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65103.887630660036, "return_pct": 551.0388763066004, "cagr_pct": 549.0969968530792, "max_drawdown_pct": 60.12204109479797, "mean_exposure_while_solvent": 1.3567881741231291, "realized_annual_volatility_pct": 86.76724260369366, "trading_costs_quote_units": 99.17425281630565, "borrowing_costs_quote_units": 1402.1380098196703, "price_pnl_quote_units": 56605.19989329606, "turnover_quote_units": 165290.42136050944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 67020.70429580094, "return_pct": 570.2070429580094, "cagr_pct": 568.177073197712, "max_drawdown_pct": 60.12204109479797, "mean_exposure_while_solvent": 1.4141324031156424, "realized_annual_volatility_pct": 88.22640760191696, "trading_costs_quote_units": 88.46140863924968, "borrowing_costs_quote_units": 1616.2483988781073, "price_pnl_quote_units": 58725.41410331836, "turnover_quote_units": 147435.68106541614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57644.10220700503, "return_pct": 476.4410220700503, "cagr_pct": 474.8331834674274, "max_drawdown_pct": 60.12204109479795, "mean_exposure_while_solvent": 1.262678706271751, "realized_annual_volatility_pct": 84.00061854054947, "trading_costs_quote_units": 110.54423874057194, "borrowing_costs_quote_units": 972.5425278366137, "price_pnl_quote_units": 48727.188973582204, "turnover_quote_units": 184240.3979009532, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64549.89052263508, "return_pct": 545.4989052263509, "cagr_pct": 543.5823198628003, "max_drawdown_pct": 60.12204109479797, "mean_exposure_while_solvent": 1.328044465589566, "realized_annual_volatility_pct": 86.25590078277719, "trading_costs_quote_units": 96.99200135120473, "borrowing_costs_quote_units": 1306.6575869863764, "price_pnl_quote_units": 55953.540110972644, "turnover_quote_units": 161653.33558534126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66450.39616661023, "return_pct": 564.5039616661022, "cagr_pct": 562.5002933807335, "max_drawdown_pct": 60.12204109479797, "mean_exposure_while_solvent": 1.3853886945820792, "realized_annual_volatility_pct": 87.72358454852083, "trading_costs_quote_units": 86.2149063877813, "borrowing_costs_quote_units": 1517.9568003632628, "price_pnl_quote_units": 58054.567873361324, "turnover_quote_units": 143691.51064630225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57644.10220700503, "return_pct": 476.4410220700503, "cagr_pct": 474.8331834674274, "max_drawdown_pct": 60.12204109479795, "mean_exposure_while_solvent": 1.262678706271751, "realized_annual_volatility_pct": 84.00061854054947, "trading_costs_quote_units": 110.54423874057194, "borrowing_costs_quote_units": 972.5425278366137, "price_pnl_quote_units": 48727.188973582204, "turnover_quote_units": 184240.3979009532, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64549.89052263508, "return_pct": 545.4989052263509, "cagr_pct": 543.5823198628003, "max_drawdown_pct": 60.12204109479797, "mean_exposure_while_solvent": 1.328044465589566, "realized_annual_volatility_pct": 86.25590078277719, "trading_costs_quote_units": 96.99200135120473, "borrowing_costs_quote_units": 1306.6575869863764, "price_pnl_quote_units": 55953.540110972644, "turnover_quote_units": 161653.33558534126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66450.39616661023, "return_pct": 564.5039616661022, "cagr_pct": 562.5002933807335, "max_drawdown_pct": 60.12204109479797, "mean_exposure_while_solvent": 1.3853886945820792, "realized_annual_volatility_pct": 87.72358454852083, "trading_costs_quote_units": 86.2149063877813, "borrowing_costs_quote_units": 1517.9568003632628, "price_pnl_quote_units": 58054.567873361324, "turnover_quote_units": 143691.51064630225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36876.4321156072, "return_pct": 268.76432115607196, "cagr_pct": 267.9977772867121, "max_drawdown_pct": 70.76314546667358, "mean_exposure_while_solvent": 1.1705910390507568, "realized_annual_volatility_pct": 93.5386358466765, "trading_costs_quote_units": 53.14919371546308, "borrowing_costs_quote_units": 390.30103427045, "price_pnl_quote_units": 27319.882343593134, "turnover_quote_units": 88581.98952577179, "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": 0, "trace": "reference-2020-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66511.05076935905, "return_pct": 565.1105076935905, "cagr_pct": 563.1040458189244, "max_drawdown_pct": 59.88447156381083, "mean_exposure_while_solvent": 1.3183303823062915, "realized_annual_volatility_pct": 84.8001205847547, "trading_costs_quote_units": 98.46033706105578, "borrowing_costs_quote_units": 1312.2437127879627, "price_pnl_quote_units": 57921.75481920802, "turnover_quote_units": 164100.56176842627, "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": 0, "trace": "reference-2020-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 61319.30281292478, "return_pct": 513.1930281292479, "cagr_pct": 511.4224185421823, "max_drawdown_pct": 59.891725552105555, "mean_exposure_while_solvent": 1.2893212248596728, "realized_annual_volatility_pct": 84.41927584903506, "trading_costs_quote_units": 115.35210421185381, "borrowing_costs_quote_units": 279.95730786446217, "price_pnl_quote_units": 51714.61222500111, "turnover_quote_units": 192253.5070197564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69779.854717901, "return_pct": 597.79854717901, "cagr_pct": 595.6402547465249, "max_drawdown_pct": 59.89172555210558, "mean_exposure_while_solvent": 1.3545634462437872, "realized_annual_volatility_pct": 86.70865733911738, "trading_costs_quote_units": 99.59060090728138, "borrowing_costs_quote_units": 366.59385990119637, "price_pnl_quote_units": 60246.039178709485, "turnover_quote_units": 165984.3348454689, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 73042.97058679428, "return_pct": 630.4297058679429, "cagr_pct": 628.1174222608291, "max_drawdown_pct": 59.89172555210558, "mean_exposure_while_solvent": 1.4118276789228963, "realized_annual_volatility_pct": 88.15055403511809, "trading_costs_quote_units": 89.26495191668388, "borrowing_costs_quote_units": 426.7977551796103, "price_pnl_quote_units": 63559.033293890556, "turnover_quote_units": 148774.91986113985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60429.28127084665, "return_pct": 504.29281270846656, "cagr_pct": 502.5619503834111, "max_drawdown_pct": 59.891725552105555, "mean_exposure_while_solvent": 1.2607053412087355, "realized_annual_volatility_pct": 83.89538139632418, "trading_costs_quote_units": 112.62112105796308, "borrowing_costs_quote_units": 254.20871103954718, "price_pnl_quote_units": 50796.11110294418, "turnover_quote_units": 187701.86842993856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68767.03214730695, "return_pct": 587.6703214730694, "cagr_pct": 585.559338279906, "max_drawdown_pct": 59.89172555210558, "mean_exposure_while_solvent": 1.3259475625928498, "realized_annual_volatility_pct": 86.19877807417208, "trading_costs_quote_units": 97.04705991417579, "borrowing_costs_quote_units": 340.26351309851265, "price_pnl_quote_units": 59204.342720319655, "turnover_quote_units": 161745.09985695966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71982.78538674468, "return_pct": 619.8278538674468, "cagr_pct": 617.5658607868966, "max_drawdown_pct": 59.89172555210558, "mean_exposure_while_solvent": 1.383211795271959, "realized_annual_volatility_pct": 87.64909778307907, "trading_costs_quote_units": 86.60246729706415, "borrowing_costs_quote_units": 399.2361221721528, "price_pnl_quote_units": 62468.62397621386, "turnover_quote_units": 144337.445495107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60429.28127084665, "return_pct": 504.29281270846656, "cagr_pct": 502.5619503834111, "max_drawdown_pct": 59.891725552105555, "mean_exposure_while_solvent": 1.2607053412087355, "realized_annual_volatility_pct": 83.89538139632418, "trading_costs_quote_units": 112.62112105796308, "borrowing_costs_quote_units": 254.20871103954718, "price_pnl_quote_units": 50796.11110294418, "turnover_quote_units": 187701.86842993856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68767.03214730695, "return_pct": 587.6703214730694, "cagr_pct": 585.559338279906, "max_drawdown_pct": 59.89172555210558, "mean_exposure_while_solvent": 1.3259475625928498, "realized_annual_volatility_pct": 86.19877807417208, "trading_costs_quote_units": 97.04705991417579, "borrowing_costs_quote_units": 340.26351309851265, "price_pnl_quote_units": 59204.342720319655, "turnover_quote_units": 161745.09985695966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71982.78538674468, "return_pct": 619.8278538674468, "cagr_pct": 617.5658607868966, "max_drawdown_pct": 59.89172555210558, "mean_exposure_while_solvent": 1.383211795271959, "realized_annual_volatility_pct": 87.64909778307907, "trading_costs_quote_units": 86.60246729706415, "borrowing_costs_quote_units": 399.2361221721528, "price_pnl_quote_units": 62468.62397621386, "turnover_quote_units": 144337.445495107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 37726.103618666006, "return_pct": 277.26103618666, "cagr_pct": 276.46315588802594, "max_drawdown_pct": 70.0791343342831, "mean_exposure_while_solvent": 1.1690161177746736, "realized_annual_volatility_pct": 89.95653519468888, "trading_costs_quote_units": 54.568864093292774, "borrowing_costs_quote_units": 98.11527294027108, "price_pnl_quote_units": 27878.787755699555, "turnover_quote_units": 90948.10682215467, "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": 0, "trace": "reference-2020-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69667.32991407401, "return_pct": 596.6732991407401, "cagr_pct": 594.5202743577842, "max_drawdown_pct": 59.27269649097624, "mean_exposure_while_solvent": 1.316409553269538, "realized_annual_volatility_pct": 84.81660113389916, "trading_costs_quote_units": 98.11585130604814, "borrowing_costs_quote_units": 339.7480463832316, "price_pnl_quote_units": 60105.1938117633, "turnover_quote_units": 163526.4188434135, "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": 0, "trace": "reference-2020-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60434.80728119478, "return_pct": 504.3480728119478, "cagr_pct": 502.61696434093164, "max_drawdown_pct": 59.931827092998134, "mean_exposure_while_solvent": 1.2893460022063588, "realized_annual_volatility_pct": 84.42072756538577, "trading_costs_quote_units": 114.36521077313395, "borrowing_costs_quote_units": 554.9361076918473, "price_pnl_quote_units": 51104.108599659725, "turnover_quote_units": 190608.68462189, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68549.45396058907, "return_pct": 585.4945396058907, "cagr_pct": 583.39368877922, "max_drawdown_pct": 59.93182709299815, "mean_exposure_while_solvent": 1.3545937852987742, "realized_annual_volatility_pct": 86.71026373956845, "trading_costs_quote_units": 98.59882577193613, "borrowing_costs_quote_units": 725.0957411335912, "price_pnl_quote_units": 59373.148527494595, "turnover_quote_units": 164331.3762865603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 71549.71246917814, "return_pct": 615.4971246917814, "cagr_pct": 613.2556036054799, "max_drawdown_pct": 59.93182709299815, "mean_exposure_while_solvent": 1.4118629095771058, "realized_annual_volatility_pct": 88.15245249243371, "trading_costs_quote_units": 88.16304247863783, "borrowing_costs_quote_units": 842.7142090652943, "price_pnl_quote_units": 62480.5897207221, "turnover_quote_units": 146938.40413106306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59643.11961564871, "return_pct": 496.43119615648715, "cagr_pct": 494.735269851461, "max_drawdown_pct": 59.931827092998134, "mean_exposure_while_solvent": 1.26072767407716, "realized_annual_volatility_pct": 83.89669365635797, "trading_costs_quote_units": 111.73019958105503, "borrowing_costs_quote_units": 504.31169881636487, "price_pnl_quote_units": 50259.161514046114, "turnover_quote_units": 186216.99930175842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67651.46553931372, "return_pct": 576.5146553931372, "cagr_pct": 574.4555065013922, "max_drawdown_pct": 59.93182709299815, "mean_exposure_while_solvent": 1.3259754571695754, "realized_annual_volatility_pct": 86.2002373663523, "trading_costs_quote_units": 96.13791823907, "borrowing_costs_quote_units": 673.5838838067872, "price_pnl_quote_units": 58421.18734135958, "turnover_quote_units": 160229.86373178352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70612.42107397833, "return_pct": 606.1242107397833, "cagr_pct": 603.9268540129914, "max_drawdown_pct": 59.93182709299815, "mean_exposure_while_solvent": 1.383244581447907, "realized_annual_volatility_pct": 87.65084771781517, "trading_costs_quote_units": 85.59442644719536, "borrowing_costs_quote_units": 788.9477912816458, "price_pnl_quote_units": 61486.963291707216, "turnover_quote_units": 142657.37741199223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 59643.11961564871, "return_pct": 496.43119615648715, "cagr_pct": 494.735269851461, "max_drawdown_pct": 59.931827092998134, "mean_exposure_while_solvent": 1.26072767407716, "realized_annual_volatility_pct": 83.89669365635797, "trading_costs_quote_units": 111.73019958105503, "borrowing_costs_quote_units": 504.31169881636487, "price_pnl_quote_units": 50259.161514046114, "turnover_quote_units": 186216.99930175842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67651.46553931372, "return_pct": 576.5146553931372, "cagr_pct": 574.4555065013922, "max_drawdown_pct": 59.93182709299815, "mean_exposure_while_solvent": 1.3259754571695754, "realized_annual_volatility_pct": 86.2002373663523, "trading_costs_quote_units": 96.13791823907, "borrowing_costs_quote_units": 673.5838838067872, "price_pnl_quote_units": 58421.18734135958, "turnover_quote_units": 160229.86373178352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70612.42107397833, "return_pct": 606.1242107397833, "cagr_pct": 603.9268540129914, "max_drawdown_pct": 59.93182709299815, "mean_exposure_while_solvent": 1.383244581447907, "realized_annual_volatility_pct": 87.65084771781517, "trading_costs_quote_units": 85.59442644719536, "borrowing_costs_quote_units": 788.9477912816458, "price_pnl_quote_units": 61486.963291707216, "turnover_quote_units": 142657.37741199223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37404.390412766035, "return_pct": 274.0439041276603, "cagr_pct": 273.25792495517567, "max_drawdown_pct": 70.11847916221467, "mean_exposure_while_solvent": 1.1690306796434167, "realized_annual_volatility_pct": 89.96017809341677, "trading_costs_quote_units": 54.386698390369, "borrowing_costs_quote_units": 195.33885347198418, "price_pnl_quote_units": 27654.11596462837, "turnover_quote_units": 90644.4973172817, "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": 0, "trace": "reference-2020-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68570.24772701823, "return_pct": 585.7024772701823, "cagr_pct": 583.6006585748133, "max_drawdown_pct": 59.332785814207824, "mean_exposure_while_solvent": 1.3164366309108402, "realized_annual_volatility_pct": 84.8178977887163, "trading_costs_quote_units": 97.20448715815188, "borrowing_costs_quote_units": 672.7670956553256, "price_pnl_quote_units": 59340.2193098317, "turnover_quote_units": 162007.4785969198, "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": 0, "trace": "reference-2020-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58703.40968041788, "return_pct": 487.0340968041788, "cagr_pct": 485.37971398343717, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.2893955676102942, "realized_annual_volatility_pct": 84.42365724743739, "trading_costs_quote_units": 112.43344923200212, "borrowing_costs_quote_units": 1090.2786768513504, "price_pnl_quote_units": 49906.12180650126, "turnover_quote_units": 187389.08205333693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66152.6768978203, "return_pct": 561.526768978203, "cagr_pct": 559.5368000912146, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.3546544765215502, "realized_annual_volatility_pct": 86.71349854366609, "trading_costs_quote_units": 96.66360423819874, "borrowing_costs_quote_units": 1418.4671831679645, "price_pnl_quote_units": 57667.80768522638, "turnover_quote_units": 161106.00706366455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 68653.3428414797, "return_pct": 586.533428414797, "cagr_pct": 584.4277409673097, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.411933386116026, "realized_annual_volatility_pct": 88.15626526945634, "trading_costs_quote_units": 86.02348546083505, "borrowing_costs_quote_units": 1642.9060562412817, "price_pnl_quote_units": 60382.27238318183, "turnover_quote_units": 143372.47576805833, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58100.89944203919, "return_pct": 481.0089944203919, "cagr_pct": 479.3811224727362, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.26077234946639, "realized_annual_volatility_pct": 83.89934506610705, "trading_costs_quote_units": 109.98419378280562, "borrowing_costs_quote_units": 992.439430405321, "price_pnl_quote_units": 49203.323066227305, "turnover_quote_units": 183306.98963800934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 65473.71011643422, "return_pct": 554.7371011643421, "cagr_pct": 552.778294875684, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.326031258377646, "realized_annual_volatility_pct": 86.20318002548366, "trading_costs_quote_units": 94.3618494256367, "borrowing_costs_quote_units": 1319.9035802822045, "price_pnl_quote_units": 56887.97554614204, "turnover_quote_units": 157269.7490427279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67948.71014320722, "return_pct": 579.4871014320722, "cagr_pct": 577.414169539089, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.3833101679721216, "realized_annual_volatility_pct": 87.65436673083926, "trading_costs_quote_units": 83.63472101933075, "borrowing_costs_quote_units": 1540.616607984191, "price_pnl_quote_units": 59572.96147221073, "turnover_quote_units": 139391.20169888446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58100.89944203919, "return_pct": 481.0089944203919, "cagr_pct": 479.3811224727362, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.26077234946639, "realized_annual_volatility_pct": 83.89934506610705, "trading_costs_quote_units": 109.98419378280562, "borrowing_costs_quote_units": 992.439430405321, "price_pnl_quote_units": 49203.323066227305, "turnover_quote_units": 183306.98963800934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 65473.71011643422, "return_pct": 554.7371011643421, "cagr_pct": 552.778294875684, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.326031258377646, "realized_annual_volatility_pct": 86.20318002548366, "trading_costs_quote_units": 94.3618494256367, "borrowing_costs_quote_units": 1319.9035802822045, "price_pnl_quote_units": 56887.97554614204, "turnover_quote_units": 157269.7490427279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67948.71014320722, "return_pct": 579.4871014320722, "cagr_pct": 577.414169539089, "max_drawdown_pct": 60.01193238858819, "mean_exposure_while_solvent": 1.3833101679721216, "realized_annual_volatility_pct": 87.65436673083926, "trading_costs_quote_units": 83.63472101933075, "borrowing_costs_quote_units": 1540.616607984191, "price_pnl_quote_units": 59572.96147221073, "turnover_quote_units": 139391.20169888446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36768.99817285209, "return_pct": 267.6899817285209, "cagr_pct": 266.9273780896444, "max_drawdown_pct": 70.1970358514847, "mean_exposure_while_solvent": 1.1690598096959823, "realized_annual_volatility_pct": 89.96748812006636, "trading_costs_quote_units": 54.02535846618025, "borrowing_costs_quote_units": 387.1413995694705, "price_pnl_quote_units": 27210.164930887695, "turnover_quote_units": 90042.26411030033, "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": 0, "trace": "reference-2020-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66427.04131259343, "return_pct": 564.2704131259343, "cagr_pct": 562.2678202686029, "max_drawdown_pct": 59.45273194886721, "mean_exposure_while_solvent": 1.3164907978913176, "realized_annual_volatility_pct": 84.82051587708636, "trading_costs_quote_units": 95.42071397077619, "borrowing_costs_quote_units": 1319.0955743831237, "price_pnl_quote_units": 57841.55760094732, "turnover_quote_units": 159034.5232846271, "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": 0, "trace": "reference-2020-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59116.301024512366, "return_pct": 491.16301024512364, "cagr_pct": 489.49040316520484, "max_drawdown_pct": 60.07708607783589, "mean_exposure_while_solvent": 1.2913476724222763, "realized_annual_volatility_pct": 84.53143864534279, "trading_costs_quote_units": 568.5361499451469, "borrowing_costs_quote_units": 268.58121600436874, "price_pnl_quote_units": 49953.418390461855, "turnover_quote_units": 189512.04998171548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67044.77423721345, "return_pct": 570.4477423721345, "cagr_pct": 568.4166608554215, "max_drawdown_pct": 60.07708607783586, "mean_exposure_while_solvent": 1.3566967134814827, "realized_annual_volatility_pct": 86.76719668142827, "trading_costs_quote_units": 502.91999180882857, "borrowing_costs_quote_units": 356.17642451661646, "price_pnl_quote_units": 57903.87065353887, "turnover_quote_units": 167639.9972696096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69879.22920323611, "return_pct": 598.7922920323612, "cagr_pct": 596.6293451644444, "max_drawdown_pct": 60.07708607783586, "mean_exposure_while_solvent": 1.4140262371532435, "realized_annual_volatility_pct": 88.22220305357608, "trading_costs_quote_units": 452.4981664677871, "borrowing_costs_quote_units": 413.89260707176663, "price_pnl_quote_units": 60745.6199767756, "turnover_quote_units": 150832.72215592887, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58392.79669373829, "return_pct": 483.92796693738285, "cagr_pct": 482.28726362942365, "max_drawdown_pct": 60.07708607783589, "mean_exposure_while_solvent": 1.262611345891955, "realized_annual_volatility_pct": 84.00513175707474, "trading_costs_quote_units": 556.2680221617667, "borrowing_costs_quote_units": 244.6863710783302, "price_pnl_quote_units": 49193.75108697837, "turnover_quote_units": 185422.67405392215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66224.236015509, "return_pct": 562.2423601550901, "cagr_pct": 560.2491004501443, "max_drawdown_pct": 60.07708607783586, "mean_exposure_while_solvent": 1.3279603869511614, "realized_annual_volatility_pct": 86.25461475771232, "trading_costs_quote_units": 491.15396038843375, "borrowing_costs_quote_units": 331.2695594323672, "price_pnl_quote_units": 57046.659535329774, "turnover_quote_units": 163717.98679614457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69024.00104985852, "return_pct": 590.2400104985852, "cagr_pct": 588.1170464891862, "max_drawdown_pct": 60.07708607783586, "mean_exposure_while_solvent": 1.3852899106229222, "realized_annual_volatility_pct": 87.71815034197061, "trading_costs_quote_units": 440.2347020025446, "borrowing_costs_quote_units": 387.93275332092315, "price_pnl_quote_units": 59852.16850518202, "turnover_quote_units": 146744.90066751477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58392.79669373829, "return_pct": 483.92796693738285, "cagr_pct": 482.28726362942365, "max_drawdown_pct": 60.07708607783589, "mean_exposure_while_solvent": 1.262611345891955, "realized_annual_volatility_pct": 84.00513175707474, "trading_costs_quote_units": 556.2680221617667, "borrowing_costs_quote_units": 244.6863710783302, "price_pnl_quote_units": 49193.75108697837, "turnover_quote_units": 185422.67405392215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66224.236015509, "return_pct": 562.2423601550901, "cagr_pct": 560.2491004501443, "max_drawdown_pct": 60.07708607783586, "mean_exposure_while_solvent": 1.3279603869511614, "realized_annual_volatility_pct": 86.25461475771232, "trading_costs_quote_units": 491.15396038843375, "borrowing_costs_quote_units": 331.2695594323672, "price_pnl_quote_units": 57046.659535329774, "turnover_quote_units": 163717.98679614457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69024.00104985852, "return_pct": 590.2400104985852, "cagr_pct": 588.1170464891862, "max_drawdown_pct": 60.07708607783586, "mean_exposure_while_solvent": 1.3852899106229222, "realized_annual_volatility_pct": 87.71815034197061, "trading_costs_quote_units": 440.2347020025446, "borrowing_costs_quote_units": 387.93275332092315, "price_pnl_quote_units": 59852.16850518202, "turnover_quote_units": 146744.90066751477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37114.35698800184, "return_pct": 271.14356988001845, "cagr_pct": 270.36828223626867, "max_drawdown_pct": 70.73317131857446, "mean_exposure_while_solvent": 1.1705469961783217, "realized_annual_volatility_pct": 93.50586610691339, "trading_costs_quote_units": 265.7965476565298, "borrowing_costs_quote_units": 97.60397120372136, "price_pnl_quote_units": 27477.75750686211, "turnover_quote_units": 88598.84921884333, "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": 0, "trace": "reference-2020-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68183.76958680779, "return_pct": 581.8376958680778, "cagr_pct": 579.7538498338862, "max_drawdown_pct": 59.786677999739155, "mean_exposure_while_solvent": 1.318248810845265, "realized_annual_volatility_pct": 84.79418199458576, "trading_costs_quote_units": 498.5184600547794, "borrowing_costs_quote_units": 332.5940077559137, "price_pnl_quote_units": 59014.88205461855, "turnover_quote_units": 166172.82001825984, "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": 0, "trace": "reference-2020-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58262.4913379087, "return_pct": 482.624913379087, "cagr_pct": 480.98994096606634, "max_drawdown_pct": 60.11618697680091, "mean_exposure_while_solvent": 1.2913725829583866, "realized_annual_volatility_pct": 84.53316157875149, "trading_costs_quote_units": 563.7534190476777, "borrowing_costs_quote_units": 532.4120610960699, "price_pnl_quote_units": 49358.6568180524, "turnover_quote_units": 187917.806349226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65861.40363482061, "return_pct": 558.6140363482061, "cagr_pct": 556.6374496696383, "max_drawdown_pct": 60.116186976800954, "mean_exposure_while_solvent": 1.3567271959685074, "realized_annual_volatility_pct": 86.7691288244535, "trading_costs_quote_units": 497.9620695247837, "borrowing_costs_quote_units": 704.5275005229549, "price_pnl_quote_units": 57063.893204868305, "turnover_quote_units": 165987.35650826138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68449.41781718638, "return_pct": 584.4941781718637, "cagr_pct": 582.3979822375461, "max_drawdown_pct": 60.116186976800954, "mean_exposure_while_solvent": 1.414061620706223, "realized_annual_volatility_pct": 88.22447375114577, "trading_costs_quote_units": 447.01936031003726, "borrowing_costs_quote_units": 817.2896116487929, "price_pnl_quote_units": 59713.726789145185, "turnover_quote_units": 149006.4534366792, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57632.00324900612, "return_pct": 476.3200324900612, "cagr_pct": 474.7127237213402, "max_drawdown_pct": 60.11618697680091, "mean_exposure_while_solvent": 1.2626337961162217, "realized_annual_volatility_pct": 84.00670352007525, "trading_costs_quote_units": 551.9388577056893, "borrowing_costs_quote_units": 485.4405071027002, "price_pnl_quote_units": 48669.38261381454, "turnover_quote_units": 183979.61923522982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65148.68384621196, "return_pct": 551.4868384621196, "cagr_pct": 549.5429104496542, "max_drawdown_pct": 60.116186976800954, "mean_exposure_while_solvent": 1.3279884091263425, "realized_annual_volatility_pct": 86.25638925175708, "trading_costs_quote_units": 486.59294017575866, "borrowing_costs_quote_units": 655.8082387176487, "price_pnl_quote_units": 56291.08502510536, "turnover_quote_units": 162197.64672525294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67708.69180916602, "return_pct": 577.0869180916602, "cagr_pct": 575.0251172706501, "max_drawdown_pct": 60.116186976800954, "mean_exposure_while_solvent": 1.3853228338640582, "realized_annual_volatility_pct": 87.72026308193082, "trading_costs_quote_units": 435.20348269309534, "borrowing_costs_quote_units": 766.655933606542, "price_pnl_quote_units": 58910.55122546565, "turnover_quote_units": 145067.8275643652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 57632.00324900612, "return_pct": 476.3200324900612, "cagr_pct": 474.7127237213402, "max_drawdown_pct": 60.11618697680091, "mean_exposure_while_solvent": 1.2626337961162217, "realized_annual_volatility_pct": 84.00670352007525, "trading_costs_quote_units": 551.9388577056893, "borrowing_costs_quote_units": 485.4405071027002, "price_pnl_quote_units": 48669.38261381454, "turnover_quote_units": 183979.61923522982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65148.68384621196, "return_pct": 551.4868384621196, "cagr_pct": 549.5429104496542, "max_drawdown_pct": 60.116186976800954, "mean_exposure_while_solvent": 1.3279884091263425, "realized_annual_volatility_pct": 86.25638925175708, "trading_costs_quote_units": 486.59294017575866, "borrowing_costs_quote_units": 655.8082387176487, "price_pnl_quote_units": 56291.08502510536, "turnover_quote_units": 162197.64672525294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67708.69180916602, "return_pct": 577.0869180916602, "cagr_pct": 575.0251172706501, "max_drawdown_pct": 60.116186976800954, "mean_exposure_while_solvent": 1.3853228338640582, "realized_annual_volatility_pct": 87.72026308193082, "trading_costs_quote_units": 435.20348269309534, "borrowing_costs_quote_units": 766.655933606542, "price_pnl_quote_units": 58910.55122546565, "turnover_quote_units": 145067.8275643652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36797.970592229765, "return_pct": 267.9797059222976, "cagr_pct": 267.21604018599, "max_drawdown_pct": 70.77222458203471, "mean_exposure_while_solvent": 1.1705616749928844, "realized_annual_volatility_pct": 93.51050310247373, "trading_costs_quote_units": 264.85950791969873, "borrowing_costs_quote_units": 194.3238830491697, "price_pnl_quote_units": 27257.15398319862, "turnover_quote_units": 88286.50263989961, "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": 0, "trace": "reference-2020-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67108.87507750536, "return_pct": 571.0887507750537, "cagr_pct": 569.0547078626958, "max_drawdown_pct": 59.8452881935877, "mean_exposure_while_solvent": 1.3182759974161145, "realized_annual_volatility_pct": 84.79560522205122, "trading_costs_quote_units": 493.9622805706884, "borrowing_costs_quote_units": 658.6008410083936, "price_pnl_quote_units": 58261.43819908452, "turnover_quote_units": 164654.09352356283, "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": 0, "trace": "reference-2020-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56591.10309604539, "return_pct": 465.91103096045396, "cagr_pct": 464.34915310469904, "max_drawdown_pct": 60.19429548296957, "mean_exposure_while_solvent": 1.2914224148053142, "realized_annual_volatility_pct": 84.53663342961065, "trading_costs_quote_units": 554.3978398188375, "borrowing_costs_quote_units": 1046.128050541845, "price_pnl_quote_units": 48191.62898640606, "turnover_quote_units": 184799.27993961237, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63556.18440614131, "return_pct": 535.5618440614131, "cagr_pct": 533.6904392497004, "max_drawdown_pct": 60.194295482969565, "mean_exposure_while_solvent": 1.3567881741231291, "realized_annual_volatility_pct": 86.77301479998138, "trading_costs_quote_units": 488.29252672503407, "borrowing_costs_quote_units": 1378.374793485982, "price_pnl_quote_units": 55422.851726352295, "turnover_quote_units": 162764.17557501147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65676.06418992553, "return_pct": 556.7606418992553, "cagr_pct": 554.7925597857114, "max_drawdown_pct": 60.194295482969565, "mean_exposure_while_solvent": 1.4141324031156424, "realized_annual_volatility_pct": 88.22903065777092, "trading_costs_quote_units": 436.3837939996686, "borrowing_costs_quote_units": 1593.5620405963361, "price_pnl_quote_units": 57706.01002452158, "turnover_quote_units": 145461.26466655618, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56139.487644291294, "return_pct": 461.39487644291296, "cagr_pct": 459.85261547911637, "max_drawdown_pct": 60.19429548296957, "mean_exposure_while_solvent": 1.262678706271751, "realized_annual_volatility_pct": 84.00987381766566, "trading_costs_quote_units": 543.460736004972, "borrowing_costs_quote_units": 955.3804667575204, "price_pnl_quote_units": 47638.32884705376, "turnover_quote_units": 181153.57866832396, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63048.98533487325, "return_pct": 530.4898533487325, "cagr_pct": 528.6414143909177, "max_drawdown_pct": 60.194295482969565, "mean_exposure_while_solvent": 1.328044465589566, "realized_annual_volatility_pct": 86.25996214343729, "trading_costs_quote_units": 477.68734246361515, "borrowing_costs_quote_units": 1285.1847153540048, "price_pnl_quote_units": 54811.85739269088, "turnover_quote_units": 159229.1141545384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65151.947786889155, "return_pct": 551.5194778688915, "cagr_pct": 549.5754005752652, "max_drawdown_pct": 60.194295482969565, "mean_exposure_while_solvent": 1.3853886945820792, "realized_annual_volatility_pct": 87.72450749313407, "trading_costs_quote_units": 425.42487994894384, "borrowing_costs_quote_units": 1497.2636612891558, "price_pnl_quote_units": 57074.63632812727, "turnover_quote_units": 141808.29331631446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56139.487644291294, "return_pct": 461.39487644291296, "cagr_pct": 459.85261547911637, "max_drawdown_pct": 60.19429548296957, "mean_exposure_while_solvent": 1.262678706271751, "realized_annual_volatility_pct": 84.00987381766566, "trading_costs_quote_units": 543.460736004972, "borrowing_costs_quote_units": 955.3804667575204, "price_pnl_quote_units": 47638.32884705376, "turnover_quote_units": 181153.57866832396, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63048.98533487325, "return_pct": 530.4898533487325, "cagr_pct": 528.6414143909177, "max_drawdown_pct": 60.194295482969565, "mean_exposure_while_solvent": 1.328044465589566, "realized_annual_volatility_pct": 86.25996214343729, "trading_costs_quote_units": 477.68734246361515, "borrowing_costs_quote_units": 1285.1847153540048, "price_pnl_quote_units": 54811.85739269088, "turnover_quote_units": 159229.1141545384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65151.947786889155, "return_pct": 551.5194778688915, "cagr_pct": 549.5754005752652, "max_drawdown_pct": 60.194295482969565, "mean_exposure_while_solvent": 1.3853886945820792, "realized_annual_volatility_pct": 87.72450749313407, "trading_costs_quote_units": 425.42487994894384, "borrowing_costs_quote_units": 1497.2636612891558, "price_pnl_quote_units": 57074.63632812727, "turnover_quote_units": 141808.29331631446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36173.09603833693, "return_pct": 261.7309603833693, "cagr_pct": 260.9901210078971, "max_drawdown_pct": 70.85019657867535, "mean_exposure_while_solvent": 1.1705910390507568, "realized_annual_volatility_pct": 93.51980106508245, "trading_costs_quote_units": 263.0019210157992, "borrowing_costs_quote_units": 385.14168544423035, "price_pnl_quote_units": 26821.239644796948, "turnover_quote_units": 87667.30700526638, "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": 0, "trace": "reference-2020-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65008.93530093953, "return_pct": 550.0893530093953, "cagr_pct": 548.1518141673054, "max_drawdown_pct": 59.96228461415982, "mean_exposure_while_solvent": 1.3183303823062915, "realized_annual_volatility_pct": 84.79847643845667, "trading_costs_quote_units": 485.06339096069735, "borrowing_costs_quote_units": 1291.3201857843903, "price_pnl_quote_units": 56785.31887768459, "turnover_quote_units": 161687.79698689913, "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": 0, "trace": "reference-2020-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59743.084850578205, "return_pct": 497.430848505782, "cagr_pct": 495.730488957132, "max_drawdown_pct": 59.9680496456225, "mean_exposure_while_solvent": 1.2893212248596728, "realized_annual_volatility_pct": 84.4222367615366, "trading_costs_quote_units": 567.1059789725741, "borrowing_costs_quote_units": 275.014444744243, "price_pnl_quote_units": 50585.20527429499, "turnover_quote_units": 189035.3263241914, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68191.14188517163, "return_pct": 581.9114188517162, "cagr_pct": 579.8272303030761, "max_drawdown_pct": 59.96804964562248, "mean_exposure_while_solvent": 1.3545634462437872, "realized_annual_volatility_pct": 86.7135603626549, "trading_costs_quote_units": 490.5218926086876, "borrowing_costs_quote_units": 360.62506600821496, "price_pnl_quote_units": 59042.28884378849, "turnover_quote_units": 163507.29753622934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71652.83713074334, "return_pct": 616.5283713074334, "cagr_pct": 614.2819791307139, "max_drawdown_pct": 59.96804964562248, "mean_exposure_while_solvent": 1.4118276789228963, "realized_annual_volatility_pct": 88.15026070678091, "trading_costs_quote_units": 440.5022031268408, "borrowing_costs_quote_units": 421.11485191353324, "price_pnl_quote_units": 62514.454185783645, "turnover_quote_units": 146834.06770894685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58907.92288028849, "return_pct": 489.0792288028849, "cagr_pct": 487.4158248904348, "max_drawdown_pct": 59.9680496456225, "mean_exposure_while_solvent": 1.2607053412087355, "realized_annual_volatility_pct": 83.89780921650016, "trading_costs_quote_units": 553.8651853638033, "borrowing_costs_quote_units": 249.86636196453105, "price_pnl_quote_units": 49711.65442761677, "turnover_quote_units": 184621.7284546012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67237.88263256426, "return_pct": 572.3788263256425, "cagr_pct": 570.3388204463673, "max_drawdown_pct": 59.96804964562248, "mean_exposure_while_solvent": 1.3259475625928498, "realized_annual_volatility_pct": 86.20317179986532, "trading_costs_quote_units": 478.1456236865623, "borrowing_costs_quote_units": 334.89652870002953, "price_pnl_quote_units": 58050.92478495078, "turnover_quote_units": 159381.87456218756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70651.18606460527, "return_pct": 606.5118606460526, "cagr_pct": 604.3126812427307, "max_drawdown_pct": 59.96804964562248, "mean_exposure_while_solvent": 1.383211795271959, "realized_annual_volatility_pct": 87.64827485358055, "trading_costs_quote_units": 427.49765800781864, "borrowing_costs_quote_units": 394.0802160005585, "price_pnl_quote_units": 61472.763938613636, "turnover_quote_units": 142499.21933593944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 58907.92288028849, "return_pct": 489.0792288028849, "cagr_pct": 487.4158248904348, "max_drawdown_pct": 59.9680496456225, "mean_exposure_while_solvent": 1.2607053412087355, "realized_annual_volatility_pct": 83.89780921650016, "trading_costs_quote_units": 553.8651853638033, "borrowing_costs_quote_units": 249.86636196453105, "price_pnl_quote_units": 49711.65442761677, "turnover_quote_units": 184621.7284546012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 67237.88263256426, "return_pct": 572.3788263256425, "cagr_pct": 570.3388204463673, "max_drawdown_pct": 59.96804964562248, "mean_exposure_while_solvent": 1.3259475625928498, "realized_annual_volatility_pct": 86.20317179986532, "trading_costs_quote_units": 478.1456236865623, "borrowing_costs_quote_units": 334.89652870002953, "price_pnl_quote_units": 58050.92478495078, "turnover_quote_units": 159381.87456218756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70651.18606460527, "return_pct": 606.5118606460526, "cagr_pct": 604.3126812427307, "max_drawdown_pct": 59.96804964562248, "mean_exposure_while_solvent": 1.383211795271959, "realized_annual_volatility_pct": 87.64827485358055, "trading_costs_quote_units": 427.49765800781864, "borrowing_costs_quote_units": 394.0802160005585, "price_pnl_quote_units": 61472.763938613636, "turnover_quote_units": 142499.21933593944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 36987.03302499262, "return_pct": 269.87033024992616, "cagr_pct": 269.09972480456645, "max_drawdown_pct": 70.17234387550604, "mean_exposure_while_solvent": 1.1690161177746736, "realized_annual_volatility_pct": 89.98119073315142, "trading_costs_quote_units": 269.93700916988786, "borrowing_costs_quote_units": 96.7701680401224, "price_pnl_quote_units": 27353.7402022026, "turnover_quote_units": 89979.00305662926, "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": 0, "trace": "reference-2020-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 68159.27799482661, "return_pct": 581.5927799482661, "cagr_pct": 579.5100716941855, "max_drawdown_pct": 59.35399588375996, "mean_exposure_while_solvent": 1.316409553269538, "realized_annual_volatility_pct": 84.82332737576785, "trading_costs_quote_units": 483.5764087536617, "borrowing_costs_quote_units": 334.56659243092554, "price_pnl_quote_units": 58977.420996011286, "turnover_quote_units": 161192.13625122065, "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": 0, "trace": "reference-2020-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58881.65167235638, "return_pct": 488.8165167235638, "cagr_pct": 487.1542722677356, "max_drawdown_pct": 60.00813268591764, "mean_exposure_while_solvent": 1.2893460022063588, "realized_annual_volatility_pct": 84.42373303582164, "trading_costs_quote_units": 562.2821383451976, "borrowing_costs_quote_units": 545.1545987138645, "price_pnl_quote_units": 49989.088409415395, "turnover_quote_units": 187427.37944839924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66989.0887024612, "return_pct": 569.890887024612, "cagr_pct": 567.8623773352083, "max_drawdown_pct": 60.00813268591762, "mean_exposure_while_solvent": 1.3545937852987742, "realized_annual_volatility_pct": 86.7152135812532, "trading_costs_quote_units": 485.6643423282989, "borrowing_costs_quote_units": 713.3140263433127, "price_pnl_quote_units": 58188.0670711328, "turnover_quote_units": 161888.1141094331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70188.5333728361, "return_pct": 601.885333728361, "cagr_pct": 599.7078855393954, "max_drawdown_pct": 60.00813268591762, "mean_exposure_while_solvent": 1.4118629095771058, "realized_annual_volatility_pct": 88.15220814136094, "trading_costs_quote_units": 435.0918566469591, "borrowing_costs_quote_units": 831.5187157280872, "price_pnl_quote_units": 61455.14394521106, "turnover_quote_units": 145030.6188823198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58141.843017094936, "return_pct": 481.41843017094936, "cagr_pct": 479.7887598069236, "max_drawdown_pct": 60.00813268591764, "mean_exposure_while_solvent": 1.26072767407716, "realized_annual_volatility_pct": 83.89916659286921, "trading_costs_quote_units": 549.5078337794303, "borrowing_costs_quote_units": 495.7105501841712, "price_pnl_quote_units": 49187.061401058614, "turnover_quote_units": 183169.2779264767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66147.41551187329, "return_pct": 561.4741551187329, "cagr_pct": 559.4844281407467, "max_drawdown_pct": 60.00813268591762, "mean_exposure_while_solvent": 1.3259754571695754, "realized_annual_volatility_pct": 86.20467833283604, "trading_costs_quote_units": 473.69038431833434, "borrowing_costs_quote_units": 662.9797851088331, "price_pnl_quote_units": 57284.0856813005, "turnover_quote_units": 157896.79477277832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69306.66129529537, "return_pct": 593.0666129529537, "cagr_pct": 590.9304527703822, "max_drawdown_pct": 60.00813268591762, "mean_exposure_while_solvent": 1.383244581447907, "realized_annual_volatility_pct": 87.65007398222184, "trading_costs_quote_units": 422.5460142170046, "borrowing_costs_quote_units": 778.7804767236103, "price_pnl_quote_units": 60507.987786235986, "turnover_quote_units": 140848.67140566822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58141.843017094936, "return_pct": 481.41843017094936, "cagr_pct": 479.7887598069236, "max_drawdown_pct": 60.00813268591764, "mean_exposure_while_solvent": 1.26072767407716, "realized_annual_volatility_pct": 83.89916659286921, "trading_costs_quote_units": 549.5078337794303, "borrowing_costs_quote_units": 495.7105501841712, "price_pnl_quote_units": 49187.061401058614, "turnover_quote_units": 183169.2779264767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 66147.41551187329, "return_pct": 561.4741551187329, "cagr_pct": 559.4844281407467, "max_drawdown_pct": 60.00813268591762, "mean_exposure_while_solvent": 1.3259754571695754, "realized_annual_volatility_pct": 86.20467833283604, "trading_costs_quote_units": 473.69038431833434, "borrowing_costs_quote_units": 662.9797851088331, "price_pnl_quote_units": 57284.0856813005, "turnover_quote_units": 157896.79477277832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69306.66129529537, "return_pct": 593.0666129529537, "cagr_pct": 590.9304527703822, "max_drawdown_pct": 60.00813268591762, "mean_exposure_while_solvent": 1.383244581447907, "realized_annual_volatility_pct": 87.65007398222184, "trading_costs_quote_units": 422.5460142170046, "borrowing_costs_quote_units": 778.7804767236103, "price_pnl_quote_units": 60507.987786235986, "turnover_quote_units": 140848.67140566822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 36671.66200718853, "return_pct": 266.71662007188536, "cagr_pct": 265.95758201344984, "max_drawdown_pct": 70.21161298612388, "mean_exposure_while_solvent": 1.1690306796434167, "realized_annual_volatility_pct": 89.9848775892282, "trading_costs_quote_units": 269.0412674663898, "borrowing_costs_quote_units": 192.66311517333355, "price_pnl_quote_units": 27133.366389828236, "turnover_quote_units": 89680.42248879658, "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": 0, "trace": "reference-2020-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 67086.37543532193, "return_pct": 570.8637543532193, "cagr_pct": 568.830751012889, "max_drawdown_pct": 59.414035361800366, "mean_exposure_while_solvent": 1.3164366309108402, "realized_annual_volatility_pct": 84.82467410351948, "trading_costs_quote_units": 479.1080539883674, "borrowing_costs_quote_units": 662.5270000544406, "price_pnl_quote_units": 58228.01048936481, "turnover_quote_units": 159702.6846627889, "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": 0, "trace": "reference-2020-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57195.26114240865, "return_pct": 471.9526114240865, "cagr_pct": 470.3644012674357, "max_drawdown_pct": 60.08820086551684, "mean_exposure_while_solvent": 1.2893955676102942, "realized_annual_volatility_pct": 84.42675281556072, "trading_costs_quote_units": 552.8390868847739, "borrowing_costs_quote_units": 1071.1237783579988, "price_pnl_quote_units": 48819.22400765142, "turnover_quote_units": 184279.69562825793, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 221, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64647.37469043753, "return_pct": 546.4737469043753, "cagr_pct": 544.5527161164368, "max_drawdown_pct": 60.08820086551682, "mean_exposure_while_solvent": 1.3546544765215502, "realized_annual_volatility_pct": 86.71854300626612, "trading_costs_quote_units": 476.18514401333283, "borrowing_costs_quote_units": 1395.511896289856, "price_pnl_quote_units": 56519.07173074068, "turnover_quote_units": 158728.38133777757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 267, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67348.1468070262, "return_pct": 573.481468070262, "cagr_pct": 571.4363624634824, "max_drawdown_pct": 60.08820086551682, "mean_exposure_while_solvent": 1.411933386116026, "realized_annual_volatility_pct": 88.15611985297498, "trading_costs_quote_units": 424.5859196695631, "borrowing_costs_quote_units": 1621.1769416090629, "price_pnl_quote_units": 59393.909668304754, "turnover_quote_units": 141528.63988985424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 307, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56638.88402788066, "return_pct": 466.3888402788066, "cagr_pct": 464.8248836000871, "max_drawdown_pct": 60.08820086551684, "mean_exposure_while_solvent": 1.26077234946639, "realized_annual_volatility_pct": 83.90190921962291, "trading_costs_quote_units": 540.9677028069843, "borrowing_costs_quote_units": 975.564751795059, "price_pnl_quote_units": 48155.41648248268, "turnover_quote_units": 180322.56760232808, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64018.505810854556, "return_pct": 540.1850581085456, "cagr_pct": 538.2926635070331, "max_drawdown_pct": 60.08820086551682, "mean_exposure_while_solvent": 1.326031258377646, "realized_annual_volatility_pct": 86.20771646000412, "trading_costs_quote_units": 464.9860707398224, "borrowing_costs_quote_units": 1299.202784179577, "price_pnl_quote_units": 55782.69466577392, "turnover_quote_units": 154995.35691327424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66693.00568447744, "return_pct": 566.9300568447744, "cagr_pct": 564.9152093478563, "max_drawdown_pct": 60.08820086551682, "mean_exposure_while_solvent": 1.3833101679721216, "realized_annual_volatility_pct": 87.65369236315965, "trading_costs_quote_units": 412.91898292946024, "borrowing_costs_quote_units": 1520.8443255930713, "price_pnl_quote_units": 58626.768993, "turnover_quote_units": 137639.66097648686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 56638.88402788066, "return_pct": 466.3888402788066, "cagr_pct": 464.8248836000871, "max_drawdown_pct": 60.08820086551684, "mean_exposure_while_solvent": 1.26077234946639, "realized_annual_volatility_pct": 83.90190921962291, "trading_costs_quote_units": 540.9677028069843, "borrowing_costs_quote_units": 975.564751795059, "price_pnl_quote_units": 48155.41648248268, "turnover_quote_units": 180322.56760232808, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 200, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64018.505810854556, "return_pct": 540.1850581085456, "cagr_pct": 538.2926635070331, "max_drawdown_pct": 60.08820086551682, "mean_exposure_while_solvent": 1.326031258377646, "realized_annual_volatility_pct": 86.20771646000412, "trading_costs_quote_units": 464.9860707398224, "borrowing_costs_quote_units": 1299.202784179577, "price_pnl_quote_units": 55782.69466577392, "turnover_quote_units": 154995.35691327424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 246, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66693.00568447744, "return_pct": 566.9300568447744, "cagr_pct": 564.9152093478563, "max_drawdown_pct": 60.08820086551682, "mean_exposure_while_solvent": 1.3833101679721216, "realized_annual_volatility_pct": 87.65369236315965, "trading_costs_quote_units": 412.91898292946024, "borrowing_costs_quote_units": 1520.8443255930713, "price_pnl_quote_units": 58626.768993, "turnover_quote_units": 137639.66097648686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 286, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2020-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 36048.79473900568, "return_pct": 260.48794739005683, "cagr_pct": 259.7516283236628, "max_drawdown_pct": 70.29001832736293, "mean_exposure_while_solvent": 1.1690598096959823, "realized_annual_volatility_pct": 89.99227557910176, "trading_costs_quote_units": 267.2644610063911, "borrowing_costs_quote_units": 381.84728365025916, "price_pnl_quote_units": 26697.906483662326, "turnover_quote_units": 89088.15366879698, "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": 0, "trace": "reference-2020-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 64990.29498312204, "return_pct": 549.9029498312204, "cagr_pct": 547.9662628465014, "max_drawdown_pct": 59.53388170529538, "mean_exposure_while_solvent": 1.3164907978913176, "realized_annual_volatility_pct": 84.82739293297189, "trading_costs_quote_units": 470.3617463516843, "borrowing_costs_quote_units": 1299.096025992835, "price_pnl_quote_units": 56759.75275546661, "turnover_quote_units": 156787.24878389464, "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": 0, "trace": "reference-2020-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2020-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 58751.55779083536, "return_pct": 487.5155779083536, "cagr_pct": 485.8590722875797, "max_drawdown_pct": 57.474823101708004, "mean_exposure_while_solvent": 1.243693616526474, "realized_annual_volatility_pct": 82.27749271527229, "trading_costs_quote_units": 126.77624865018915, "borrowing_costs_quote_units": 239.0250305946219, "price_pnl_quote_units": 49117.359070080165, "turnover_quote_units": 211293.74775031517, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 187, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 67305.61249696188, "return_pct": 573.0561249696188, "cagr_pct": 571.0129869180328, "max_drawdown_pct": 57.474823101708, "mean_exposure_while_solvent": 1.3391098871360998, "realized_annual_volatility_pct": 85.30219384465741, "trading_costs_quote_units": 125.42195831435929, "borrowing_costs_quote_units": 356.3459107287744, "price_pnl_quote_units": 57787.38036600501, "turnover_quote_units": 209036.59719059872, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 253, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 71013.20064722805, "return_pct": 610.1320064722805, "cagr_pct": 607.9157893705991, "max_drawdown_pct": 59.87328356127139, "mean_exposure_while_solvent": 1.4138743475388418, "realized_annual_volatility_pct": 87.66023785285293, "trading_costs_quote_units": 90.95544378598441, "borrowing_costs_quote_units": 419.1836720960329, "price_pnl_quote_units": 61523.339763110016, "turnover_quote_units": 151592.4063099738, "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, "trace": "binance-2020-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60906.40378479537, "return_pct": 509.0640378479537, "cagr_pct": 507.31189350303094, "max_drawdown_pct": 57.474823101708004, "mean_exposure_while_solvent": 1.2367493281182413, "realized_annual_volatility_pct": 82.11997135220012, "trading_costs_quote_units": 118.3168805972742, "borrowing_costs_quote_units": 238.02295013064912, "price_pnl_quote_units": 51262.7436155233, "turnover_quote_units": 197194.80099545693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66459.91312432522, "return_pct": 564.5991312432523, "cagr_pct": 562.595024690285, "max_drawdown_pct": 57.474823101708, "mean_exposure_while_solvent": 1.3103086687484222, "realized_annual_volatility_pct": 84.78916867167601, "trading_costs_quote_units": 122.61845424975901, "borrowing_costs_quote_units": 329.3918578499108, "price_pnl_quote_units": 56911.923436424906, "turnover_quote_units": 204364.09041626498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70120.91518977092, "return_pct": 601.2091518977093, "cagr_pct": 599.0348757496588, "max_drawdown_pct": 59.87328356127139, "mean_exposure_while_solvent": 1.3850731291511642, "realized_annual_volatility_pct": 87.1611261573808, "trading_costs_quote_units": 88.46675246070322, "borrowing_costs_quote_units": 392.7555983223984, "price_pnl_quote_units": 60602.137540554046, "turnover_quote_units": 147444.58743450543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 60906.40378479537, "return_pct": 509.0640378479537, "cagr_pct": 507.31189350303094, "max_drawdown_pct": 57.474823101708004, "mean_exposure_while_solvent": 1.2367493281182413, "realized_annual_volatility_pct": 82.11997135220012, "trading_costs_quote_units": 118.3168805972742, "borrowing_costs_quote_units": 238.02295013064912, "price_pnl_quote_units": 51262.7436155233, "turnover_quote_units": 197194.80099545693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 66459.91312432522, "return_pct": 564.5991312432523, "cagr_pct": 562.595024690285, "max_drawdown_pct": 57.474823101708, "mean_exposure_while_solvent": 1.3103086687484222, "realized_annual_volatility_pct": 84.78916867167601, "trading_costs_quote_units": 122.61845424975901, "borrowing_costs_quote_units": 329.3918578499108, "price_pnl_quote_units": 56911.923436424906, "turnover_quote_units": 204364.09041626498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 70120.91518977092, "return_pct": 601.2091518977093, "cagr_pct": 599.0348757496588, "max_drawdown_pct": 59.87328356127139, "mean_exposure_while_solvent": 1.3850731291511642, "realized_annual_volatility_pct": 87.1611261573808, "trading_costs_quote_units": 88.46675246070322, "borrowing_costs_quote_units": 392.7555983223984, "price_pnl_quote_units": 60602.137540554046, "turnover_quote_units": 147444.58743450543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 37386.737410990274, "return_pct": 273.86737410990276, "cagr_pct": 273.082046705558, "max_drawdown_pct": 72.82963860940204, "mean_exposure_while_solvent": 1.1882184680658545, "realized_annual_volatility_pct": 94.29600950226148, "trading_costs_quote_units": 66.98943019029751, "borrowing_costs_quote_units": 106.88199471394596, "price_pnl_quote_units": 27560.60883589451, "turnover_quote_units": 111649.05031716252, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 72952.27100333985, "return_pct": 629.5227100333984, "cagr_pct": 627.2147384186973, "max_drawdown_pct": 57.913061814986435, "mean_exposure_while_solvent": 1.2988282263187692, "realized_annual_volatility_pct": 83.19927855308254, "trading_costs_quote_units": 130.4241220851975, "borrowing_costs_quote_units": 324.35431566652176, "price_pnl_quote_units": 63407.049441091585, "turnover_quote_units": 217373.53680866247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58041.23238665407, "return_pct": 480.4123238665407, "cagr_pct": 478.78707193010695, "max_drawdown_pct": 57.48967667412552, "mean_exposure_while_solvent": 1.2437147053222888, "realized_annual_volatility_pct": 82.27882823838117, "trading_costs_quote_units": 125.89907317061223, "borrowing_costs_quote_units": 474.4997087728313, "price_pnl_quote_units": 48641.63116859751, "turnover_quote_units": 209831.78861768695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 187, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 66175.7694145776, "return_pct": 561.757694145776, "cagr_pct": 559.7666634281242, "max_drawdown_pct": 57.4896766741255, "mean_exposure_while_solvent": 1.3391393791714246, "realized_annual_volatility_pct": 85.30389813494413, "trading_costs_quote_units": 124.10961519354954, "borrowing_costs_quote_units": 705.2315634956244, "price_pnl_quote_units": 57005.11059326681, "turnover_quote_units": 206849.35865591597, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 253, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 69559.45331933217, "return_pct": 595.5945331933217, "cagr_pct": 593.4465557540857, "max_drawdown_pct": 59.91250024986492, "mean_exposure_while_solvent": 1.4139102305785791, "realized_annual_volatility_pct": 87.6624535919735, "trading_costs_quote_units": 89.84375392015922, "borrowing_costs_quote_units": 827.7091668366243, "price_pnl_quote_units": 60477.00624008891, "turnover_quote_units": 149739.58986693204, "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, "trace": "binance-2020-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60191.068719213465, "return_pct": 501.9106871921347, "cagr_pct": 500.19042797078333, "max_drawdown_pct": 57.48967667412552, "mean_exposure_while_solvent": 1.2367698149660207, "realized_annual_volatility_pct": 82.12113434067706, "trading_costs_quote_units": 117.51470509127557, "borrowing_costs_quote_units": 472.5762642704809, "price_pnl_quote_units": 50781.159688575215, "turnover_quote_units": 195857.84181879248, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65438.08850661318, "return_pct": 554.3808850661319, "cagr_pct": 552.4237106303128, "max_drawdown_pct": 57.4896766741255, "mean_exposure_while_solvent": 1.3103356947757145, "realized_annual_volatility_pct": 84.7907133693653, "trading_costs_quote_units": 121.42207703062637, "borrowing_costs_quote_units": 652.430046583718, "price_pnl_quote_units": 56211.94063022762, "turnover_quote_units": 202370.12838437725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68784.05348437677, "return_pct": 587.8405348437677, "cagr_pct": 585.7287585252152, "max_drawdown_pct": 59.91250024986492, "mean_exposure_while_solvent": 1.385106546182869, "realized_annual_volatility_pct": 87.1631833576703, "trading_costs_quote_units": 87.4461807070556, "borrowing_costs_quote_units": 776.162709838609, "price_pnl_quote_units": 59647.662374922365, "turnover_quote_units": 145743.6345117594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 60191.068719213465, "return_pct": 501.9106871921347, "cagr_pct": 500.19042797078333, "max_drawdown_pct": 57.48967667412552, "mean_exposure_while_solvent": 1.2367698149660207, "realized_annual_volatility_pct": 82.12113434067706, "trading_costs_quote_units": 117.51470509127557, "borrowing_costs_quote_units": 472.5762642704809, "price_pnl_quote_units": 50781.159688575215, "turnover_quote_units": 195857.84181879248, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 65438.08850661318, "return_pct": 554.3808850661319, "cagr_pct": 552.4237106303128, "max_drawdown_pct": 57.4896766741255, "mean_exposure_while_solvent": 1.3103356947757145, "realized_annual_volatility_pct": 84.7907133693653, "trading_costs_quote_units": 121.42207703062637, "borrowing_costs_quote_units": 652.430046583718, "price_pnl_quote_units": 56211.94063022762, "turnover_quote_units": 202370.12838437725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68784.05348437677, "return_pct": 587.8405348437677, "cagr_pct": 585.7287585252152, "max_drawdown_pct": 59.91250024986492, "mean_exposure_while_solvent": 1.385106546182869, "realized_annual_volatility_pct": 87.1631833576703, "trading_costs_quote_units": 87.4461807070556, "borrowing_costs_quote_units": 776.162709838609, "price_pnl_quote_units": 59647.662374922365, "turnover_quote_units": 145743.6345117594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 37034.744682517485, "return_pct": 270.34744682517487, "cagr_pct": 269.57508765067126, "max_drawdown_pct": 72.88163319459129, "mean_exposure_while_solvent": 1.1882346591889505, "realized_annual_volatility_pct": 94.30085220416335, "trading_costs_quote_units": 66.66230267089179, "borrowing_costs_quote_units": 212.6904786369875, "price_pnl_quote_units": 27314.097463825383, "turnover_quote_units": 111103.83778481965, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 71871.34270904516, "return_pct": 618.7134270904517, "cagr_pct": 616.4567060304666, "max_drawdown_pct": 57.948015566764674, "mean_exposure_while_solvent": 1.2988542585724572, "realized_annual_volatility_pct": 83.20027310372208, "trading_costs_quote_units": 129.13989047807527, "borrowing_costs_quote_units": 642.6824507766759, "price_pnl_quote_units": 62643.165050299984, "turnover_quote_units": 215233.15079679212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 56645.85210135588, "return_pct": 466.45852101355877, "cagr_pct": 464.8942611187672, "max_drawdown_pct": 57.519376448029135, "mean_exposure_while_solvent": 1.2437568922939357, "realized_annual_volatility_pct": 82.28152589935203, "trading_costs_quote_units": 124.17122878633513, "borrowing_costs_quote_units": 934.9884160369635, "price_pnl_quote_units": 47705.01174617922, "turnover_quote_units": 206952.04797722504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 187, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63972.0517281245, "return_pct": 539.7205172812451, "cagr_pct": 537.8302341364182, "max_drawdown_pct": 57.519376448029135, "mean_exposure_while_solvent": 1.3391983765244808, "realized_annual_volatility_pct": 85.30732944351627, "trading_costs_quote_units": 121.5400385188831, "borrowing_costs_quote_units": 1381.1839727119461, "price_pnl_quote_units": 55474.77573935531, "turnover_quote_units": 202566.73086480526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 253, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66739.8496983987, "return_pct": 567.398496983987, "cagr_pct": 565.3814893452783, "max_drawdown_pct": 59.99084007942108, "mean_exposure_while_solvent": 1.4139820127082332, "realized_annual_volatility_pct": 87.66690009800988, "trading_costs_quote_units": 87.67967226451798, "borrowing_costs_quote_units": 1613.7684404969655, "price_pnl_quote_units": 58441.29781116014, "turnover_quote_units": 146132.7871075299, "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, "trace": "binance-2020-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58785.11116182738, "return_pct": 487.85111161827376, "cagr_pct": 486.19312629392874, "max_drawdown_pct": 57.519376448029135, "mean_exposure_while_solvent": 1.2368107977763703, "realized_annual_volatility_pct": 82.12348685566062, "trading_costs_quote_units": 115.93472599602862, "borrowing_costs_quote_units": 931.4555528552113, "price_pnl_quote_units": 49832.501440678614, "turnover_quote_units": 193224.54332671425, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63440.77211179246, "return_pct": 534.4077211179246, "cagr_pct": 532.5415478125561, "max_drawdown_pct": 57.519376448029135, "mean_exposure_while_solvent": 1.3103897590424463, "realized_annual_volatility_pct": 84.79382734870235, "trading_costs_quote_units": 119.07582362090325, "borrowing_costs_quote_units": 1279.8841705978396, "price_pnl_quote_units": 54839.732106011186, "turnover_quote_units": 198459.70603483886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66185.58387787265, "return_pct": 561.8558387787265, "cagr_pct": 559.8643567377029, "max_drawdown_pct": 59.99084007942108, "mean_exposure_while_solvent": 1.3851733952261986, "realized_annual_volatility_pct": 87.16731623254917, "trading_costs_quote_units": 85.45660781591037, "borrowing_costs_quote_units": 1515.735842886735, "price_pnl_quote_units": 57786.77632857531, "turnover_quote_units": 142427.679693184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 58785.11116182738, "return_pct": 487.85111161827376, "cagr_pct": 486.19312629392874, "max_drawdown_pct": 57.519376448029135, "mean_exposure_while_solvent": 1.2368107977763703, "realized_annual_volatility_pct": 82.12348685566062, "trading_costs_quote_units": 115.93472599602862, "borrowing_costs_quote_units": 931.4555528552113, "price_pnl_quote_units": 49832.501440678614, "turnover_quote_units": 193224.54332671425, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 63440.77211179246, "return_pct": 534.4077211179246, "cagr_pct": 532.5415478125561, "max_drawdown_pct": 57.519376448029135, "mean_exposure_while_solvent": 1.3103897590424463, "realized_annual_volatility_pct": 84.79382734870235, "trading_costs_quote_units": 119.07582362090325, "borrowing_costs_quote_units": 1279.8841705978396, "price_pnl_quote_units": 54839.732106011186, "turnover_quote_units": 198459.70603483886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 66185.58387787265, "return_pct": 561.8558387787265, "cagr_pct": 559.8643567377029, "max_drawdown_pct": 59.99084007942108, "mean_exposure_while_solvent": 1.3851733952261986, "realized_annual_volatility_pct": 87.16731623254917, "trading_costs_quote_units": 85.45660781591037, "borrowing_costs_quote_units": 1515.735842886735, "price_pnl_quote_units": 57786.77632857531, "turnover_quote_units": 142427.679693184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 36340.47842601022, "return_pct": 263.4047842601022, "cagr_pct": 262.6578471824872, "max_drawdown_pct": 72.98643594959916, "mean_exposure_while_solvent": 1.1882670485231321, "realized_annual_volatility_pct": 94.31056256357347, "trading_costs_quote_units": 66.01624748322904, "borrowing_costs_quote_units": 421.12851473022823, "price_pnl_quote_units": 26827.623188223675, "turnover_quote_units": 110027.07913871501, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 69756.71700097827, "return_pct": 597.5671700097827, "cagr_pct": 595.4099609639118, "max_drawdown_pct": 58.01785498620154, "mean_exposure_while_solvent": 1.2989063348524528, "realized_annual_volatility_pct": 83.2022874785489, "trading_costs_quote_units": 126.61819308661863, "borrowing_costs_quote_units": 1261.661349991311, "price_pnl_quote_units": 61144.99654405624, "turnover_quote_units": 211030.32181103097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59313.563127878646, "return_pct": 493.1356312787865, "cagr_pct": 491.45430123468776, "max_drawdown_pct": 57.54541760458702, "mean_exposure_while_solvent": 1.2417964763468523, "realized_annual_volatility_pct": 82.19001314365097, "trading_costs_quote_units": 126.3684844978836, "borrowing_costs_quote_units": 243.71240814942772, "price_pnl_quote_units": 49683.644020525986, "turnover_quote_units": 210614.14082980604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 66597.56401900954, "return_pct": 565.9756401900954, "cagr_pct": 563.9651922268437, "max_drawdown_pct": 57.545417604587016, "mean_exposure_while_solvent": 1.3356119638036659, "realized_annual_volatility_pct": 85.17477166659128, "trading_costs_quote_units": 120.8562179997248, "borrowing_costs_quote_units": 355.4010701443823, "price_pnl_quote_units": 57073.82130715363, "turnover_quote_units": 201427.02999954124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 254, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 72812.44106510564, "return_pct": 628.1244106510565, "cagr_pct": 625.8230832516625, "max_drawdown_pct": 59.667272864616685, "mean_exposure_while_solvent": 1.4116436482207886, "realized_annual_volatility_pct": 87.57849822530359, "trading_costs_quote_units": 88.18497793023744, "borrowing_costs_quote_units": 426.6581359560728, "price_pnl_quote_units": 63327.28417899201, "turnover_quote_units": 146974.9632170624, "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": 4, "trace": "binance-2020-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60775.81110096909, "return_pct": 507.7581110096909, "cagr_pct": 506.01179766031794, "max_drawdown_pct": 57.54541760458702, "mean_exposure_while_solvent": 1.234888847778604, "realized_annual_volatility_pct": 82.03310333704904, "trading_costs_quote_units": 117.14980041350266, "borrowing_costs_quote_units": 241.14119244181305, "price_pnl_quote_units": 51134.102093824375, "turnover_quote_units": 195249.6673558378, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65636.0017401136, "return_pct": 556.360017401136, "cagr_pct": 554.3937725199238, "max_drawdown_pct": 57.545417604587016, "mean_exposure_while_solvent": 1.306925776958892, "realized_annual_volatility_pct": 84.66192875478272, "trading_costs_quote_units": 117.92020836255533, "borrowing_costs_quote_units": 327.9551820222699, "price_pnl_quote_units": 56081.87713049838, "turnover_quote_units": 196533.68060425902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71761.14590448159, "return_pct": 617.6114590448159, "cagr_pct": 615.3599483703413, "max_drawdown_pct": 59.667272864616685, "mean_exposure_while_solvent": 1.3829574613760147, "realized_annual_volatility_pct": 87.07987837047627, "trading_costs_quote_units": 85.53437674940614, "borrowing_costs_quote_units": 399.1128988788035, "price_pnl_quote_units": 62245.79318010987, "turnover_quote_units": 142557.29458234351, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 60775.81110096909, "return_pct": 507.7581110096909, "cagr_pct": 506.01179766031794, "max_drawdown_pct": 57.54541760458702, "mean_exposure_while_solvent": 1.234888847778604, "realized_annual_volatility_pct": 82.03310333704904, "trading_costs_quote_units": 117.14980041350266, "borrowing_costs_quote_units": 241.14119244181305, "price_pnl_quote_units": 51134.102093824375, "turnover_quote_units": 195249.6673558378, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 65636.0017401136, "return_pct": 556.360017401136, "cagr_pct": 554.3937725199238, "max_drawdown_pct": 57.545417604587016, "mean_exposure_while_solvent": 1.306925776958892, "realized_annual_volatility_pct": 84.66192875478272, "trading_costs_quote_units": 117.92020836255533, "borrowing_costs_quote_units": 327.9551820222699, "price_pnl_quote_units": 56081.87713049838, "turnover_quote_units": 196533.68060425902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71761.14590448159, "return_pct": 617.6114590448159, "cagr_pct": 615.3599483703413, "max_drawdown_pct": 59.667272864616685, "mean_exposure_while_solvent": 1.3829574613760147, "realized_annual_volatility_pct": 87.07987837047627, "trading_costs_quote_units": 85.53437674940614, "borrowing_costs_quote_units": 399.1128988788035, "price_pnl_quote_units": 62245.79318010987, "turnover_quote_units": 142557.29458234351, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 39112.47415345399, "return_pct": 291.1247415345399, "cagr_pct": 290.275081299912, "max_drawdown_pct": 71.61794984398122, "mean_exposure_while_solvent": 1.1880345510906984, "realized_annual_volatility_pct": 90.73217049531091, "trading_costs_quote_units": 68.91261174207926, "borrowing_costs_quote_units": 109.65654692646245, "price_pnl_quote_units": 29291.043312122547, "turnover_quote_units": 114854.35290346546, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71326.5379712841, "return_pct": 613.265379712841, "cagr_pct": 611.0343921869078, "max_drawdown_pct": 57.75055544017036, "mean_exposure_while_solvent": 1.2970415656522, "realized_annual_volatility_pct": 83.19944993449094, "trading_costs_quote_units": 127.72244808876968, "borrowing_costs_quote_units": 323.87101646226296, "price_pnl_quote_units": 61778.13143583511, "turnover_quote_units": 212870.74681461617, "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": 4, "trace": "binance-2020-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58597.90297757319, "return_pct": 485.9790297757319, "cagr_pct": 484.32929644286037, "max_drawdown_pct": 57.56122850636318, "mean_exposure_while_solvent": 1.2418171902012658, "realized_annual_volatility_pct": 82.19116645265873, "trading_costs_quote_units": 125.4957909935815, "borrowing_costs_quote_units": 483.79905849595934, "price_pnl_quote_units": 49207.197827062744, "turnover_quote_units": 209159.65165596886, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 65485.4982187194, "return_pct": 554.854982187194, "cagr_pct": 552.8956358089206, "max_drawdown_pct": 57.56122850636318, "mean_exposure_while_solvent": 1.335640669056459, "realized_annual_volatility_pct": 85.17629655044419, "trading_costs_quote_units": 119.60306587085654, "borrowing_costs_quote_units": 703.4039506825314, "price_pnl_quote_units": 56308.50523527287, "turnover_quote_units": 199338.44311809423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 254, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 71323.83140923825, "return_pct": 613.2383140923826, "cagr_pct": 611.0074542448878, "max_drawdown_pct": 59.70762304632581, "mean_exposure_while_solvent": 1.411679064616503, "realized_annual_volatility_pct": 87.5804246693765, "trading_costs_quote_units": 87.09519348369527, "borrowing_costs_quote_units": 842.4361162600649, "price_pnl_quote_units": 62253.362718981974, "turnover_quote_units": 145158.65580615887, "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": 4, "trace": "binance-2020-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60063.36005758424, "return_pct": 500.6336005758424, "cagr_pct": 498.919019649492, "max_drawdown_pct": 57.56122850636318, "mean_exposure_while_solvent": 1.2349089670308884, "realized_annual_volatility_pct": 82.03412149131736, "trading_costs_quote_units": 116.36027312306855, "borrowing_costs_quote_units": 478.76988697902704, "price_pnl_quote_units": 50658.4902176863, "turnover_quote_units": 193933.78853844752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64632.63337643637, "return_pct": 546.3263337643637, "cagr_pct": 544.4059753522976, "max_drawdown_pct": 57.56122850636318, "mean_exposure_while_solvent": 1.3069520315902758, "realized_annual_volatility_pct": 84.6633095140827, "trading_costs_quote_units": 116.78395941883917, "borrowing_costs_quote_units": 649.6254405870068, "price_pnl_quote_units": 55399.04277644224, "turnover_quote_units": 194639.93236473197, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70394.92974580902, "return_pct": 603.9492974580901, "cagr_pct": 601.7621606059001, "max_drawdown_pct": 59.70762304632581, "mean_exposure_while_solvent": 1.3829904271503197, "realized_annual_volatility_pct": 87.08165766468778, "trading_costs_quote_units": 84.53999944062812, "borrowing_costs_quote_units": 788.7017629452968, "price_pnl_quote_units": 61268.17150819496, "turnover_quote_units": 140899.99906771345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 60063.36005758424, "return_pct": 500.6336005758424, "cagr_pct": 498.919019649492, "max_drawdown_pct": 57.56122850636318, "mean_exposure_while_solvent": 1.2349089670308884, "realized_annual_volatility_pct": 82.03412149131736, "trading_costs_quote_units": 116.36027312306855, "borrowing_costs_quote_units": 478.76988697902704, "price_pnl_quote_units": 50658.4902176863, "turnover_quote_units": 193933.78853844752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 64632.63337643637, "return_pct": 546.3263337643637, "cagr_pct": 544.4059753522976, "max_drawdown_pct": 57.56122850636318, "mean_exposure_while_solvent": 1.3069520315902758, "realized_annual_volatility_pct": 84.6633095140827, "trading_costs_quote_units": 116.78395941883917, "borrowing_costs_quote_units": 649.6254405870068, "price_pnl_quote_units": 55399.04277644224, "turnover_quote_units": 194639.93236473197, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70394.92974580902, "return_pct": 603.9492974580901, "cagr_pct": 601.7621606059001, "max_drawdown_pct": 59.70762304632581, "mean_exposure_while_solvent": 1.3829904271503197, "realized_annual_volatility_pct": 87.08165766468778, "trading_costs_quote_units": 84.53999944062812, "borrowing_costs_quote_units": 788.7017629452968, "price_pnl_quote_units": 61268.17150819496, "turnover_quote_units": 140899.99906771345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 38742.03745200176, "return_pct": 287.42037452001756, "cagr_pct": 286.5846274201418, "max_drawdown_pct": 71.6721887181205, "mean_exposure_while_solvent": 1.1880509550793465, "realized_annual_volatility_pct": 90.73588313970664, "trading_costs_quote_units": 68.57653821563545, "borrowing_costs_quote_units": 218.19740296713178, "price_pnl_quote_units": 29028.811393184555, "turnover_quote_units": 114294.23035939243, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 70270.98518771595, "return_pct": 602.7098518771595, "cagr_pct": 600.5285343870177, "max_drawdown_pct": 57.786631943564906, "mean_exposure_while_solvent": 1.297067172728837, "realized_annual_volatility_pct": 83.20043967080797, "trading_costs_quote_units": 126.44401544919951, "borrowing_costs_quote_units": 641.7500545622629, "price_pnl_quote_units": 61039.17925772742, "turnover_quote_units": 210740.02574866585, "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": 4, "trace": "binance-2020-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57191.98402768365, "return_pct": 471.9198402768365, "cagr_pct": 470.3317732278874, "max_drawdown_pct": 57.59284176169351, "mean_exposure_while_solvent": 1.2418586268547611, "realized_annual_volatility_pct": 82.19350047215632, "trading_costs_quote_units": 123.77928377924141, "borrowing_costs_quote_units": 953.2889222699447, "price_pnl_quote_units": 48269.052233732844, "turnover_quote_units": 206298.80629873544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 63316.16037822939, "return_pct": 533.1616037822939, "cagr_pct": 531.3010752413049, "max_drawdown_pct": 57.59284176169355, "mean_exposure_while_solvent": 1.3356980919578323, "realized_annual_volatility_pct": 85.17937022509908, "trading_costs_quote_units": 117.1517983808245, "borrowing_costs_quote_units": 1377.768434062281, "price_pnl_quote_units": 54811.080610672485, "turnover_quote_units": 195252.99730137407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 254, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 68436.48882350419, "return_pct": 584.3648882350418, "cagr_pct": 582.2692937447669, "max_drawdown_pct": 59.78822824563543, "mean_exposure_while_solvent": 1.4117499129405435, "realized_annual_volatility_pct": 87.58429381525332, "trading_costs_quote_units": 84.97551300371231, "borrowing_costs_quote_units": 1642.3544547916852, "price_pnl_quote_units": 60163.81879129959, "turnover_quote_units": 141625.85500618705, "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": 4, "trace": "binance-2020-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58663.01706600873, "return_pct": 486.6301706600873, "cagr_pct": 484.97756822408127, "max_drawdown_pct": 57.59284176169351, "mean_exposure_while_solvent": 1.234949214220437, "realized_annual_volatility_pct": 82.03618512545306, "trading_costs_quote_units": 114.80766286013261, "borrowing_costs_quote_units": 943.6728017792369, "price_pnl_quote_units": 49721.4975306481, "turnover_quote_units": 191346.10476688776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62671.127875388614, "return_pct": 526.7112787538862, "cagr_pct": 524.8799070233699, "max_drawdown_pct": 57.59284176169355, "mean_exposure_while_solvent": 1.3070045521879576, "realized_annual_volatility_pct": 84.66609663615374, "trading_costs_quote_units": 114.55791399910271, "borrowing_costs_quote_units": 1274.5418196552132, "price_pnl_quote_units": 54060.227609042915, "turnover_quote_units": 190929.85666517125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67739.29304587403, "return_pct": 577.3929304587404, "cagr_pct": 575.3297112271989, "max_drawdown_pct": 59.78822824563543, "mean_exposure_while_solvent": 1.383056373170669, "realized_annual_volatility_pct": 87.08523582911738, "trading_costs_quote_units": 82.60309219606457, "borrowing_costs_quote_units": 1540.1262969793174, "price_pnl_quote_units": 59362.022435049395, "turnover_quote_units": 137671.8203267743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 58663.01706600873, "return_pct": 486.6301706600873, "cagr_pct": 484.97756822408127, "max_drawdown_pct": 57.59284176169351, "mean_exposure_while_solvent": 1.234949214220437, "realized_annual_volatility_pct": 82.03618512545306, "trading_costs_quote_units": 114.80766286013261, "borrowing_costs_quote_units": 943.6728017792369, "price_pnl_quote_units": 49721.4975306481, "turnover_quote_units": 191346.10476688776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 62671.127875388614, "return_pct": 526.7112787538862, "cagr_pct": 524.8799070233699, "max_drawdown_pct": 57.59284176169355, "mean_exposure_while_solvent": 1.3070045521879576, "realized_annual_volatility_pct": 84.66609663615374, "trading_costs_quote_units": 114.55791399910271, "borrowing_costs_quote_units": 1274.5418196552132, "price_pnl_quote_units": 54060.227609042915, "turnover_quote_units": 190929.85666517125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67739.29304587403, "return_pct": 577.3929304587404, "cagr_pct": 575.3297112271989, "max_drawdown_pct": 59.78822824563543, "mean_exposure_while_solvent": 1.383056373170669, "realized_annual_volatility_pct": 87.08523582911738, "trading_costs_quote_units": 82.60309219606457, "borrowing_costs_quote_units": 1540.1262969793174, "price_pnl_quote_units": 59362.022435049395, "turnover_quote_units": 137671.8203267743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 38011.45443824515, "return_pct": 280.11454438245147, "cagr_pct": 279.30607162584573, "max_drawdown_pct": 71.78038862064314, "mean_exposure_while_solvent": 1.1880837704012217, "realized_annual_volatility_pct": 90.74333366512649, "trading_costs_quote_units": 67.91194481725547, "borrowing_costs_quote_units": 431.975634864777, "price_pnl_quote_units": 28511.34201792718, "turnover_quote_units": 113186.5746954258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 68205.9378178706, "return_pct": 582.059378178706, "cagr_pct": 579.9745021779487, "max_drawdown_pct": 57.858716225353945, "mean_exposure_while_solvent": 1.2971183981635004, "realized_annual_volatility_pct": 83.20244534278673, "trading_costs_quote_units": 123.93676986381112, "borrowing_costs_quote_units": 1259.9292710361892, "price_pnl_quote_units": 59589.80385877053, "turnover_quote_units": 206561.28310635185, "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": 4, "trace": "binance-2020-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 56997.3611403344, "return_pct": 469.9736114033439, "cagr_pct": 468.39403795266287, "max_drawdown_pct": 57.5314020382788, "mean_exposure_while_solvent": 1.243693616526474, "realized_annual_volatility_pct": 82.27892822754013, "trading_costs_quote_units": 621.9166688346617, "borrowing_costs_quote_units": 234.08225473303483, "price_pnl_quote_units": 47853.36006390215, "turnover_quote_units": 207305.55627822052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 187, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 65607.95036530204, "return_pct": 556.0795036530203, "cagr_pct": 554.1145449547108, "max_drawdown_pct": 57.5314020382788, "mean_exposure_while_solvent": 1.3391098871360998, "realized_annual_volatility_pct": 85.30056645423745, "trading_costs_quote_units": 616.6553511476322, "borrowing_costs_quote_units": 350.2898599338505, "price_pnl_quote_units": 56574.89557638352, "turnover_quote_units": 205551.78371587748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 253, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 69597.2968210029, "return_pct": 595.9729682100291, "cagr_pct": 593.8232204463998, "max_drawdown_pct": 59.94491840467548, "mean_exposure_while_solvent": 1.4138743475388418, "realized_annual_volatility_pct": 87.6616058151857, "trading_costs_quote_units": 448.635086586938, "borrowing_costs_quote_units": 413.3046442493559, "price_pnl_quote_units": 60459.23655183918, "turnover_quote_units": 149545.02886231267, "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, "trace": "binance-2020-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59238.258160875586, "return_pct": 492.38258160875586, "cagr_pct": 490.7045827941622, "max_drawdown_pct": 57.5314020382788, "mean_exposure_while_solvent": 1.2367493281182413, "realized_annual_volatility_pct": 82.12481241884218, "trading_costs_quote_units": 581.1304708976678, "borrowing_costs_quote_units": 233.40555701707638, "price_pnl_quote_units": 50052.7941887904, "turnover_quote_units": 193710.15696588912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64818.08372826874, "return_pct": 548.1808372826874, "cagr_pct": 546.252016288034, "max_drawdown_pct": 57.5314020382788, "mean_exposure_while_solvent": 1.3103086687484222, "realized_annual_volatility_pct": 84.78574546823677, "trading_costs_quote_units": 603.0683306855074, "borrowing_costs_quote_units": 323.9590195829677, "price_pnl_quote_units": 55745.1110785372, "turnover_quote_units": 201022.77689516896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68759.40168054312, "return_pct": 587.5940168054311, "cagr_pct": 585.4833891394177, "max_drawdown_pct": 59.94491840467548, "mean_exposure_while_solvent": 1.3850731291511642, "realized_annual_volatility_pct": 87.16076670630247, "trading_costs_quote_units": 436.49203614530546, "borrowing_costs_quote_units": 387.408038208421, "price_pnl_quote_units": 59583.3017548968, "turnover_quote_units": 145497.3453817686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 59238.258160875586, "return_pct": 492.38258160875586, "cagr_pct": 490.7045827941622, "max_drawdown_pct": 57.5314020382788, "mean_exposure_while_solvent": 1.2367493281182413, "realized_annual_volatility_pct": 82.12481241884218, "trading_costs_quote_units": 581.1304708976678, "borrowing_costs_quote_units": 233.40555701707638, "price_pnl_quote_units": 50052.7941887904, "turnover_quote_units": 193710.15696588912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 64818.08372826874, "return_pct": 548.1808372826874, "cagr_pct": 546.252016288034, "max_drawdown_pct": 57.5314020382788, "mean_exposure_while_solvent": 1.3103086687484222, "realized_annual_volatility_pct": 84.78574546823677, "trading_costs_quote_units": 603.0683306855074, "borrowing_costs_quote_units": 323.9590195829677, "price_pnl_quote_units": 55745.1110785372, "turnover_quote_units": 201022.77689516896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 68759.40168054312, "return_pct": 587.5940168054311, "cagr_pct": 585.4833891394177, "max_drawdown_pct": 59.94491840467548, "mean_exposure_while_solvent": 1.3850731291511642, "realized_annual_volatility_pct": 87.16076670630247, "trading_costs_quote_units": 436.49203614530546, "borrowing_costs_quote_units": 387.408038208421, "price_pnl_quote_units": 59583.3017548968, "turnover_quote_units": 145497.3453817686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 36566.029167039866, "return_pct": 265.66029167039864, "cagr_pct": 264.9051184684132, "max_drawdown_pct": 72.92506525565057, "mean_exposure_while_solvent": 1.1882184680658545, "realized_annual_volatility_pct": 94.274061853025, "trading_costs_quote_units": 330.70430497891476, "borrowing_costs_quote_units": 105.42047156028823, "price_pnl_quote_units": 27002.153943579062, "turnover_quote_units": 110234.768326305, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 71186.70609218258, "return_pct": 611.8670609218258, "cagr_pct": 609.6426676428755, "max_drawdown_pct": 57.98086167586667, "mean_exposure_while_solvent": 1.298828226318769, "realized_annual_volatility_pct": 83.20423840765908, "trading_costs_quote_units": 641.3899926555039, "borrowing_costs_quote_units": 319.198303019772, "price_pnl_quote_units": 62147.29438785785, "turnover_quote_units": 213796.66421850133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 56308.64258212478, "return_pct": 463.0864258212478, "cagr_pct": 461.5368239787756, "max_drawdown_pct": 57.54626899444348, "mean_exposure_while_solvent": 1.2437147053222888, "realized_annual_volatility_pct": 82.28030355118169, "trading_costs_quote_units": 617.6421366853624, "borrowing_costs_quote_units": 464.70277081810025, "price_pnl_quote_units": 47390.9874896282, "turnover_quote_units": 205880.71222845404, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 187, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 64507.203160292825, "return_pct": 545.0720316029282, "cagr_pct": 543.1573921117183, "max_drawdown_pct": 57.54626899444348, "mean_exposure_while_solvent": 1.3391393791714246, "realized_annual_volatility_pct": 85.30230948634305, "trading_costs_quote_units": 610.2376080672648, "borrowing_costs_quote_units": 693.2721987043896, "price_pnl_quote_units": 55810.71296706444, "turnover_quote_units": 203412.5360224216, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 253, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 68173.31308630755, "return_pct": 581.7331308630755, "cagr_pct": 579.6497706126053, "max_drawdown_pct": 59.984131434724006, "mean_exposure_while_solvent": 1.4139102305785791, "realized_annual_volatility_pct": 87.66386021088452, "trading_costs_quote_units": 443.1812515169585, "borrowing_costs_quote_units": 816.1289992282774, "price_pnl_quote_units": 59432.6233370528, "turnover_quote_units": 147727.08383898623, "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, "trace": "binance-2020-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58542.946133185236, "return_pct": 485.42946133185234, "cagr_pct": 483.7821486526296, "max_drawdown_pct": 57.54626899444348, "mean_exposure_while_solvent": 1.2367698149660207, "realized_annual_volatility_pct": 82.1260161955792, "trading_costs_quote_units": 577.2158318629316, "borrowing_costs_quote_units": 463.42192390290626, "price_pnl_quote_units": 49583.58388895103, "turnover_quote_units": 192405.27728764375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63822.02605306486, "return_pct": 538.2202605306486, "cagr_pct": 536.3367927769362, "max_drawdown_pct": 57.54626899444348, "mean_exposure_while_solvent": 1.3103356947757145, "realized_annual_volatility_pct": 84.78733052895404, "trading_costs_quote_units": 597.2143953068132, "borrowing_costs_quote_units": 641.6910062752338, "price_pnl_quote_units": 55060.931454646896, "turnover_quote_units": 199071.46510227124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67449.19560543424, "return_pct": 574.4919560543425, "cagr_pct": 572.4421744158113, "max_drawdown_pct": 59.984131434724006, "mean_exposure_while_solvent": 1.385106546182869, "realized_annual_volatility_pct": 87.1628638479009, "trading_costs_quote_units": 431.4829588862505, "borrowing_costs_quote_units": 765.6189704020894, "price_pnl_quote_units": 58646.29753472262, "turnover_quote_units": 143827.65296208358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 58542.946133185236, "return_pct": 485.42946133185234, "cagr_pct": 483.7821486526296, "max_drawdown_pct": 57.54626899444348, "mean_exposure_while_solvent": 1.2367698149660207, "realized_annual_volatility_pct": 82.1260161955792, "trading_costs_quote_units": 577.2158318629316, "borrowing_costs_quote_units": 463.42192390290626, "price_pnl_quote_units": 49583.58388895103, "turnover_quote_units": 192405.27728764375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 63822.02605306486, "return_pct": 538.2202605306486, "cagr_pct": 536.3367927769362, "max_drawdown_pct": 57.54626899444348, "mean_exposure_while_solvent": 1.3103356947757145, "realized_annual_volatility_pct": 84.78733052895404, "trading_costs_quote_units": 597.2143953068132, "borrowing_costs_quote_units": 641.6910062752338, "price_pnl_quote_units": 55060.931454646896, "turnover_quote_units": 199071.46510227124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 67449.19560543424, "return_pct": 574.4919560543425, "cagr_pct": 572.4421744158113, "max_drawdown_pct": 59.984131434724006, "mean_exposure_while_solvent": 1.385106546182869, "realized_annual_volatility_pct": 87.1628638479009, "trading_costs_quote_units": 431.4829588862505, "borrowing_costs_quote_units": 765.6189704020894, "price_pnl_quote_units": 58646.29753472262, "turnover_quote_units": 143827.65296208358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 36221.880200404106, "return_pct": 262.21880200404104, "cagr_pct": 261.4761867007104, "max_drawdown_pct": 72.97837543260049, "mean_exposure_while_solvent": 1.1882346591889505, "realized_annual_volatility_pct": 94.27890919212696, "trading_costs_quote_units": 329.0990467990853, "borrowing_costs_quote_units": 209.78530602880312, "price_pnl_quote_units": 26760.764553231977, "turnover_quote_units": 109699.68226636181, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 70132.45520188921, "return_pct": 601.3245520188922, "cagr_pct": 599.1497345898009, "max_drawdown_pct": 58.01580588353136, "mean_exposure_while_solvent": 1.2988542585724572, "realized_annual_volatility_pct": 83.20527084410199, "trading_costs_quote_units": 635.1046123712949, "borrowing_costs_quote_units": 632.4859117871009, "price_pnl_quote_units": 61400.04572604757, "turnover_quote_units": 211701.5374570984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 54955.65890290796, "return_pct": 449.55658902907965, "cagr_pct": 448.0654752529307, "max_drawdown_pct": 57.57599550157511, "mean_exposure_while_solvent": 1.2437568922939357, "realized_annual_volatility_pct": 82.28308132273993, "trading_costs_quote_units": 609.2217630538257, "borrowing_costs_quote_units": 915.7435361697501, "price_pnl_quote_units": 46480.624202131505, "turnover_quote_units": 203073.921017942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 187, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 62360.167475136375, "return_pct": 523.6016747513638, "cagr_pct": 521.7843214969628, "max_drawdown_pct": 57.575995501575086, "mean_exposure_while_solvent": 1.3391983765244808, "realized_annual_volatility_pct": 85.30581879038132, "trading_costs_quote_units": 597.6708593224638, "borrowing_costs_quote_units": 1357.863247275957, "price_pnl_quote_units": 54315.70158173482, "turnover_quote_units": 199223.61977415468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 253, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 65411.32903965719, "return_pct": 554.113290396572, "cagr_pct": 552.1573416297, "max_drawdown_pct": 60.062463776202215, "mean_exposure_while_solvent": 1.4139820127082332, "realized_annual_volatility_pct": 87.66838434725476, "trading_costs_quote_units": 432.56379120761903, "borrowing_costs_quote_units": 1591.301028161072, "price_pnl_quote_units": 57435.1938590259, "turnover_quote_units": 144187.93040253967, "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, "trace": "binance-2020-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57176.29240005132, "return_pct": 471.7629240005133, "cagr_pct": 470.1755421449628, "max_drawdown_pct": 57.57599550157511, "mean_exposure_while_solvent": 1.2368107977763703, "realized_annual_volatility_pct": 82.12845079559123, "trading_costs_quote_units": 569.5050739835108, "borrowing_costs_quote_units": 913.4637918147158, "price_pnl_quote_units": 48659.261265849585, "turnover_quote_units": 189835.02466117011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 61875.01288189412, "return_pct": 518.7501288189412, "cagr_pct": 516.9545977245175, "max_drawdown_pct": 57.575995501575086, "mean_exposure_while_solvent": 1.3103897590424463, "realized_annual_volatility_pct": 84.79052574741647, "trading_costs_quote_units": 585.7334147464605, "borrowing_costs_quote_units": 1258.9026898062173, "price_pnl_quote_units": 53719.6489864468, "turnover_quote_units": 195244.4715821536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64902.43677687866, "return_pct": 549.0243677687866, "cagr_pct": 547.0916947368023, "max_drawdown_pct": 60.062463776202215, "mean_exposure_while_solvent": 1.3851733952261986, "realized_annual_volatility_pct": 87.16707691983093, "trading_costs_quote_units": 421.7173225010046, "borrowing_costs_quote_units": 1495.2389801657118, "price_pnl_quote_units": 56819.39307954532, "turnover_quote_units": 140572.44083366822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 57176.29240005132, "return_pct": 471.7629240005133, "cagr_pct": 470.1755421449628, "max_drawdown_pct": 57.57599550157511, "mean_exposure_while_solvent": 1.2368107977763703, "realized_annual_volatility_pct": 82.12845079559123, "trading_costs_quote_units": 569.5050739835108, "borrowing_costs_quote_units": 913.4637918147158, "price_pnl_quote_units": 48659.261265849585, "turnover_quote_units": 189835.02466117011, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 61875.01288189412, "return_pct": 518.7501288189412, "cagr_pct": 516.9545977245175, "max_drawdown_pct": 57.575995501575086, "mean_exposure_while_solvent": 1.3103897590424463, "realized_annual_volatility_pct": 84.79052574741647, "trading_costs_quote_units": 585.7334147464605, "borrowing_costs_quote_units": 1258.9026898062173, "price_pnl_quote_units": 53719.6489864468, "turnover_quote_units": 195244.4715821536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 64902.43677687866, "return_pct": 549.0243677687866, "cagr_pct": 547.0916947368023, "max_drawdown_pct": 60.062463776202215, "mean_exposure_while_solvent": 1.3851733952261986, "realized_annual_volatility_pct": 87.16707691983093, "trading_costs_quote_units": 421.7173225010046, "borrowing_costs_quote_units": 1495.2389801657118, "price_pnl_quote_units": 56819.39307954532, "turnover_quote_units": 140572.44083366822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 284, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 35543.070481117786, "return_pct": 255.43070481117786, "cagr_pct": 254.71270632238023, "max_drawdown_pct": 73.08471061370604, "mean_exposure_while_solvent": 1.1882670485231321, "realized_annual_volatility_pct": 94.28862864559042, "trading_costs_quote_units": 325.92867921450284, "borrowing_costs_quote_units": 415.3888471150437, "price_pnl_quote_units": 26284.388007447287, "turnover_quote_units": 108642.89307150096, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 68069.99592288588, "return_pct": 580.6999592288588, "cagr_pct": 578.6213974749828, "max_drawdown_pct": 58.08562612725672, "mean_exposure_while_solvent": 1.2989063348524528, "realized_annual_volatility_pct": 83.20736103683738, "trading_costs_quote_units": 622.7622468361903, "borrowing_costs_quote_units": 1241.7218793240888, "price_pnl_quote_units": 59934.480049046164, "turnover_quote_units": 207587.41561206343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 57592.13994651867, "return_pct": 475.92139946518665, "cagr_pct": 474.3158360927862, "max_drawdown_pct": 57.60346271448755, "mean_exposure_while_solvent": 1.2417964763468523, "realized_annual_volatility_pct": 82.19579359206388, "trading_costs_quote_units": 620.1524862366616, "borrowing_costs_quote_units": 238.81208151823947, "price_pnl_quote_units": 48451.10451427348, "turnover_quote_units": 206717.49541222054, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64997.580845922465, "return_pct": 549.9758084592246, "cagr_pct": 548.0387885226908, "max_drawdown_pct": 57.60346271448755, "mean_exposure_while_solvent": 1.3356119638036659, "realized_annual_volatility_pct": 85.1793915508846, "trading_costs_quote_units": 594.6265077765296, "borrowing_costs_quote_units": 349.67211667483383, "price_pnl_quote_units": 55941.879470373846, "turnover_quote_units": 198208.83592550986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 254, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 71444.44574186903, "return_pct": 614.4444574186903, "cagr_pct": 612.2079061703707, "max_drawdown_pct": 59.73600490360711, "mean_exposure_while_solvent": 1.4116436482207886, "realized_annual_volatility_pct": 87.57837311379383, "trading_costs_quote_units": 435.2277328914167, "borrowing_costs_quote_units": 421.06380315533283, "price_pnl_quote_units": 62300.73727791579, "turnover_quote_units": 145075.91096380557, "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": 4, "trace": "binance-2020-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59160.28718150829, "return_pct": 491.60287181508295, "cagr_pct": 489.92832056373396, "max_drawdown_pct": 57.60346271448755, "mean_exposure_while_solvent": 1.234888847778604, "realized_annual_volatility_pct": 82.03843681806853, "trading_costs_quote_units": 575.6385428171526, "borrowing_costs_quote_units": 236.6066658486006, "price_pnl_quote_units": 49972.53239017407, "turnover_quote_units": 191879.51427238423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64093.80563063389, "return_pct": 540.9380563063389, "cagr_pct": 539.0422379993321, "max_drawdown_pct": 57.60346271448755, "mean_exposure_while_solvent": 1.306925776958892, "realized_annual_volatility_pct": 84.66596304941241, "trading_costs_quote_units": 580.3762906281447, "borrowing_costs_quote_units": 322.8297659296253, "price_pnl_quote_units": 54997.011687191705, "turnover_quote_units": 193458.76354271488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70451.02847170015, "return_pct": 604.5102847170015, "cagr_pct": 602.3205128160245, "max_drawdown_pct": 59.73600490360711, "mean_exposure_while_solvent": 1.3829574613760147, "realized_annual_volatility_pct": 87.07915748172456, "trading_costs_quote_units": 422.27782881668713, "borrowing_costs_quote_units": 394.0386309195402, "price_pnl_quote_units": 61267.34493143642, "turnover_quote_units": 140759.27627222904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 59160.28718150829, "return_pct": 491.60287181508295, "cagr_pct": 489.92832056373396, "max_drawdown_pct": 57.60346271448755, "mean_exposure_while_solvent": 1.234888847778604, "realized_annual_volatility_pct": 82.03843681806853, "trading_costs_quote_units": 575.6385428171526, "borrowing_costs_quote_units": 236.6066658486006, "price_pnl_quote_units": 49972.53239017407, "turnover_quote_units": 191879.51427238423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 64093.80563063389, "return_pct": 540.9380563063389, "cagr_pct": 539.0422379993321, "max_drawdown_pct": 57.60346271448755, "mean_exposure_while_solvent": 1.306925776958892, "realized_annual_volatility_pct": 84.66596304941241, "trading_costs_quote_units": 580.3762906281447, "borrowing_costs_quote_units": 322.8297659296253, "price_pnl_quote_units": 54997.011687191705, "turnover_quote_units": 193458.76354271488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 70451.02847170015, "return_pct": 604.5102847170015, "cagr_pct": 602.3205128160245, "max_drawdown_pct": 59.73600490360711, "mean_exposure_while_solvent": 1.3829574613760147, "realized_annual_volatility_pct": 87.07915748172456, "trading_costs_quote_units": 422.27782881668713, "borrowing_costs_quote_units": 394.0386309195402, "price_pnl_quote_units": 61267.34493143642, "turnover_quote_units": 140759.27627222904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 38248.02987866232, "return_pct": 282.48029878662317, "cagr_pct": 281.6630183413148, "max_drawdown_pct": 71.68062541592313, "mean_exposure_while_solvent": 1.1880345510906984, "realized_annual_volatility_pct": 90.7557432542969, "trading_costs_quote_units": 340.1130521736304, "borrowing_costs_quote_units": 108.1369432261094, "price_pnl_quote_units": 28696.27987406205, "turnover_quote_units": 113371.01739121007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 69662.96254125747, "return_pct": 596.6296254125747, "cagr_pct": 594.4768050223281, "max_drawdown_pct": 57.81538738366787, "mean_exposure_while_solvent": 1.2970415656522, "realized_annual_volatility_pct": 83.20772468680046, "trading_costs_quote_units": 628.4657383849323, "borrowing_costs_quote_units": 319.01041724568665, "price_pnl_quote_units": 60610.43869688807, "turnover_quote_units": 209488.57946164405, "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": 4, "trace": "binance-2020-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 56897.44421337001, "return_pct": 468.9744421337001, "cagr_pct": 467.39922509254984, "max_drawdown_pct": 57.61929602435734, "mean_exposure_while_solvent": 1.2418171902012658, "realized_annual_volatility_pct": 82.19699083053652, "trading_costs_quote_units": 615.8962853434319, "borrowing_costs_quote_units": 474.08482570756723, "price_pnl_quote_units": 47987.42532442102, "turnover_quote_units": 205298.76178114407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63912.518498247766, "return_pct": 539.1251849824777, "cagr_pct": 537.2376069921245, "max_drawdown_pct": 57.61929602435731, "mean_exposure_while_solvent": 1.335640669056459, "realized_annual_volatility_pct": 85.18096268107857, "trading_costs_quote_units": 588.4912950390759, "borrowing_costs_quote_units": 692.0875120460968, "price_pnl_quote_units": 55193.09730533299, "turnover_quote_units": 196163.7650130253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 254, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69984.31814557807, "return_pct": 599.8431814557807, "cagr_pct": 597.6753100626036, "max_drawdown_pct": 59.77636237745403, "mean_exposure_while_solvent": 1.411679064616503, "realized_annual_volatility_pct": 87.58034777698738, "trading_costs_quote_units": 429.8758630512863, "borrowing_costs_quote_units": 831.4151877548671, "price_pnl_quote_units": 61245.609196384175, "turnover_quote_units": 143291.95435042874, "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": 4, "trace": "binance-2020-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58466.99045951852, "return_pct": 484.66990459518524, "cagr_pct": 483.0259361450402, "max_drawdown_pct": 57.61929602435734, "mean_exposure_while_solvent": 1.2349089670308884, "realized_annual_volatility_pct": 82.03949852796273, "trading_costs_quote_units": 571.7823843784056, "borrowing_costs_quote_units": 469.778304581999, "price_pnl_quote_units": 49508.55114847896, "turnover_quote_units": 190594.12812613524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63114.228836658134, "return_pct": 531.1422883665814, "cagr_pct": 529.2908988172103, "max_drawdown_pct": 57.61929602435731, "mean_exposure_while_solvent": 1.3069520315902758, "realized_annual_volatility_pct": 84.66739033579196, "trading_costs_quote_units": 574.8102153651699, "borrowing_costs_quote_units": 639.4912900747523, "price_pnl_quote_units": 54328.53034209808, "turnover_quote_units": 191603.40512172322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69110.18958732774, "return_pct": 591.1018958732774, "cagr_pct": 588.9749100405762, "max_drawdown_pct": 59.77636237745403, "mean_exposure_while_solvent": 1.3829904271503197, "realized_annual_volatility_pct": 87.08098497709989, "trading_costs_quote_units": 417.3923021592654, "borrowing_costs_quote_units": 778.695312441956, "price_pnl_quote_units": 60306.277201928955, "turnover_quote_units": 139130.76738642182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 58466.99045951852, "return_pct": 484.66990459518524, "cagr_pct": 483.0259361450402, "max_drawdown_pct": 57.61929602435734, "mean_exposure_while_solvent": 1.2349089670308884, "realized_annual_volatility_pct": 82.03949852796273, "trading_costs_quote_units": 571.7823843784056, "borrowing_costs_quote_units": 469.778304581999, "price_pnl_quote_units": 49508.55114847896, "turnover_quote_units": 190594.12812613524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 63114.228836658134, "return_pct": 531.1422883665814, "cagr_pct": 529.2908988172103, "max_drawdown_pct": 57.61929602435731, "mean_exposure_while_solvent": 1.3069520315902758, "realized_annual_volatility_pct": 84.66739033579196, "trading_costs_quote_units": 574.8102153651699, "borrowing_costs_quote_units": 639.4912900747523, "price_pnl_quote_units": 54328.53034209808, "turnover_quote_units": 191603.40512172322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 69110.18958732774, "return_pct": 591.1018958732774, "cagr_pct": 588.9749100405762, "max_drawdown_pct": 59.77636237745403, "mean_exposure_while_solvent": 1.3829904271503197, "realized_annual_volatility_pct": 87.08098497709989, "trading_costs_quote_units": 417.3923021592654, "borrowing_costs_quote_units": 778.695312441956, "price_pnl_quote_units": 60306.277201928955, "turnover_quote_units": 139130.76738642182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 37885.79987096806, "return_pct": 278.8579987096806, "cagr_pct": 278.05419456272614, "max_drawdown_pct": 71.73482659780798, "mean_exposure_while_solvent": 1.1880509550793465, "realized_annual_volatility_pct": 90.75949919107073, "trading_costs_quote_units": 338.46388186903783, "borrowing_costs_quote_units": 215.1767120349686, "price_pnl_quote_units": 28439.44046487209, "turnover_quote_units": 112821.29395634592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 68632.4537009887, "return_pct": 586.324537009887, "cagr_pct": 584.2198222717361, "max_drawdown_pct": 57.85146533609116, "mean_exposure_while_solvent": 1.297067172728837, "realized_annual_volatility_pct": 83.20875924679481, "trading_costs_quote_units": 622.2031503603567, "borrowing_costs_quote_units": 632.137030221298, "price_pnl_quote_units": 59886.79388157031, "turnover_quote_units": 207401.05012011883, "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": 4, "trace": "binance-2020-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 55532.62343379171, "return_pct": 455.3262343379171, "cagr_pct": 453.8102429173874, "max_drawdown_pct": 57.65095404285936, "mean_exposure_while_solvent": 1.2418586268547611, "realized_annual_volatility_pct": 82.19941427696867, "trading_costs_quote_units": 607.5241046363201, "borrowing_costs_quote_units": 934.2001091251719, "price_pnl_quote_units": 47074.347647553186, "turnover_quote_units": 202508.03487877347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61795.75333389103, "return_pct": 517.9575333389103, "cagr_pct": 516.1655615978862, "max_drawdown_pct": 57.65095404285938, "mean_exposure_while_solvent": 1.3356980919578323, "realized_annual_volatility_pct": 85.18413038072575, "trading_costs_quote_units": 576.489465704621, "borrowing_costs_quote_units": 1355.6884495081924, "price_pnl_quote_units": 53727.93124910379, "turnover_quote_units": 192163.1552348737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 254, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 67152.09164617021, "return_pct": 571.5209164617021, "cagr_pct": 569.4848764379639, "max_drawdown_pct": 59.856981941900614, "mean_exposure_while_solvent": 1.4117499129405435, "realized_annual_volatility_pct": 87.58431486724271, "trading_costs_quote_units": 419.4655328924912, "borrowing_costs_quote_units": 1620.9649433092761, "price_pnl_quote_units": 59192.522122372065, "turnover_quote_units": 139821.8442974971, "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": 4, "trace": "binance-2020-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57104.20645777104, "return_pct": 471.0420645777104, "cagr_pct": 469.4578295609677, "max_drawdown_pct": 57.65095404285936, "mean_exposure_while_solvent": 1.234949214220437, "realized_annual_volatility_pct": 82.04165084354158, "trading_costs_quote_units": 564.1986768165931, "borrowing_costs_quote_units": 925.9941429717225, "price_pnl_quote_units": 48594.399277559416, "turnover_quote_units": 188066.22560553107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61199.136433806336, "return_pct": 511.99136433806336, "cagr_pct": 510.22613327359556, "max_drawdown_pct": 57.65095404285938, "mean_exposure_while_solvent": 1.3070045521879576, "realized_annual_volatility_pct": 84.67027205376468, "trading_costs_quote_units": 563.9048780786102, "borrowing_costs_quote_units": 1254.73017962085, "price_pnl_quote_units": 53017.77149150581, "turnover_quote_units": 187968.29269287013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66503.76112844567, "return_pct": 565.0376112844566, "cagr_pct": 563.0314851976486, "max_drawdown_pct": 59.856981941900614, "mean_exposure_while_solvent": 1.383056373170669, "realized_annual_volatility_pct": 87.08466105609342, "trading_costs_quote_units": 407.8753835145476, "borrowing_costs_quote_units": 1520.6667910872436, "price_pnl_quote_units": 58432.30330304754, "turnover_quote_units": 135958.4611715159, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 57104.20645777104, "return_pct": 471.0420645777104, "cagr_pct": 469.4578295609677, "max_drawdown_pct": 57.65095404285936, "mean_exposure_while_solvent": 1.234949214220437, "realized_annual_volatility_pct": 82.04165084354158, "trading_costs_quote_units": 564.1986768165931, "borrowing_costs_quote_units": 925.9941429717225, "price_pnl_quote_units": 48594.399277559416, "turnover_quote_units": 188066.22560553107, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 182, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 61199.136433806336, "return_pct": 511.99136433806336, "cagr_pct": 510.22613327359556, "max_drawdown_pct": 57.65095404285938, "mean_exposure_while_solvent": 1.3070045521879576, "realized_annual_volatility_pct": 84.67027205376468, "trading_costs_quote_units": 563.9048780786102, "borrowing_costs_quote_units": 1254.73017962085, "price_pnl_quote_units": 53017.77149150581, "turnover_quote_units": 187968.29269287013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 233, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66503.76112844567, "return_pct": 565.0376112844566, "cagr_pct": 563.0314851976486, "max_drawdown_pct": 59.856981941900614, "mean_exposure_while_solvent": 1.383056373170669, "realized_annual_volatility_pct": 87.08466105609342, "trading_costs_quote_units": 407.8753835145476, "borrowing_costs_quote_units": 1520.6667910872436, "price_pnl_quote_units": 58432.30330304754, "turnover_quote_units": 135958.4611715159, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 285, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 37171.40111065671, "return_pct": 271.71401110656717, "cagr_pct": 270.93662347575605, "max_drawdown_pct": 71.84474217627725, "mean_exposure_while_solvent": 1.1880837704012217, "realized_annual_volatility_pct": 90.76703635234836, "trading_costs_quote_units": 335.2025544077828, "borrowing_costs_quote_units": 426.00754708758313, "price_pnl_quote_units": 27932.611212152064, "turnover_quote_units": 111734.18480259426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 144, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 4, "trace": "binance-2020-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2020", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 66616.33112135407, "return_pct": 566.1633112135407, "cagr_pct": 564.1519983225639, "max_drawdown_pct": 57.923552391448354, "mean_exposure_while_solvent": 1.2971183981635004, "realized_annual_volatility_pct": 83.21085571820346, "trading_costs_quote_units": 609.9203680833193, "borrowing_costs_quote_units": 1241.1272646712837, "price_pnl_quote_units": 58467.37875410864, "turnover_quote_units": 203306.78936110638, "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": 4, "trace": "binance-2020-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2020-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14883.88452606521, "return_pct": 48.8388452606521, "cagr_pct": 48.906462613488024, "max_drawdown_pct": 63.02182456735955, "mean_exposure_while_solvent": 1.2487324293318574, "realized_annual_volatility_pct": 111.19954716292793, "trading_costs_quote_units": 139.64562719103685, "borrowing_costs_quote_units": 214.22795853423173, "price_pnl_quote_units": 5237.758111790463, "turnover_quote_units": 232742.71198506124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13965.047286643163, "return_pct": 39.65047286643162, "cagr_pct": 39.703748691310196, "max_drawdown_pct": 66.19399138899509, "mean_exposure_while_solvent": 1.2911416098225752, "realized_annual_volatility_pct": 116.48685217293611, "trading_costs_quote_units": 133.0879669616446, "borrowing_costs_quote_units": 248.36521661107997, "price_pnl_quote_units": 4346.500470215877, "turnover_quote_units": 221813.27826940775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14641.943539333148, "return_pct": 46.41943539333149, "cagr_pct": 46.483211826421, "max_drawdown_pct": 67.01601735859182, "mean_exposure_while_solvent": 1.3089884031260204, "realized_annual_volatility_pct": 117.29953815517746, "trading_costs_quote_units": 122.48126571383317, "borrowing_costs_quote_units": 265.67818125464254, "price_pnl_quote_units": 5030.102986301638, "turnover_quote_units": 204135.4428563883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16990.871686583472, "return_pct": 69.90871686583473, "cagr_pct": 70.0116113103459, "max_drawdown_pct": 57.95378241949975, "mean_exposure_while_solvent": 1.2170448131557043, "realized_annual_volatility_pct": 108.73994394541846, "trading_costs_quote_units": 109.54511798419436, "borrowing_costs_quote_units": 197.66318546365258, "price_pnl_quote_units": 7298.07999003127, "turnover_quote_units": 182575.196640324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16257.858574462132, "return_pct": 62.57858574462132, "cagr_pct": 62.66884809058995, "max_drawdown_pct": 62.66406859953055, "mean_exposure_while_solvent": 1.2553400526335068, "realized_annual_volatility_pct": 113.92724259015603, "trading_costs_quote_units": 107.77538837978496, "borrowing_costs_quote_units": 229.00575736035682, "price_pnl_quote_units": 6594.63972020229, "turnover_quote_units": 179625.6472996415, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17470.7063105635, "return_pct": 74.707063105635, "cagr_pct": 74.81842354664239, "max_drawdown_pct": 62.66406859953055, "mean_exposure_while_solvent": 1.2716995595731524, "realized_annual_volatility_pct": 114.43890830299914, "trading_costs_quote_units": 96.59621420311203, "borrowing_costs_quote_units": 250.60913121262107, "price_pnl_quote_units": 7817.9116559792565, "turnover_quote_units": 160993.69033851998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17335.090839796245, "return_pct": 73.35090839796246, "cagr_pct": 73.45986063059684, "max_drawdown_pct": 57.95378241949975, "mean_exposure_while_solvent": 1.215677155189766, "realized_annual_volatility_pct": 108.53327662066113, "trading_costs_quote_units": 110.04199725913965, "borrowing_costs_quote_units": 199.39638689033086, "price_pnl_quote_units": 7644.529223945684, "turnover_quote_units": 183403.32876523273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16587.22756828328, "return_pct": 65.87227568283281, "cagr_pct": 65.96816829896348, "max_drawdown_pct": 62.66406859953055, "mean_exposure_while_solvent": 1.2539723946675685, "realized_annual_volatility_pct": 113.7300374708904, "trading_costs_quote_units": 108.27039735170837, "borrowing_costs_quote_units": 230.77355410513587, "price_pnl_quote_units": 6926.271519740172, "turnover_quote_units": 180450.66225284728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17824.646464028363, "return_pct": 78.24646464028362, "cagr_pct": 78.36416671980506, "max_drawdown_pct": 62.66406859953055, "mean_exposure_while_solvent": 1.270331901607214, "realized_annual_volatility_pct": 114.24252862585924, "trading_costs_quote_units": 96.86474357235848, "borrowing_costs_quote_units": 252.81459208618276, "price_pnl_quote_units": 8174.325799686953, "turnover_quote_units": 161441.23928726406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14755.59163475887, "return_pct": 47.55591634758869, "cagr_pct": 47.62149134459695, "max_drawdown_pct": 67.62074677251987, "mean_exposure_while_solvent": 1.2433653285962731, "realized_annual_volatility_pct": 110.1847208855533, "trading_costs_quote_units": 97.48746471688168, "borrowing_costs_quote_units": 205.61738615515281, "price_pnl_quote_units": 5058.696485630886, "turnover_quote_units": 162479.10786146947, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22832.54436599123, "return_pct": 128.3254436599123, "cagr_pct": 128.540832876879, "max_drawdown_pct": 53.78604290832719, "mean_exposure_while_solvent": 1.2641505782949785, "realized_annual_volatility_pct": 113.88015784793808, "trading_costs_quote_units": 125.4250985393244, "borrowing_costs_quote_units": 279.795032946162, "price_pnl_quote_units": 13237.764497476768, "turnover_quote_units": 209041.83089887412, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14699.461644368816, "return_pct": 46.994616443688166, "cagr_pct": 47.05930188648518, "max_drawdown_pct": 63.109893229055494, "mean_exposure_while_solvent": 1.24875375138197, "realized_annual_volatility_pct": 111.20274175326234, "trading_costs_quote_units": 138.8700247480982, "borrowing_costs_quote_units": 425.7595454009455, "price_pnl_quote_units": 5264.091214517814, "turnover_quote_units": 231450.0412468306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13762.735223191052, "return_pct": 37.627352231910514, "cagr_pct": 37.67756165682569, "max_drawdown_pct": 66.31088684170632, "mean_exposure_while_solvent": 1.2911665619299841, "realized_annual_volatility_pct": 116.49069646921338, "trading_costs_quote_units": 132.18366127913973, "borrowing_costs_quote_units": 493.0799053149787, "price_pnl_quote_units": 4387.998789785165, "turnover_quote_units": 220306.1021318997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14417.126900895113, "return_pct": 44.17126900895114, "cagr_pct": 44.231517353918, "max_drawdown_pct": 67.13249057894771, "mean_exposure_while_solvent": 1.309014883319682, "realized_annual_volatility_pct": 117.30336285371685, "trading_costs_quote_units": 121.69520994940738, "borrowing_costs_quote_units": 527.1690246516042, "price_pnl_quote_units": 5065.991135496091, "turnover_quote_units": 202825.34991567905, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16807.260668346953, "return_pct": 68.07260668346953, "cagr_pct": 68.17230235191299, "max_drawdown_pct": 58.01682545199765, "mean_exposure_while_solvent": 1.2170634023116027, "realized_annual_volatility_pct": 108.74245080495548, "trading_costs_quote_units": 109.0212417397212, "borrowing_costs_quote_units": 393.07217276260013, "price_pnl_quote_units": 7309.354082849263, "turnover_quote_units": 181702.06956620203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16051.206658067162, "return_pct": 60.51206658067161, "cagr_pct": 60.59883527245871, "max_drawdown_pct": 62.746493812057416, "mean_exposure_while_solvent": 1.2553619171916555, "realized_annual_volatility_pct": 113.93038129837888, "trading_costs_quote_units": 107.11011347706975, "borrowing_costs_quote_units": 454.93661613016417, "price_pnl_quote_units": 6613.253387674425, "turnover_quote_units": 178516.85579511634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17234.728062837392, "return_pct": 72.34728062837392, "cagr_pct": 72.4544584668489, "max_drawdown_pct": 62.746493812057416, "mean_exposure_while_solvent": 1.2717228168390622, "realized_annual_volatility_pct": 114.44193627038743, "trading_costs_quote_units": 96.05015989591881, "borrowing_costs_quote_units": 497.5825537913635, "price_pnl_quote_units": 7828.360776524709, "turnover_quote_units": 160083.5998265314, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17149.006280553444, "return_pct": 71.49006280553442, "cagr_pct": 71.59573039281075, "max_drawdown_pct": 58.01682545199765, "mean_exposure_while_solvent": 1.2156956269348431, "realized_annual_volatility_pct": 108.53569442249172, "trading_costs_quote_units": 109.51403993602415, "borrowing_costs_quote_units": 396.52447823864026, "price_pnl_quote_units": 7655.044798728131, "turnover_quote_units": 182523.3998933736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16377.579262994064, "return_pct": 63.77579262994064, "cagr_pct": 63.868092744219716, "max_drawdown_pct": 62.746493812057416, "mean_exposure_while_solvent": 1.2539941418148957, "realized_annual_volatility_pct": 113.73309376774607, "trading_costs_quote_units": 107.60016994982308, "borrowing_costs_quote_units": 458.45118375326774, "price_pnl_quote_units": 6943.630616697219, "turnover_quote_units": 179333.61658303847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17585.165460654323, "return_pct": 75.85165460654324, "cagr_pct": 75.96505694612637, "max_drawdown_pct": 62.746493812057416, "mean_exposure_while_solvent": 1.2703550414623024, "realized_annual_volatility_pct": 114.24547477943956, "trading_costs_quote_units": 96.31533197601897, "borrowing_costs_quote_units": 501.9642503512836, "price_pnl_quote_units": 8183.4450429816925, "turnover_quote_units": 160525.55329336497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14576.744929154804, "return_pct": 45.76744929154803, "cagr_pct": 45.830198458944835, "max_drawdown_pct": 67.8154922925555, "mean_exposure_while_solvent": 1.2433862202688355, "realized_annual_volatility_pct": 110.18786140670123, "trading_costs_quote_units": 97.05366959134653, "borrowing_costs_quote_units": 408.9173514071007, "price_pnl_quote_units": 5082.715950153237, "turnover_quote_units": 161756.11598557746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22533.126192223986, "return_pct": 125.33126192223985, "cagr_pct": 125.54042636286641, "max_drawdown_pct": 53.82709711781639, "mean_exposure_while_solvent": 1.26417314085504, "realized_annual_volatility_pct": 113.88239243172049, "trading_costs_quote_units": 124.54693942916366, "borrowing_costs_quote_units": 555.4989286532403, "price_pnl_quote_units": 13213.172060306337, "turnover_quote_units": 207578.2323819395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14337.34447203323, "return_pct": 43.37344472033231, "cagr_pct": 43.43245063371411, "max_drawdown_pct": 63.28545150324481, "mean_exposure_while_solvent": 1.2487964047409301, "realized_annual_volatility_pct": 111.20915220767004, "trading_costs_quote_units": 137.33909349230854, "borrowing_costs_quote_units": 840.8659250514182, "price_pnl_quote_units": 5315.549490576946, "turnover_quote_units": 228898.48915384753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13366.753953936848, "return_pct": 33.66753953936848, "cagr_pct": 33.71184608083138, "max_drawdown_pct": 66.54353212691805, "mean_exposure_while_solvent": 1.291216476982421, "realized_annual_volatility_pct": 116.49840541021752, "trading_costs_quote_units": 130.4013521801274, "borrowing_costs_quote_units": 971.765222241262, "price_pnl_quote_units": 4468.920528358231, "turnover_quote_units": 217335.58696687908, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13977.67727304061, "return_pct": 39.776772730406094, "cagr_pct": 39.83024110205823, "max_drawdown_pct": 67.36426993984298, "mean_exposure_while_solvent": 1.309067855208059, "realized_annual_volatility_pct": 117.31103183924311, "trading_costs_quote_units": 120.14574564162048, "borrowing_costs_quote_units": 1037.8442455770135, "price_pnl_quote_units": 5135.6672642592675, "turnover_quote_units": 200242.9094027008, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16445.871292414424, "return_pct": 64.45871292414425, "cagr_pct": 64.55217992766546, "max_drawdown_pct": 58.14266464691138, "mean_exposure_while_solvent": 1.2171005886820678, "realized_annual_volatility_pct": 108.74748541064794, "trading_costs_quote_units": 107.98604187220869, "borrowing_costs_quote_units": 777.2255501785661, "price_pnl_quote_units": 7331.082884465206, "turnover_quote_units": 179976.7364536812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15645.639402034518, "return_pct": 56.45639402034517, "cagr_pct": 56.53639505282837, "max_drawdown_pct": 62.91084576195875, "mean_exposure_while_solvent": 1.2554056557896018, "realized_annual_volatility_pct": 113.93667948263814, "trading_costs_quote_units": 105.79793455619753, "borrowing_costs_quote_units": 897.7303679768786, "price_pnl_quote_units": 6649.167704567558, "turnover_quote_units": 176329.89092699595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16772.16507330546, "return_pct": 67.72165073305459, "cagr_pct": 67.82073758894735, "max_drawdown_pct": 62.91084576195875, "mean_exposure_while_solvent": 1.2717693414524682, "realized_annual_volatility_pct": 114.44801264296613, "trading_costs_quote_units": 94.97285317172268, "borrowing_costs_quote_units": 980.8219033355736, "price_pnl_quote_units": 7847.959829812775, "turnover_quote_units": 158288.08861953788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16782.708545896578, "return_pct": 67.82708545896578, "cagr_pct": 67.92635512705279, "max_drawdown_pct": 58.14266464691138, "mean_exposure_while_solvent": 1.215732578432147, "realized_annual_volatility_pct": 108.54055082740312, "trading_costs_quote_units": 108.47073286336341, "borrowing_costs_quote_units": 784.0738216567695, "price_pnl_quote_units": 7675.253100416712, "turnover_quote_units": 180784.55477227218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15966.086650553638, "return_pct": 59.66086650553637, "cagr_pct": 59.74620498801706, "max_drawdown_pct": 62.91084576195875, "mean_exposure_while_solvent": 1.254037645539681, "realized_annual_volatility_pct": 113.73922708250528, "trading_costs_quote_units": 106.27818895689585, "borrowing_costs_quote_units": 904.6758506118024, "price_pnl_quote_units": 6977.040690122298, "turnover_quote_units": 177130.31492815967, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17115.685335491144, "return_pct": 71.15685335491145, "cagr_pct": 71.26193521370384, "max_drawdown_pct": 62.91084576195875, "mean_exposure_while_solvent": 1.2704013312025473, "realized_annual_volatility_pct": 114.25138749088998, "trading_costs_quote_units": 95.23139291726932, "borrowing_costs_quote_units": 989.469231014776, "price_pnl_quote_units": 8200.385959423156, "turnover_quote_units": 158718.9881954487, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14225.430158405497, "return_pct": 42.254301584054964, "cagr_pct": 42.31157324855369, "max_drawdown_pct": 68.2015822646913, "mean_exposure_while_solvent": 1.2434280126993362, "realized_annual_volatility_pct": 110.19416413811271, "trading_costs_quote_units": 96.19956953292402, "borrowing_costs_quote_units": 808.6742072429109, "price_pnl_quote_units": 5130.303935181312, "turnover_quote_units": 160332.61588820675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21945.85924789401, "return_pct": 119.4585924789401, "cagr_pct": 119.65568069865027, "max_drawdown_pct": 53.90911860754413, "mean_exposure_while_solvent": 1.2642182757303217, "realized_annual_volatility_pct": 113.88688189430628, "trading_costs_quote_units": 122.81559731137482, "borrowing_costs_quote_units": 1094.8534627627278, "price_pnl_quote_units": 13163.528307968088, "turnover_quote_units": 204692.66218562453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14585.269614478604, "return_pct": 45.852696144786044, "cagr_pct": 45.915579437410834, "max_drawdown_pct": 64.3458437573997, "mean_exposure_while_solvent": 1.2474379933243567, "realized_annual_volatility_pct": 111.19663632011994, "trading_costs_quote_units": 137.28344538512738, "borrowing_costs_quote_units": 206.48338747703104, "price_pnl_quote_units": 4929.036447340813, "turnover_quote_units": 228805.7423085457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13528.892339614398, "return_pct": 35.28892339614398, "cagr_pct": 35.33563093116252, "max_drawdown_pct": 67.786663397013, "mean_exposure_while_solvent": 1.2898643403397552, "realized_annual_volatility_pct": 116.50762757316781, "trading_costs_quote_units": 132.9304775182519, "borrowing_costs_quote_units": 237.9886209070388, "price_pnl_quote_units": 3899.8114380397346, "turnover_quote_units": 221550.79586375316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13899.993119500716, "return_pct": 38.99993119500715, "cagr_pct": 39.05221732777013, "max_drawdown_pct": 68.46977456501573, "mean_exposure_while_solvent": 1.3075472112089932, "realized_annual_volatility_pct": 117.23208900409232, "trading_costs_quote_units": 122.74110342163755, "borrowing_costs_quote_units": 254.09728159312607, "price_pnl_quote_units": 4276.831504515478, "turnover_quote_units": 204568.5057027292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17452.563414500295, "return_pct": 74.52563414500295, "cagr_pct": 74.63667171139123, "max_drawdown_pct": 58.409932974511406, "mean_exposure_while_solvent": 1.2156292487002363, "realized_annual_volatility_pct": 108.6280082176865, "trading_costs_quote_units": 110.86028231556618, "borrowing_costs_quote_units": 195.82340374901852, "price_pnl_quote_units": 7759.247100564821, "turnover_quote_units": 184767.1371926104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16461.00566195607, "return_pct": 64.61005661956072, "cagr_pct": 64.70378265998971, "max_drawdown_pct": 62.791374375312145, "mean_exposure_while_solvent": 1.254334174956881, "realized_annual_volatility_pct": 113.84512916956339, "trading_costs_quote_units": 111.56697486997828, "borrowing_costs_quote_units": 225.09000437732638, "price_pnl_quote_units": 6797.662641203396, "turnover_quote_units": 185944.95811663062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17278.949827074008, "return_pct": 72.78949827074008, "cagr_pct": 72.89745711957653, "max_drawdown_pct": 62.791374375312145, "mean_exposure_while_solvent": 1.270645012572718, "realized_annual_volatility_pct": 114.30674213264706, "trading_costs_quote_units": 100.34447672043133, "borrowing_costs_quote_units": 245.89519358627123, "price_pnl_quote_units": 7625.189497380738, "turnover_quote_units": 167240.7945340524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17550.14920219519, "return_pct": 75.50149202195189, "cagr_pct": 75.61426878008797, "max_drawdown_pct": 58.409932974511406, "mean_exposure_while_solvent": 1.2142268106425145, "realized_annual_volatility_pct": 108.37954044124612, "trading_costs_quote_units": 110.99275910254482, "borrowing_costs_quote_units": 195.6599256929031, "price_pnl_quote_units": 7856.801886990585, "turnover_quote_units": 184987.93183757493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16553.047167013043, "return_pct": 65.53047167013042, "cagr_pct": 65.62577649756032, "max_drawdown_pct": 62.791374375312145, "mean_exposure_while_solvent": 1.2529317368991593, "realized_annual_volatility_pct": 113.60808526330149, "trading_costs_quote_units": 111.69633502551503, "borrowing_costs_quote_units": 224.94750009799807, "price_pnl_quote_units": 6889.691002136549, "turnover_quote_units": 186160.55837585827, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17375.56485658969, "return_pct": 73.75564856589692, "cagr_pct": 73.86531825440518, "max_drawdown_pct": 62.791374375312145, "mean_exposure_while_solvent": 1.269242574514996, "realized_annual_volatility_pct": 114.0706466363358, "trading_costs_quote_units": 100.41108641944088, "borrowing_costs_quote_units": 245.86902125938295, "price_pnl_quote_units": 7721.84496426853, "turnover_quote_units": 167351.8106990681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13813.129768165883, "return_pct": 38.131297681658836, "cagr_pct": 38.18226776373415, "max_drawdown_pct": 67.27497279547744, "mean_exposure_while_solvent": 1.2424531982200406, "realized_annual_volatility_pct": 110.23848408217845, "trading_costs_quote_units": 96.61585870819542, "borrowing_costs_quote_units": 199.3529990142909, "price_pnl_quote_units": 4109.098625888369, "turnover_quote_units": 161026.43118032566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21827.01858028958, "return_pct": 118.27018580289578, "cagr_pct": 118.46485197716765, "max_drawdown_pct": 52.79231214478719, "mean_exposure_while_solvent": 1.2634975509836603, "realized_annual_volatility_pct": 113.75480225687828, "trading_costs_quote_units": 128.80362764005235, "borrowing_costs_quote_units": 278.3648789419429, "price_pnl_quote_units": 12234.187086871538, "turnover_quote_units": 214672.7127334205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14404.482712334184, "return_pct": 44.04482712334183, "cagr_pct": 44.104878226075094, "max_drawdown_pct": 64.43180336533725, "mean_exposure_while_solvent": 1.2474592733169845, "realized_annual_volatility_pct": 111.19965370757686, "trading_costs_quote_units": 136.52182525376924, "borrowing_costs_quote_units": 410.38983738664336, "price_pnl_quote_units": 4951.394374974624, "turnover_quote_units": 227536.37542294877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13333.128201187095, "return_pct": 33.33128201187095, "cagr_pct": 33.375093420530725, "max_drawdown_pct": 67.89912735361997, "mean_exposure_while_solvent": 1.2898892576345262, "realized_annual_volatility_pct": 116.51142793484371, "trading_costs_quote_units": 132.04001831370945, "borrowing_costs_quote_units": 472.5175641514835, "price_pnl_quote_units": 3937.685783652294, "turnover_quote_units": 220066.69718951583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13686.748034458356, "return_pct": 36.867480344583555, "cagr_pct": 36.91654680909718, "max_drawdown_pct": 68.58214605691715, "mean_exposure_while_solvent": 1.307573630898361, "realized_annual_volatility_pct": 117.23592486583281, "trading_costs_quote_units": 121.9656749998105, "borrowing_costs_quote_units": 504.23655008866916, "price_pnl_quote_units": 4312.950259546797, "turnover_quote_units": 203276.12499968446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17264.048959994692, "return_pct": 72.64048959994693, "cagr_pct": 72.74818513646358, "max_drawdown_pct": 58.4733724879768, "mean_exposure_while_solvent": 1.215647779066665, "realized_annual_volatility_pct": 108.63027722955371, "trading_costs_quote_units": 110.32376896876374, "borrowing_costs_quote_units": 389.41295906777793, "price_pnl_quote_units": 7763.785688031221, "turnover_quote_units": 183872.94828127304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16251.797052098751, "return_pct": 62.51797052098751, "cagr_pct": 62.60812996128608, "max_drawdown_pct": 62.874429402841116, "mean_exposure_while_solvent": 1.2543560516726147, "realized_annual_volatility_pct": 113.84819189238138, "trading_costs_quote_units": 110.87970618473119, "borrowing_costs_quote_units": 447.1594152078651, "price_pnl_quote_units": 6809.836173491371, "turnover_quote_units": 184799.51030788524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17045.507253051874, "return_pct": 70.45507253051875, "cagr_pct": 70.55892320109022, "max_drawdown_pct": 62.874429402841116, "mean_exposure_while_solvent": 1.270668274283578, "realized_annual_volatility_pct": 114.3097555748208, "trading_costs_quote_units": 99.77782477453442, "borrowing_costs_quote_units": 488.2289854456737, "price_pnl_quote_units": 7633.514063272111, "turnover_quote_units": 166296.3746242239, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17361.790073045442, "return_pct": 73.61790073045442, "cagr_pct": 73.72732612136357, "max_drawdown_pct": 58.4733724879768, "mean_exposure_while_solvent": 1.2142452169502986, "realized_annual_volatility_pct": 108.38176810685844, "trading_costs_quote_units": 110.45667290529788, "borrowing_costs_quote_units": 389.0996192988678, "price_pnl_quote_units": 7861.346365249625, "turnover_quote_units": 184094.45484216325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16343.807259937468, "return_pct": 63.438072599374685, "cagr_pct": 63.52979686271985, "max_drawdown_pct": 62.874429402841116, "mean_exposure_while_solvent": 1.2529534895562482, "realized_annual_volatility_pct": 113.61111057389554, "trading_costs_quote_units": 111.00924607625805, "borrowing_costs_quote_units": 446.88821471226765, "price_pnl_quote_units": 6901.704720726053, "turnover_quote_units": 185015.41012709675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17142.01108336934, "return_pct": 71.4201108336934, "cagr_pct": 71.5256553952065, "max_drawdown_pct": 62.874429402841116, "mean_exposure_while_solvent": 1.2692657121672113, "realized_annual_volatility_pct": 114.07362273878114, "trading_costs_quote_units": 99.84451091440053, "borrowing_costs_quote_units": 488.19030198688813, "price_pnl_quote_units": 7730.045896270698, "turnover_quote_units": 166407.5181906676, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13645.855162892687, "return_pct": 36.45855162892686, "cagr_pct": 36.50700499921513, "max_drawdown_pct": 67.43651896601644, "mean_exposure_while_solvent": 1.242474070808693, "realized_annual_volatility_pct": 110.24162596417287, "trading_costs_quote_units": 96.17849230167613, "borrowing_costs_quote_units": 396.48894701837094, "price_pnl_quote_units": 4138.522602212698, "turnover_quote_units": 160297.48716946034, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 21540.570802615017, "return_pct": 115.40570802615018, "cagr_pct": 115.59456673235427, "max_drawdown_pct": 52.834053103595025, "mean_exposure_while_solvent": 1.263520179437412, "realized_annual_volatility_pct": 113.75712611959514, "trading_costs_quote_units": 127.90333922544663, "borrowing_costs_quote_units": 552.6491305813101, "price_pnl_quote_units": 12221.123272421839, "turnover_quote_units": 213172.23204241105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14049.502942111705, "return_pct": 40.495029421117046, "cagr_pct": 40.54959526855244, "max_drawdown_pct": 64.60315631151407, "mean_exposure_while_solvent": 1.2475018425432565, "realized_annual_volatility_pct": 111.20571070429051, "trading_costs_quote_units": 135.0236527079826, "borrowing_costs_quote_units": 810.5980466696992, "price_pnl_quote_units": 4995.124641489373, "turnover_quote_units": 225039.42117997113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12949.949310875374, "return_pct": 29.49949310875375, "cagr_pct": 29.537731390251455, "max_drawdown_pct": 68.12294744052652, "mean_exposure_while_solvent": 1.2899391030575753, "realized_annual_volatility_pct": 116.5190496293359, "trading_costs_quote_units": 130.28998000135874, "borrowing_costs_quote_units": 931.3921322661868, "price_pnl_quote_units": 4011.631423142944, "turnover_quote_units": 217149.96666893116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13269.90522552942, "return_pct": 32.69905225529419, "cagr_pct": 32.74193534590106, "max_drawdown_pct": 68.80575753472552, "mean_exposure_while_solvent": 1.307626481756369, "realized_annual_volatility_pct": 117.24361700767454, "trading_costs_quote_units": 120.4419758796288, "borrowing_costs_quote_units": 992.8812814128947, "price_pnl_quote_units": 4383.228482821934, "turnover_quote_units": 200736.62646604833, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16893.00061337026, "return_pct": 68.93000613370259, "cagr_pct": 69.03119267820846, "max_drawdown_pct": 58.60000536316387, "mean_exposure_while_solvent": 1.2156848478318574, "realized_annual_volatility_pct": 108.63483715143094, "trading_costs_quote_units": 109.26899727174957, "borrowing_costs_quote_units": 769.9875984991688, "price_pnl_quote_units": 7772.2572091411585, "turnover_quote_units": 182114.99545291602, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15841.206354518235, "return_pct": 58.412063545182356, "cagr_pct": 58.49531315836798, "max_drawdown_pct": 63.04003752609264, "mean_exposure_while_solvent": 1.2543998146099313, "realized_annual_volatility_pct": 113.85433888539622, "trading_costs_quote_units": 109.52944816788583, "borrowing_costs_quote_units": 882.3903962462468, "price_pnl_quote_units": 6833.126198932425, "turnover_quote_units": 182549.0802798099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16587.911855700073, "return_pct": 65.87911855700072, "cagr_pct": 65.97502294882159, "max_drawdown_pct": 63.04003752609264, "mean_exposure_while_solvent": 1.2707148078061814, "realized_annual_volatility_pct": 114.31580379238333, "trading_costs_quote_units": 98.66507389986032, "borrowing_costs_quote_units": 962.407703514855, "price_pnl_quote_units": 7648.9846331148165, "turnover_quote_units": 164441.78983310077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16991.008737890512, "return_pct": 69.91008737890512, "cagr_pct": 70.01298421956218, "max_drawdown_pct": 58.60000536316387, "mean_exposure_while_solvent": 1.2142820375420689, "realized_annual_volatility_pct": 108.38624535572467, "trading_costs_quote_units": 109.40268354959537, "borrowing_costs_quote_units": 769.4141627666111, "price_pnl_quote_units": 7869.825584206749, "turnover_quote_units": 182337.80591599215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15933.112284108793, "return_pct": 59.331122841087925, "cagr_pct": 59.41590867294519, "max_drawdown_pct": 63.04003752609264, "mean_exposure_while_solvent": 1.252997004320143, "realized_annual_volatility_pct": 113.61718279207442, "trading_costs_quote_units": 109.65927432790892, "borrowing_costs_quote_units": 881.9017239790152, "price_pnl_quote_units": 6924.673282415759, "turnover_quote_units": 182765.45721318186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16684.14994672331, "return_pct": 66.84149946723312, "cagr_pct": 66.93906320095091, "max_drawdown_pct": 63.04003752609264, "mean_exposure_while_solvent": 1.269311997516393, "realized_annual_volatility_pct": 114.079596339203, "trading_costs_quote_units": 98.73186821785215, "borrowing_costs_quote_units": 962.3832676727578, "price_pnl_quote_units": 7745.265082613976, "turnover_quote_units": 164553.11369642048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13317.269462625383, "return_pct": 33.17269462625383, "cagr_pct": 33.21627285445602, "max_drawdown_pct": 67.76114063128082, "mean_exposure_while_solvent": 1.2425158250608057, "realized_annual_volatility_pct": 110.24793100247106, "trading_costs_quote_units": 95.31307839828159, "borrowing_costs_quote_units": 784.2133076856245, "price_pnl_quote_units": 4196.7958487093365, "turnover_quote_units": 158855.13066380264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20978.749156319558, "return_pct": 109.78749156319556, "cagr_pct": 109.96508699116285, "max_drawdown_pct": 52.91744713006178, "mean_exposure_while_solvent": 1.2635654461579064, "realized_annual_volatility_pct": 113.76179424255575, "trading_costs_quote_units": 126.13063547195448, "borrowing_costs_quote_units": 1089.1955698441852, "price_pnl_quote_units": 12194.075361635694, "turnover_quote_units": 210217.72578659077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14384.172740547676, "return_pct": 43.84172740547676, "cagr_pct": 43.901461949858216, "max_drawdown_pct": 63.406220976375785, "mean_exposure_while_solvent": 1.2487324293318574, "realized_annual_volatility_pct": 111.19479002779985, "trading_costs_quote_units": 685.7149399824553, "borrowing_costs_quote_units": 209.98999065743848, "price_pnl_quote_units": 5279.877671187591, "turnover_quote_units": 228571.64666081857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13523.56689475329, "return_pct": 35.23566894753289, "cagr_pct": 35.28229726730381, "max_drawdown_pct": 66.65600852488079, "mean_exposure_while_solvent": 1.2911416098225752, "realized_annual_volatility_pct": 116.49217889788501, "trading_costs_quote_units": 654.343104749924, "borrowing_costs_quote_units": 243.98293284017774, "price_pnl_quote_units": 4421.892932343429, "turnover_quote_units": 218114.3682499747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14204.970910200758, "return_pct": 42.04970910200758, "cagr_pct": 42.10666481199385, "max_drawdown_pct": 67.46973214245322, "mean_exposure_while_solvent": 1.3089884031260204, "realized_annual_volatility_pct": 117.29490915546366, "trading_costs_quote_units": 602.869638700426, "borrowing_costs_quote_units": 260.8690844254919, "price_pnl_quote_units": 5068.709633326757, "turnover_quote_units": 200956.5462334753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16563.43501829545, "return_pct": 65.63435018295452, "cagr_pct": 65.72983356138779, "max_drawdown_pct": 58.25420444643865, "mean_exposure_while_solvent": 1.2170448131557043, "realized_annual_volatility_pct": 108.73194221457791, "trading_costs_quote_units": 539.906968607839, "borrowing_costs_quote_units": 194.4531949139134, "price_pnl_quote_units": 7297.795181817179, "turnover_quote_units": 179968.9895359464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15863.23993156544, "return_pct": 58.6323993156544, "cagr_pct": 58.71601666816697, "max_drawdown_pct": 62.95046737326319, "mean_exposure_while_solvent": 1.2553400526335068, "realized_annual_volatility_pct": 113.92828742914718, "trading_costs_quote_units": 531.6218926072056, "borrowing_costs_quote_units": 225.72127320413387, "price_pnl_quote_units": 6620.5830973767315, "turnover_quote_units": 177207.29753573527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17079.33413348241, "return_pct": 70.7933413348241, "cagr_pct": 70.89778504461954, "max_drawdown_pct": 62.95046737326319, "mean_exposure_while_solvent": 1.2716995595731524, "realized_annual_volatility_pct": 114.44185814352403, "trading_costs_quote_units": 477.01870066729816, "borrowing_costs_quote_units": 246.91444610187645, "price_pnl_quote_units": 7803.267280251555, "turnover_quote_units": 159006.23355576617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16900.232854881222, "return_pct": 69.00232854881223, "cagr_pct": 69.10364107809616, "max_drawdown_pct": 58.25420444643865, "mean_exposure_while_solvent": 1.215677155189766, "realized_annual_volatility_pct": 108.5350056401606, "trading_costs_quote_units": 542.3443183797922, "borrowing_costs_quote_units": 196.15880996705903, "price_pnl_quote_units": 7638.735983228095, "turnover_quote_units": 180781.4394599308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16185.800130237487, "return_pct": 61.858001302374866, "cagr_pct": 61.94704199746468, "max_drawdown_pct": 62.95046737326319, "mean_exposure_while_solvent": 1.2539723946675685, "realized_annual_volatility_pct": 113.74038343874697, "trading_costs_quote_units": 534.0525827575223, "borrowing_costs_quote_units": 227.46251599615397, "price_pnl_quote_units": 6947.315228991102, "turnover_quote_units": 178017.5275858407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17426.622167644975, "return_pct": 74.26622167644975, "cagr_pct": 74.37679796210286, "max_drawdown_pct": 62.95046737326319, "mean_exposure_while_solvent": 1.270331901607214, "realized_annual_volatility_pct": 114.25473923125028, "trading_costs_quote_units": 478.33909957091817, "borrowing_costs_quote_units": 249.08662696769994, "price_pnl_quote_units": 8154.0478941835245, "turnover_quote_units": 159446.36652363936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14429.814127774534, "return_pct": 44.29814127774534, "cagr_pct": 44.35858766381301, "max_drawdown_pct": 67.85245680297567, "mean_exposure_while_solvent": 1.2433653285962731, "realized_annual_volatility_pct": 110.1773331440661, "trading_costs_quote_units": 481.8466085717055, "borrowing_costs_quote_units": 202.85549139506526, "price_pnl_quote_units": 5114.516227741326, "turnover_quote_units": 160615.53619056856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 22287.599058353786, "return_pct": 122.87599058353784, "cagr_pct": 123.08008457108102, "max_drawdown_pct": 53.91552310805956, "mean_exposure_while_solvent": 1.2641505782949785, "realized_annual_volatility_pct": 113.90173524640956, "trading_costs_quote_units": 618.3493472263121, "borrowing_costs_quote_units": 275.6956149204835, "price_pnl_quote_units": 13181.644020500651, "turnover_quote_units": 206116.44907543747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14205.863959473068, "return_pct": 42.058639594730685, "cagr_pct": 42.11560908914744, "max_drawdown_pct": 63.49350221626213, "mean_exposure_while_solvent": 1.24875375138197, "realized_annual_volatility_pct": 111.19801828999876, "trading_costs_quote_units": 681.9324251135091, "borrowing_costs_quote_units": 417.34771563448277, "price_pnl_quote_units": 5305.144100221023, "turnover_quote_units": 227310.80837116978, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13327.564767483476, "return_pct": 33.27564767483477, "cagr_pct": 33.31937725644239, "max_drawdown_pct": 66.7714812246834, "mean_exposure_while_solvent": 1.2911665619299841, "realized_annual_volatility_pct": 116.49605857471535, "trading_costs_quote_units": 649.9229395522912, "borrowing_costs_quote_units": 484.3951310281973, "price_pnl_quote_units": 4461.882838063955, "turnover_quote_units": 216640.97985076395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13986.78153715521, "return_pct": 39.867815371552105, "cagr_pct": 39.92142262057585, "max_drawdown_pct": 67.58478259539508, "mean_exposure_while_solvent": 1.309014883319682, "realized_annual_volatility_pct": 117.29876864691275, "trading_costs_quote_units": 599.023530073675, "borrowing_costs_quote_units": 517.6437764168737, "price_pnl_quote_units": 5103.448843645758, "turnover_quote_units": 199674.5100245585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16384.38083453606, "return_pct": 63.843808345360586, "cagr_pct": 63.93622453058174, "max_drawdown_pct": 58.31693233955306, "mean_exposure_while_solvent": 1.2170634023116027, "realized_annual_volatility_pct": 108.73448127771512, "trading_costs_quote_units": 537.3394121927672, "borrowing_costs_quote_units": 386.6943455916215, "price_pnl_quote_units": 7308.414592320453, "turnover_quote_units": 179113.13739758907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15661.529738362946, "return_pct": 56.615297383629446, "cagr_pct": 56.69556133283371, "max_drawdown_pct": 63.0324227297649, "mean_exposure_while_solvent": 1.2553619171916555, "realized_annual_volatility_pct": 113.93146163911001, "trading_costs_quote_units": 528.3559923256902, "borrowing_costs_quote_units": 448.4198355890445, "price_pnl_quote_units": 6638.3055662777415, "turnover_quote_units": 176118.6641085632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16848.576448462853, "return_pct": 68.48576448462853, "cagr_pct": 68.58617794315414, "max_drawdown_pct": 63.0324227297649, "mean_exposure_while_solvent": 1.2717228168390622, "realized_annual_volatility_pct": 114.44492319186385, "trading_costs_quote_units": 474.33544200608986, "borrowing_costs_quote_units": 490.2559544030738, "price_pnl_quote_units": 7813.167844872069, "turnover_quote_units": 158111.81400202983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16718.75727879521, "return_pct": 67.18757278795209, "cagr_pct": 67.28573477742424, "max_drawdown_pct": 58.31693233955306, "mean_exposure_while_solvent": 1.2156956269348431, "realized_annual_volatility_pct": 108.5374550796472, "trading_costs_quote_units": 539.756756977652, "borrowing_costs_quote_units": 390.0917074048622, "price_pnl_quote_units": 7648.605743177697, "turnover_quote_units": 179918.91899255075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15981.1540609699, "return_pct": 59.811540609699, "cagr_pct": 59.897131881514824, "max_drawdown_pct": 63.0324227297649, "mean_exposure_while_solvent": 1.2539941418148957, "realized_annual_volatility_pct": 113.74347466841654, "trading_costs_quote_units": 530.7623760542788, "borrowing_costs_quote_units": 451.88161387758544, "price_pnl_quote_units": 6963.798050901783, "turnover_quote_units": 176920.7920180927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17192.426310142717, "return_pct": 71.92426310142717, "cagr_pct": 72.03069505408264, "max_drawdown_pct": 63.0324227297649, "mean_exposure_while_solvent": 1.2703550414623024, "realized_annual_volatility_pct": 114.25772190845471, "trading_costs_quote_units": 475.639361154832, "borrowing_costs_quote_units": 494.5715344185098, "price_pnl_quote_units": 8162.63720571607, "turnover_quote_units": 158546.45371827716, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14254.85921200991, "return_pct": 42.548592120099094, "cagr_pct": 42.60631885097986, "max_drawdown_pct": 68.04593617187503, "mean_exposure_while_solvent": 1.2433862202688355, "realized_annual_volatility_pct": 110.18050488536485, "trading_costs_quote_units": 479.7155350158651, "borrowing_costs_quote_units": 403.4330181013436, "price_pnl_quote_units": 5138.007765127093, "turnover_quote_units": 159905.1783386217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 21995.28349221309, "return_pct": 119.95283492213092, "cagr_pct": 120.15093260879598, "max_drawdown_pct": 53.95650232890784, "mean_exposure_while_solvent": 1.26417314085504, "realized_annual_volatility_pct": 113.90400462078685, "trading_costs_quote_units": 614.0390116128173, "borrowing_costs_quote_units": 547.3702531920326, "price_pnl_quote_units": 13156.692757018003, "turnover_quote_units": 204679.67053760588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13855.752922529664, "return_pct": 38.55752922529665, "cagr_pct": 38.60914430467404, "max_drawdown_pct": 63.66749475022316, "mean_exposure_while_solvent": 1.2487964047409301, "realized_annual_volatility_pct": 111.20449601497262, "trading_costs_quote_units": 674.4659610208628, "borrowing_costs_quote_units": 824.295279798175, "price_pnl_quote_units": 5354.514163348751, "turnover_quote_units": 224821.98700695432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12943.93575890925, "return_pct": 29.43935758909251, "cagr_pct": 29.477509430405007, "max_drawdown_pct": 67.00129754579771, "mean_exposure_while_solvent": 1.291216476982421, "realized_annual_volatility_pct": 116.50383821033104, "trading_costs_quote_units": 641.210778957215, "borrowing_costs_quote_units": 954.7098475126942, "price_pnl_quote_units": 4539.856385379197, "turnover_quote_units": 213736.9263190717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13560.288016469116, "return_pct": 35.60288016469115, "cagr_pct": 35.65005519304195, "max_drawdown_pct": 67.81373308249536, "mean_exposure_while_solvent": 1.309067855208059, "realized_annual_volatility_pct": 117.3065071650611, "trading_costs_quote_units": 591.4417343125989, "borrowing_costs_quote_units": 1019.1593507007263, "price_pnl_quote_units": 5170.889101482425, "turnover_quote_units": 197147.24477086635, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16031.960230166726, "return_pct": 60.31960230166726, "cagr_pct": 60.40604715700275, "max_drawdown_pct": 58.44214741033371, "mean_exposure_while_solvent": 1.2171005886820678, "realized_annual_volatility_pct": 108.73958020643609, "trading_costs_quote_units": 532.2656767406396, "borrowing_costs_quote_units": 764.6365374479343, "price_pnl_quote_units": 7328.86244435537, "turnover_quote_units": 177421.8922468798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15265.66168052724, "return_pct": 52.65661680527241, "cagr_pct": 52.73038626382056, "max_drawdown_pct": 63.19584164053502, "mean_exposure_while_solvent": 1.2554056557896018, "realized_annual_volatility_pct": 113.9378307526768, "trading_costs_quote_units": 521.9141813338376, "borrowing_costs_quote_units": 884.9026688433872, "price_pnl_quote_units": 6672.478530704482, "turnover_quote_units": 173971.39377794592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16396.247036890236, "return_pct": 63.962470368902366, "cagr_pct": 64.0550891318994, "max_drawdown_pct": 63.19584164053502, "mean_exposure_while_solvent": 1.2717693414524682, "realized_annual_volatility_pct": 114.4510736652364, "trading_costs_quote_units": 469.04146678324224, "borrowing_costs_quote_units": 966.4160823589859, "price_pnl_quote_units": 7831.704586032493, "turnover_quote_units": 156347.15559441422, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16361.53178429292, "return_pct": 63.6153178429292, "cagr_pct": 63.70734423006248, "max_drawdown_pct": 58.44214741033371, "mean_exposure_while_solvent": 1.215732578432147, "realized_annual_volatility_pct": 108.54237467248691, "trading_costs_quote_units": 534.6432805311225, "borrowing_costs_quote_units": 771.3758361250237, "price_pnl_quote_units": 7667.550900949082, "turnover_quote_units": 178214.4268437074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15579.480313594206, "return_pct": 55.79480313594205, "cagr_pct": 55.87371150670497, "max_drawdown_pct": 63.19584164053502, "mean_exposure_while_solvent": 1.254037645539681, "realized_annual_volatility_pct": 113.74967777184779, "trading_costs_quote_units": 524.2724569995157, "borrowing_costs_quote_units": 891.7438393097572, "price_pnl_quote_units": 6995.496609903504, "turnover_quote_units": 174757.48566650538, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16733.307292791847, "return_pct": 67.33307292791848, "cagr_pct": 67.43148668779418, "max_drawdown_pct": 63.19584164053502, "mean_exposure_while_solvent": 1.2704013312025473, "realized_annual_volatility_pct": 114.26370760337248, "trading_costs_quote_units": 470.31282965378284, "borrowing_costs_quote_units": 974.9329370204748, "price_pnl_quote_units": 8178.553059466107, "turnover_quote_units": 156770.94321792774, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13911.178922431793, "return_pct": 39.11178922431793, "cagr_pct": 39.164245283200586, "max_drawdown_pct": 68.4295137036334, "mean_exposure_while_solvent": 1.2434280126993362, "realized_annual_volatility_pct": 110.18687047636813, "trading_costs_quote_units": 475.51945727421065, "borrowing_costs_quote_units": 797.8612431641867, "price_pnl_quote_units": 5184.559622870163, "turnover_quote_units": 158506.48575807016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 21421.948765432648, "return_pct": 114.21948765432646, "cagr_pct": 114.40595413758685, "max_drawdown_pct": 54.038373903422844, "mean_exposure_while_solvent": 1.2642182757303217, "realized_annual_volatility_pct": 113.9085637380586, "trading_costs_quote_units": 605.540687917163, "borrowing_costs_quote_units": 1078.8727472299067, "price_pnl_quote_units": 13106.362200579699, "turnover_quote_units": 201846.89597238778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14091.047394067056, "return_pct": 40.910473940670556, "cagr_pct": 40.96567649414368, "max_drawdown_pct": 64.72526299641466, "mean_exposure_while_solvent": 1.2474379933243567, "realized_annual_volatility_pct": 111.20054466015591, "trading_costs_quote_units": 674.0623611022462, "borrowing_costs_quote_units": 202.3535791315589, "price_pnl_quote_units": 4967.463334300859, "turnover_quote_units": 224687.45370074877, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13088.245377140567, "return_pct": 30.882453771405682, "cagr_pct": 30.922688735723682, "max_drawdown_pct": 68.25073616199882, "mean_exposure_while_solvent": 1.2898643403397552, "realized_annual_volatility_pct": 116.5081400272806, "trading_costs_quote_units": 653.3184867291686, "borrowing_costs_quote_units": 233.61381757403782, "price_pnl_quote_units": 3975.177681443763, "turnover_quote_units": 217772.82890972294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13471.157556016098, "return_pct": 34.71157556016098, "cagr_pct": 34.757425579404774, "max_drawdown_pct": 68.92644100146657, "mean_exposure_while_solvent": 1.3075472112089932, "realized_annual_volatility_pct": 117.24133779541089, "trading_costs_quote_units": 603.9261741084398, "borrowing_costs_quote_units": 249.30752448217677, "price_pnl_quote_units": 4324.391254606706, "turnover_quote_units": 201308.7247028133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17006.39890321778, "return_pct": 70.06398903217782, "cagr_pct": 70.16715502827466, "max_drawdown_pct": 58.7219203745347, "mean_exposure_while_solvent": 1.2156292487002363, "realized_annual_volatility_pct": 108.62580981122281, "trading_costs_quote_units": 546.230898473025, "borrowing_costs_quote_units": 192.5609263137217, "price_pnl_quote_units": 7745.190728004489, "turnover_quote_units": 182076.9661576751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16043.040381065177, "return_pct": 60.43040381065177, "cagr_pct": 60.517035066072665, "max_drawdown_pct": 63.107501347279474, "mean_exposure_while_solvent": 1.254334174956881, "realized_annual_volatility_pct": 113.83939769973045, "trading_costs_quote_units": 549.9700838052376, "borrowing_costs_quote_units": 221.64336688558436, "price_pnl_quote_units": 6814.653831756012, "turnover_quote_units": 183323.36126841247, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16871.46618113445, "return_pct": 68.71466181134448, "cagr_pct": 68.81547343845425, "max_drawdown_pct": 63.107501347279474, "mean_exposure_while_solvent": 1.270645012572718, "realized_annual_volatility_pct": 114.30506451781825, "trading_costs_quote_units": 495.2186251655359, "borrowing_costs_quote_units": 242.02676660647606, "price_pnl_quote_units": 7608.711572906473, "turnover_quote_units": 165072.87505517862, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17101.835772725637, "return_pct": 71.01835772725637, "cagr_pct": 71.12319635132805, "max_drawdown_pct": 58.7219203745347, "mean_exposure_while_solvent": 1.2142268106425145, "realized_annual_volatility_pct": 108.37559430268837, "trading_costs_quote_units": 546.8803125037873, "borrowing_costs_quote_units": 192.40089685023875, "price_pnl_quote_units": 7841.116982079657, "turnover_quote_units": 182293.43750126244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16133.071054817497, "return_pct": 61.330710548174984, "cagr_pct": 61.41885961941678, "max_drawdown_pct": 63.107501347279474, "mean_exposure_while_solvent": 1.2529317368991593, "realized_annual_volatility_pct": 113.60067930396609, "trading_costs_quote_units": 550.6044101361457, "borrowing_costs_quote_units": 221.5038299698902, "price_pnl_quote_units": 6905.179294923528, "turnover_quote_units": 183534.80337871512, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16966.145832335085, "return_pct": 69.66145832335084, "cagr_pct": 69.7639206787645, "max_drawdown_pct": 63.107501347279474, "mean_exposure_while_solvent": 1.269242574514996, "realized_annual_volatility_pct": 114.06730936461607, "trading_costs_quote_units": 495.5456961013834, "borrowing_costs_quote_units": 242.00161768499277, "price_pnl_quote_units": 7703.693146121477, "turnover_quote_units": 165181.89870046108, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13504.086196685996, "return_pct": 35.04086196685996, "cagr_pct": 35.08720071839602, "max_drawdown_pct": 67.43197380803059, "mean_exposure_while_solvent": 1.2424531982200406, "realized_annual_volatility_pct": 110.23744212244266, "trading_costs_quote_units": 477.50631792768576, "borrowing_costs_quote_units": 196.66106124717427, "price_pnl_quote_units": 4178.253575860863, "turnover_quote_units": 159168.77264256187, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 21274.892677572392, "return_pct": 112.74892677572393, "cagr_pct": 112.93243805346233, "max_drawdown_pct": 52.931267568412196, "mean_exposure_while_solvent": 1.2634975509836603, "realized_annual_volatility_pct": 113.7735288448491, "trading_costs_quote_units": 634.5074774611753, "borrowing_costs_quote_units": 273.9678001161965, "price_pnl_quote_units": 12183.367955149797, "turnover_quote_units": 211502.49248705842, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13916.342336514079, "return_pct": 39.16342336514078, "cagr_pct": 39.21595789735123, "max_drawdown_pct": 64.81037545147193, "mean_exposure_while_solvent": 1.2474592733169845, "realized_annual_volatility_pct": 111.2036046829392, "trading_costs_quote_units": 670.3493641396584, "borrowing_costs_quote_units": 402.1932219294492, "price_pnl_quote_units": 4988.884922583189, "turnover_quote_units": 223449.78804655286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12898.814460684978, "return_pct": 28.988144606849776, "cagr_pct": 29.0256488845676, "max_drawdown_pct": 68.36167725539937, "mean_exposure_while_solvent": 1.2898892576345262, "realized_annual_volatility_pct": 116.5119822127342, "trading_costs_quote_units": 648.9694505777309, "borrowing_costs_quote_units": 463.8481142284881, "price_pnl_quote_units": 4011.6320254911925, "turnover_quote_units": 216323.1501925768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13264.454530720903, "return_pct": 32.644545307209036, "cagr_pct": 32.68734852504377, "max_drawdown_pct": 69.0372885545091, "mean_exposure_while_solvent": 1.307573630898361, "realized_annual_volatility_pct": 117.24521981781723, "trading_costs_quote_units": 600.134804303074, "borrowing_costs_quote_units": 494.7500681907259, "price_pnl_quote_units": 4359.339403214696, "turnover_quote_units": 200044.9347676912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16822.678051063165, "return_pct": 68.22678051063164, "cagr_pct": 68.32674389363986, "max_drawdown_pct": 58.784943730535446, "mean_exposure_while_solvent": 1.215647779066665, "realized_annual_volatility_pct": 108.62811683978433, "trading_costs_quote_units": 543.6028086270945, "borrowing_costs_quote_units": 382.9316180645781, "price_pnl_quote_units": 7749.212477754851, "turnover_quote_units": 181200.93620903138, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15839.117272916475, "return_pct": 58.391172729164765, "cagr_pct": 58.47438749386884, "max_drawdown_pct": 63.1899328522643, "mean_exposure_while_solvent": 1.2543560516726147, "realized_annual_volatility_pct": 113.84249920689264, "trading_costs_quote_units": 546.5996658377804, "borrowing_costs_quote_units": 440.3219668060428, "price_pnl_quote_units": 6826.0389055603355, "turnover_quote_units": 182199.88861259338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16643.514567223523, "return_pct": 66.43514567223522, "cagr_pct": 66.53200799196092, "max_drawdown_pct": 63.1899328522643, "mean_exposure_while_solvent": 1.2706682742835778, "realized_annual_volatility_pct": 114.30811978895589, "trading_costs_quote_units": 492.4368305450261, "borrowing_costs_quote_units": 480.55900041366715, "price_pnl_quote_units": 7616.51039818226, "turnover_quote_units": 164145.61018167532, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16918.26670395648, "return_pct": 69.18266703956479, "cagr_pct": 69.28429387052452, "max_drawdown_pct": 58.784943730535446, "mean_exposure_while_solvent": 1.2142452169502986, "realized_annual_volatility_pct": 108.37786106035345, "trading_costs_quote_units": 544.2543207089486, "borrowing_costs_quote_units": 382.62494542975634, "price_pnl_quote_units": 7845.145970095238, "turnover_quote_units": 181418.10690298292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15929.11720506412, "return_pct": 59.29117205064121, "cagr_pct": 59.37589097793463, "max_drawdown_pct": 63.1899328522643, "mean_exposure_while_solvent": 1.2529534895562482, "realized_annual_volatility_pct": 113.60374443351644, "trading_costs_quote_units": 547.2348776987436, "borrowing_costs_quote_units": 440.05646952065223, "price_pnl_quote_units": 6916.408552283535, "turnover_quote_units": 182411.62589958124, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16738.08518981181, "return_pct": 67.3808518981181, "cagr_pct": 67.47934836530074, "max_drawdown_pct": 63.1899328522643, "mean_exposure_while_solvent": 1.2692657121672113, "realized_annual_volatility_pct": 114.07032832743367, "trading_costs_quote_units": 492.7642821048767, "borrowing_costs_quote_units": 480.52213520619534, "price_pnl_quote_units": 7711.3716071228955, "turnover_quote_units": 164254.7607016257, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13340.53251055202, "return_pct": 33.40532510552021, "cagr_pct": 33.44924545803555, "max_drawdown_pct": 67.59283123996194, "mean_exposure_while_solvent": 1.242474070808693, "realized_annual_volatility_pct": 110.2406155708255, "trading_costs_quote_units": 475.3582290981653, "borrowing_costs_quote_units": 391.1435643237054, "price_pnl_quote_units": 4207.034303973896, "turnover_quote_units": 158452.74303272172, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 20995.73368688463, "return_pct": 109.95733686884628, "cagr_pct": 110.13527029799293, "max_drawdown_pct": 52.97292834079672, "mean_exposure_while_solvent": 1.263520179437412, "realized_annual_volatility_pct": 113.77589219044411, "trading_costs_quote_units": 630.0942431215265, "borrowing_costs_quote_units": 543.9316505577525, "price_pnl_quote_units": 12169.759580563983, "turnover_quote_units": 210031.41437384224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13573.28790801736, "return_pct": 35.732879080173596, "cagr_pct": 35.78024792526632, "max_drawdown_pct": 64.980067978988, "mean_exposure_while_solvent": 1.2475018425432565, "realized_annual_volatility_pct": 111.2097490438857, "trading_costs_quote_units": 663.0450788920236, "borrowing_costs_quote_units": 794.4529465326757, "price_pnl_quote_units": 5030.7859334420355, "turnover_quote_units": 221015.02629734104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12528.016997914023, "return_pct": 25.280169979140222, "cagr_pct": 25.312421669512425, "max_drawdown_pct": 68.58249144257056, "mean_exposure_while_solvent": 1.2899391030575753, "realized_annual_volatility_pct": 116.51968955180203, "trading_costs_quote_units": 640.42159909122, "borrowing_costs_quote_units": 914.3682852964693, "price_pnl_quote_units": 4082.806882301731, "turnover_quote_units": 213473.86636374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12860.384358732876, "return_pct": 28.603843587328747, "cagr_pct": 28.64079775420918, "max_drawdown_pct": 69.25789168307244, "mean_exposure_while_solvent": 1.307626481756369, "realized_annual_volatility_pct": 117.25300626875372, "trading_costs_quote_units": 592.6842947796343, "borrowing_costs_quote_units": 974.2736370496204, "price_pnl_quote_units": 4427.342290562144, "turnover_quote_units": 197561.4315932114, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 232, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16461.04365976477, "return_pct": 64.61043659764772, "cagr_pct": 64.70416328864017, "max_drawdown_pct": 58.9107794097778, "mean_exposure_while_solvent": 1.2156848478318574, "realized_annual_volatility_pct": 108.63275493597178, "trading_costs_quote_units": 538.4357337072385, "borrowing_costs_quote_units": 757.1968053188742, "price_pnl_quote_units": 7756.67619879091, "turnover_quote_units": 179478.5779024129, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15438.88021502627, "return_pct": 54.38880215026272, "cagr_pct": 54.46539910595678, "max_drawdown_pct": 63.35432728208914, "mean_exposure_while_solvent": 1.2543998146099313, "realized_annual_volatility_pct": 113.84872581314913, "trading_costs_quote_units": 539.9775029113846, "borrowing_costs_quote_units": 868.9351577205512, "price_pnl_quote_units": 6847.792875658211, "turnover_quote_units": 179992.50097046155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16196.661503188174, "return_pct": 61.966615031881744, "cagr_pct": 62.05583963197186, "max_drawdown_pct": 63.35432728208914, "mean_exposure_while_solvent": 1.2707148078061814, "realized_annual_volatility_pct": 114.31425370386599, "trading_costs_quote_units": 486.97379241134973, "borrowing_costs_quote_units": 947.3306055158968, "price_pnl_quote_units": 7630.965901115448, "turnover_quote_units": 162324.59747044992, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 203, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16556.89307199583, "return_pct": 65.5689307199583, "cagr_pct": 65.66430164382, "max_drawdown_pct": 58.9107794097778, "mean_exposure_while_solvent": 1.2142820375420689, "realized_annual_volatility_pct": 108.38241863990301, "trading_costs_quote_units": 539.0910884662754, "borrowing_costs_quote_units": 756.6358040477552, "price_pnl_quote_units": 7852.619964509835, "turnover_quote_units": 179697.0294887586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15528.777771019782, "return_pct": 55.287777710197815, "cagr_pct": 55.365850869096576, "max_drawdown_pct": 63.35432728208914, "mean_exposure_while_solvent": 1.252997004320143, "realized_annual_volatility_pct": 113.60989833919753, "trading_costs_quote_units": 540.6141261681778, "borrowing_costs_quote_units": 868.456990562303, "price_pnl_quote_units": 6937.848887750255, "turnover_quote_units": 180204.70872272583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 191, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16290.971470239645, "return_pct": 62.90971470239646, "cagr_pct": 63.00053965779193, "max_drawdown_pct": 63.35432728208914, "mean_exposure_while_solvent": 1.269311997516393, "realized_annual_volatility_pct": 114.07638969304195, "trading_costs_quote_units": 487.30178551063295, "borrowing_costs_quote_units": 947.3089195959031, "price_pnl_quote_units": 7725.582175346171, "turnover_quote_units": 162433.92850354416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13019.256754891252, "return_pct": 30.19256754891253, "cagr_pct": 30.231804373120006, "max_drawdown_pct": 67.9785348666105, "mean_exposure_while_solvent": 1.2425158250608057, "realized_annual_volatility_pct": 110.24698380030469, "trading_costs_quote_units": 471.10769966675986, "borrowing_costs_quote_units": 773.6745453347465, "price_pnl_quote_units": 4264.038999892732, "turnover_quote_units": 157035.8998889199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 183, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 20448.195643989024, "return_pct": 104.48195643989023, "cagr_pct": 104.64907345556567, "max_drawdown_pct": 53.05616206113347, "mean_exposure_while_solvent": 1.2635654461579064, "realized_annual_volatility_pct": 113.78063910437106, "trading_costs_quote_units": 621.4040099700345, "borrowing_costs_quote_units": 1072.0626489761362, "price_pnl_quote_units": 12141.662302935183, "turnover_quote_units": 207134.6699900116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2021-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2021-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15854.300204732588, "return_pct": 58.54300204732588, "cagr_pct": 58.62647015399849, "max_drawdown_pct": 60.84453319333165, "mean_exposure_while_solvent": 1.236182210858186, "realized_annual_volatility_pct": 109.5557605502972, "trading_costs_quote_units": 128.75066656336926, "borrowing_costs_quote_units": 210.30702855227625, "price_pnl_quote_units": 6193.357899848222, "turnover_quote_units": 214584.4442722819, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14354.228339280795, "return_pct": 43.542283392807946, "cagr_pct": 43.60155181170617, "max_drawdown_pct": 61.67467348903253, "mean_exposure_while_solvent": 1.2500495659299937, "realized_annual_volatility_pct": 110.83285196977654, "trading_costs_quote_units": 119.74861515320126, "borrowing_costs_quote_units": 213.52140813020839, "price_pnl_quote_units": 4687.4983625641835, "turnover_quote_units": 199581.0252553353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16696.419715577398, "return_pct": 66.96419715577397, "cagr_pct": 67.06197290268159, "max_drawdown_pct": 62.62509730401139, "mean_exposure_while_solvent": 1.2897010072677058, "realized_annual_volatility_pct": 114.82039299004754, "trading_costs_quote_units": 113.71534620395622, "borrowing_costs_quote_units": 267.8650154909319, "price_pnl_quote_units": 7078.000077272294, "turnover_quote_units": 189525.57700659372, "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": 5, "trace": "binance-2021-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17019.026782949553, "return_pct": 70.19026782949554, "cagr_pct": 70.29365479100218, "max_drawdown_pct": 58.12469810829191, "mean_exposure_while_solvent": 1.2168825689090053, "realized_annual_volatility_pct": 108.5610301619125, "trading_costs_quote_units": 109.12622749036251, "borrowing_costs_quote_units": 198.0771208215717, "price_pnl_quote_units": 7326.230131261447, "turnover_quote_units": 181877.045817271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 163, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15712.05889818431, "return_pct": 57.12058898184311, "cagr_pct": 57.201690196117916, "max_drawdown_pct": 60.18714544198702, "mean_exposure_while_solvent": 1.226627353580532, "realized_annual_volatility_pct": 109.62830187995347, "trading_costs_quote_units": 105.66375748766812, "borrowing_costs_quote_units": 199.29005934399598, "price_pnl_quote_units": 6017.012715015961, "turnover_quote_units": 176106.26247944692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18740.552668722456, "return_pct": 87.40552668722457, "cagr_pct": 87.54000877579907, "max_drawdown_pct": 60.18714544198704, "mean_exposure_while_solvent": 1.2647864860418372, "realized_annual_volatility_pct": 113.33270273754516, "trading_costs_quote_units": 98.2003992924742, "borrowing_costs_quote_units": 255.57763583607806, "price_pnl_quote_units": 9094.33070385098, "turnover_quote_units": 163667.33215412384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 196, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 17364.859562422214, "return_pct": 73.64859562422214, "cagr_pct": 73.75807544210599, "max_drawdown_pct": 58.12469810829191, "mean_exposure_while_solvent": 1.2155119182266578, "realized_annual_volatility_pct": 108.34719059047049, "trading_costs_quote_units": 109.62003776258807, "borrowing_costs_quote_units": 199.82186666236038, "price_pnl_quote_units": 7674.301466847126, "turnover_quote_units": 182700.06293764667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16031.333617549653, "return_pct": 60.313336175496524, "cagr_pct": 60.399770492017744, "max_drawdown_pct": 60.18714544198702, "mean_exposure_while_solvent": 1.225256702898185, "realized_annual_volatility_pct": 109.416616000624, "trading_costs_quote_units": 106.13835209558144, "borrowing_costs_quote_units": 201.0069742130699, "price_pnl_quote_units": 6338.478943858291, "turnover_quote_units": 176897.2534926358, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 169, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19121.36747681545, "return_pct": 91.21367476815449, "cagr_pct": 91.35528586353603, "max_drawdown_pct": 60.18714544198704, "mean_exposure_while_solvent": 1.26341583535949, "realized_annual_volatility_pct": 113.12780404005893, "trading_costs_quote_units": 98.48372829742232, "borrowing_costs_quote_units": 257.9538455788521, "price_pnl_quote_units": 9477.805050691712, "turnover_quote_units": 164139.5471623705, "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, "trace": "binance-2021-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15356.059574076811, "return_pct": 53.5605957407681, "cagr_pct": 53.635838001655834, "max_drawdown_pct": 69.68355252556941, "mean_exposure_while_solvent": 1.2721662658797794, "realized_annual_volatility_pct": 113.99044112596354, "trading_costs_quote_units": 116.2988304835443, "borrowing_costs_quote_units": 238.69240462183993, "price_pnl_quote_units": 5711.050809182203, "turnover_quote_units": 193831.38413924022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 204, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 19043.77759490013, "return_pct": 90.43777594900129, "cagr_pct": 90.5779274343748, "max_drawdown_pct": 55.44671854887226, "mean_exposure_while_solvent": 1.2355133458166663, "realized_annual_volatility_pct": 109.56902219061746, "trading_costs_quote_units": 111.51310940762693, "borrowing_costs_quote_units": 219.3881369779393, "price_pnl_quote_units": 9374.67884128566, "turnover_quote_units": 185855.1823460448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15667.811468337415, "return_pct": 56.67811468337416, "cagr_pct": 56.75848261906857, "max_drawdown_pct": 60.91322821578, "mean_exposure_while_solvent": 1.2362029555391856, "realized_annual_volatility_pct": 109.55869768717716, "trading_costs_quote_units": 128.03810271119158, "borrowing_costs_quote_units": 418.0510065002661, "price_pnl_quote_units": 6213.900577548872, "turnover_quote_units": 213396.83785198617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14175.54569819195, "return_pct": 41.755456981919515, "cagr_pct": 41.81195886610017, "max_drawdown_pct": 61.769557342489954, "mean_exposure_while_solvent": 1.2500715114954144, "realized_annual_volatility_pct": 110.8361974430101, "trading_costs_quote_units": 119.08941445651409, "borrowing_costs_quote_units": 424.3221737588095, "price_pnl_quote_units": 4718.957286407298, "turnover_quote_units": 198482.3574275235, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16456.379586643503, "return_pct": 64.56379586643504, "cagr_pct": 64.65744271096483, "max_drawdown_pct": 62.720377113796985, "mean_exposure_while_solvent": 1.289726332922718, "realized_annual_volatility_pct": 114.82373724153685, "trading_costs_quote_units": 112.99737540002727, "borrowing_costs_quote_units": 531.6297233962024, "price_pnl_quote_units": 7101.006685439669, "turnover_quote_units": 188328.95900004543, "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": 5, "trace": "binance-2021-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16835.218595278366, "return_pct": 68.35218595278366, "cagr_pct": 68.45236721482767, "max_drawdown_pct": 58.18752332778079, "mean_exposure_while_solvent": 1.2169016545209175, "realized_annual_volatility_pct": 108.56366503999296, "trading_costs_quote_units": 108.59729593628558, "borrowing_costs_quote_units": 393.89917876393764, "price_pnl_quote_units": 7337.715069978612, "turnover_quote_units": 180995.4932271427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 163, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15534.656899247373, "return_pct": 55.34656899247372, "cagr_pct": 55.424738900015825, "max_drawdown_pct": 60.26090910432838, "mean_exposure_while_solvent": 1.226647284737764, "realized_annual_volatility_pct": 109.6312785590602, "trading_costs_quote_units": 105.13138897569999, "borrowing_costs_quote_units": 396.2296391314471, "price_pnl_quote_units": 6036.017927354489, "turnover_quote_units": 175218.98162616655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18494.133655133588, "return_pct": 84.9413365513359, "cagr_pct": 85.07125265019046, "max_drawdown_pct": 60.260909104328356, "mean_exposure_while_solvent": 1.2648096613702495, "realized_annual_volatility_pct": 113.33559021872634, "trading_costs_quote_units": 97.64018177121528, "borrowing_costs_quote_units": 507.48629182436895, "price_pnl_quote_units": 9099.260128729167, "turnover_quote_units": 162733.63628535875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 196, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 17178.564936595172, "return_pct": 71.78564936595173, "cagr_pct": 71.89183716677097, "max_drawdown_pct": 58.18752332778079, "mean_exposure_while_solvent": 1.215530886201843, "realized_annual_volatility_pct": 108.34973511418298, "trading_costs_quote_units": 109.08696944838368, "borrowing_costs_quote_units": 397.3744629744805, "price_pnl_quote_units": 7685.0263690180755, "turnover_quote_units": 181811.61574730623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15851.47889830742, "return_pct": 58.51478898307418, "cagr_pct": 58.59821000092074, "max_drawdown_pct": 60.26090910432838, "mean_exposure_while_solvent": 1.2252765164186896, "realized_annual_volatility_pct": 109.41950448596063, "trading_costs_quote_units": 105.6018309844596, "borrowing_costs_quote_units": 399.64792128756227, "price_pnl_quote_units": 6356.7286505794245, "turnover_quote_units": 176003.0516407659, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 169, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18871.312786510884, "return_pct": 88.71312786510883, "cagr_pct": 88.85004794397831, "max_drawdown_pct": 60.260909104328356, "mean_exposure_while_solvent": 1.263438893051175, "realized_annual_volatility_pct": 113.13060690767303, "trading_costs_quote_units": 97.91997022153627, "borrowing_costs_quote_units": 512.2088944645609, "price_pnl_quote_units": 9481.441651196994, "turnover_quote_units": 163199.95036922704, "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, "trace": "binance-2021-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15148.194742380454, "return_pct": 51.48194742380454, "cagr_pct": 51.55381221319828, "max_drawdown_pct": 69.87673459366141, "mean_exposure_while_solvent": 1.2721898894796726, "realized_annual_volatility_pct": 113.99383498041122, "trading_costs_quote_units": 115.71240234229958, "borrowing_costs_quote_units": 474.3204244993492, "price_pnl_quote_units": 5738.227569222138, "turnover_quote_units": 192854.0039038329, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 204, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18820.393515109557, "return_pct": 88.20393515109556, "cagr_pct": 88.33990461620364, "max_drawdown_pct": 55.47155784540341, "mean_exposure_while_solvent": 1.2355340298709232, "realized_annual_volatility_pct": 109.5713851605032, "trading_costs_quote_units": 110.88854300222135, "borrowing_costs_quote_units": 435.98869834497486, "price_pnl_quote_units": 9367.27075645674, "turnover_quote_units": 184814.23833703558, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15301.286985478311, "return_pct": 53.012869854783105, "cagr_pct": 53.087219007411534, "max_drawdown_pct": 61.05029480035211, "mean_exposure_while_solvent": 1.2362444543950233, "realized_annual_volatility_pct": 109.56459319518702, "trading_costs_quote_units": 126.63118611899561, "borrowing_costs_quote_units": 825.9700881745357, "price_pnl_quote_units": 6253.88825977183, "turnover_quote_units": 211051.9768649927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13824.728089312153, "return_pct": 38.24728089312153, "cagr_pct": 38.29842633866251, "max_drawdown_pct": 61.95867345561885, "mean_exposure_while_solvent": 1.2501154126504268, "realized_annual_volatility_pct": 110.84290973284342, "trading_costs_quote_units": 117.78791610919355, "borrowing_costs_quote_units": 837.8960532436292, "price_pnl_quote_units": 4780.412058664989, "turnover_quote_units": 196313.19351532237, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15986.46931912123, "return_pct": 59.864693191212304, "cagr_pct": 59.9503736770947, "max_drawdown_pct": 62.910261439247606, "mean_exposure_while_solvent": 1.2897769957175376, "realized_annual_volatility_pct": 114.83044589138078, "trading_costs_quote_units": 111.58710403722593, "borrowing_costs_quote_units": 1047.096024233492, "price_pnl_quote_units": 7145.152447391972, "turnover_quote_units": 185978.50672870994, "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": 5, "trace": "binance-2021-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16473.435263859712, "return_pct": 64.73435263859713, "cagr_pct": 64.82829154072236, "max_drawdown_pct": 58.3129262137181, "mean_exposure_while_solvent": 1.2169398345145055, "realized_annual_volatility_pct": 108.5689556969375, "trading_costs_quote_units": 107.55187398640757, "borrowing_costs_quote_units": 778.875982249909, "price_pnl_quote_units": 7359.863120096008, "turnover_quote_units": 179253.1233106793, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 163, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15185.742045321722, "return_pct": 51.857420453217216, "cagr_pct": 51.92989292465447, "max_drawdown_pct": 60.40806775039085, "mean_exposure_while_solvent": 1.2266871561961494, "realized_annual_volatility_pct": 109.63725302364098, "trading_costs_quote_units": 104.07959788517037, "borrowing_costs_quote_units": 783.1637632564231, "price_pnl_quote_units": 6072.985406463305, "turnover_quote_units": 173465.99647528408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18010.835495576004, "return_pct": 80.10835495576005, "cagr_pct": 80.2294254115425, "max_drawdown_pct": 60.408067750390934, "mean_exposure_while_solvent": 1.2648560225678238, "realized_annual_volatility_pct": 113.34138570650387, "trading_costs_quote_units": 96.54033974999263, "borrowing_costs_quote_units": 1000.4938767614469, "price_pnl_quote_units": 9107.869712087422, "turnover_quote_units": 160900.56624998787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 196, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16811.847712963554, "return_pct": 68.11847712963555, "cagr_pct": 68.21825243274202, "max_drawdown_pct": 58.3129262137181, "mean_exposure_while_solvent": 1.2155688308703734, "realized_annual_volatility_pct": 108.3548449771136, "trading_costs_quote_units": 108.03333974025165, "borrowing_costs_quote_units": 785.7697738498238, "price_pnl_quote_units": 7705.650826553696, "turnover_quote_units": 180055.56623375282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15497.701516719377, "return_pct": 54.97701516719378, "cagr_pct": 55.054577349452586, "max_drawdown_pct": 60.40806775039085, "mean_exposure_while_solvent": 1.2253161525520173, "realized_annual_volatility_pct": 109.42530248940183, "trading_costs_quote_units": 104.54180696196015, "borrowing_costs_quote_units": 789.9382755271989, "price_pnl_quote_units": 6392.181599208531, "turnover_quote_units": 174236.34493660022, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 169, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18380.83063337436, "return_pct": 83.80830633374362, "cagr_pct": 83.9361355765589, "max_drawdown_pct": 60.408067750390934, "mean_exposure_while_solvent": 1.2634850189236917, "realized_annual_volatility_pct": 113.1362331281044, "trading_costs_quote_units": 96.8132599910053, "borrowing_costs_quote_units": 1009.820588581616, "price_pnl_quote_units": 9487.46448194701, "turnover_quote_units": 161355.43331834232, "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, "trace": "binance-2021-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14740.751449468853, "return_pct": 47.40751449468854, "cagr_pct": 47.47285406493211, "max_drawdown_pct": 70.25952110894231, "mean_exposure_while_solvent": 1.2722371472238292, "realized_annual_volatility_pct": 114.0006438469619, "trading_costs_quote_units": 114.56066635257572, "borrowing_costs_quote_units": 936.542468892997, "price_pnl_quote_units": 5791.854584714446, "turnover_quote_units": 190934.44392095963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 204, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 18381.32903314159, "return_pct": 83.81329033141589, "cagr_pct": 83.94112873647582, "max_drawdown_pct": 55.52121247446896, "mean_exposure_while_solvent": 1.235575407461944, "realized_annual_volatility_pct": 109.57613221883065, "trading_costs_quote_units": 109.66125920423094, "borrowing_costs_quote_units": 860.9599010941163, "price_pnl_quote_units": 9351.950193439887, "turnover_quote_units": 182768.7653403849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15745.096467704067, "return_pct": 57.45096467704067, "cagr_pct": 57.532614327245504, "max_drawdown_pct": 61.75040613623166, "mean_exposure_while_solvent": 1.2348056447615832, "realized_annual_volatility_pct": 109.56491275097815, "trading_costs_quote_units": 128.27157636128993, "borrowing_costs_quote_units": 204.1866581286, "price_pnl_quote_units": 6077.55470219393, "turnover_quote_units": 213785.96060214977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14513.504581159379, "return_pct": 45.1350458115938, "cagr_pct": 45.1968017544016, "max_drawdown_pct": 62.55282873884479, "mean_exposure_while_solvent": 1.2483938975193976, "realized_annual_volatility_pct": 110.89861136207429, "trading_costs_quote_units": 122.14792655589508, "borrowing_costs_quote_units": 210.28333694824772, "price_pnl_quote_units": 4845.935844663491, "turnover_quote_units": 203579.87759315837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16255.399782913324, "return_pct": 62.553997829133245, "cagr_pct": 62.64421842940307, "max_drawdown_pct": 63.32156052054901, "mean_exposure_while_solvent": 1.2880002733929643, "realized_annual_volatility_pct": 114.69381801181677, "trading_costs_quote_units": 115.28533087529635, "borrowing_costs_quote_units": 259.52205250472383, "price_pnl_quote_units": 6630.207166293285, "turnover_quote_units": 192142.21812549382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 217, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17535.06709981195, "return_pct": 75.3506709981195, "cagr_pct": 75.46317855380462, "max_drawdown_pct": 58.43110073533302, "mean_exposure_while_solvent": 1.2154660379929956, "realized_annual_volatility_pct": 108.46204427406818, "trading_costs_quote_units": 111.10640645273587, "borrowing_costs_quote_units": 196.60354987093402, "price_pnl_quote_units": 7842.777056135591, "turnover_quote_units": 185177.34408789326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16434.81068959791, "return_pct": 64.34810689597911, "cagr_pct": 64.44138468915199, "max_drawdown_pct": 59.73023497713852, "mean_exposure_while_solvent": 1.2253253576004162, "realized_annual_volatility_pct": 109.58815899754981, "trading_costs_quote_units": 110.35239822910279, "borrowing_costs_quote_units": 200.7315787006278, "price_pnl_quote_units": 6745.894666527627, "turnover_quote_units": 183920.66371517113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18793.09172507853, "return_pct": 87.93091725078533, "cagr_pct": 88.06637766666667, "max_drawdown_pct": 59.73023497713852, "mean_exposure_while_solvent": 1.2635572661964642, "realized_annual_volatility_pct": 113.14719241709533, "trading_costs_quote_units": 102.10424436153242, "borrowing_costs_quote_units": 252.81644234102225, "price_pnl_quote_units": 9148.012411781076, "turnover_quote_units": 170173.7406025541, "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, "trace": "binance-2021-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17631.034166124817, "return_pct": 76.31034166124817, "cagr_pct": 76.42456467287093, "max_drawdown_pct": 58.43110073533302, "mean_exposure_while_solvent": 1.2140612761555158, "realized_annual_volatility_pct": 108.20582237840873, "trading_costs_quote_units": 111.23647286878655, "borrowing_costs_quote_units": 196.42526091959414, "price_pnl_quote_units": 7938.695899913174, "turnover_quote_units": 185394.12144797738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16524.756200402648, "return_pct": 65.24756200402648, "cagr_pct": 65.34238093202866, "max_drawdown_pct": 59.73023497713852, "mean_exposure_while_solvent": 1.2239205957629364, "realized_annual_volatility_pct": 109.33459108321779, "trading_costs_quote_units": 110.47873506885831, "borrowing_costs_quote_units": 200.57527897013338, "price_pnl_quote_units": 6835.810214441628, "turnover_quote_units": 184131.22511476383, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18895.94379114354, "return_pct": 88.95943791143542, "cagr_pct": 89.09681839184908, "max_drawdown_pct": 59.73023497713852, "mean_exposure_while_solvent": 1.2621525043589843, "realized_annual_volatility_pct": 112.90158815473485, "trading_costs_quote_units": 102.17504067513535, "borrowing_costs_quote_units": 252.76994576618736, "price_pnl_quote_units": 9250.888777584863, "turnover_quote_units": 170291.7344585588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13940.212381035486, "return_pct": 39.40212381035486, "cagr_pct": 39.455021403074824, "max_drawdown_pct": 69.6445313682576, "mean_exposure_while_solvent": 1.2714711983596962, "realized_annual_volatility_pct": 114.01231560470775, "trading_costs_quote_units": 114.09161601556055, "borrowing_costs_quote_units": 225.7727400114612, "price_pnl_quote_units": 4280.076737062468, "turnover_quote_units": 190152.69335926772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18724.297564003457, "return_pct": 87.24297564003456, "cagr_pct": 87.37715538421995, "max_drawdown_pct": 54.408674188792496, "mean_exposure_while_solvent": 1.234598526783824, "realized_annual_volatility_pct": 110.42701997751298, "trading_costs_quote_units": 116.79260428105084, "borrowing_costs_quote_units": 223.43031739518742, "price_pnl_quote_units": 9064.520485679657, "turnover_quote_units": 194654.34046841797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15559.76388760772, "return_pct": 55.597638876077205, "cagr_pct": 55.676222237844364, "max_drawdown_pct": 61.8185298712158, "mean_exposure_while_solvent": 1.2348257868101156, "realized_annual_volatility_pct": 109.5676672077752, "trading_costs_quote_units": 127.56421012339247, "borrowing_costs_quote_units": 405.8951010314845, "price_pnl_quote_units": 6093.223198762617, "turnover_quote_units": 212607.01687232094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 14333.12607639227, "return_pct": 43.331260763922685, "cagr_pct": 43.39020112640041, "max_drawdown_pct": 62.64659287904075, "mean_exposure_while_solvent": 1.2484151948161908, "realized_annual_volatility_pct": 110.90171652101766, "trading_costs_quote_units": 121.48123012515451, "borrowing_costs_quote_units": 417.89390657821804, "price_pnl_quote_units": 4872.501213095625, "turnover_quote_units": 202468.71687525738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16021.890302632652, "return_pct": 60.21890302632651, "cagr_pct": 60.30517855243289, "max_drawdown_pct": 63.41606389558706, "mean_exposure_while_solvent": 1.2880249437729028, "realized_annual_volatility_pct": 114.69711335296986, "trading_costs_quote_units": 114.56824284568852, "borrowing_costs_quote_units": 515.0899354116367, "price_pnl_quote_units": 6651.548480889932, "turnover_quote_units": 190947.0714094808, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 217, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17345.670292915078, "return_pct": 73.45670292915078, "cagr_pct": 73.5658425924229, "max_drawdown_pct": 58.494511960047156, "mean_exposure_while_solvent": 1.2154845128663625, "realized_annual_volatility_pct": 108.46435957844346, "trading_costs_quote_units": 110.56823428057932, "borrowing_costs_quote_units": 390.9641750171746, "price_pnl_quote_units": 7847.202702212871, "turnover_quote_units": 184280.39046763224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16249.286378275456, "return_pct": 62.49286378275456, "cagr_pct": 62.58298060724741, "max_drawdown_pct": 59.80570112797612, "mean_exposure_while_solvent": 1.2253446962124201, "realized_annual_volatility_pct": 109.59077753182171, "trading_costs_quote_units": 109.79777748024021, "borrowing_costs_quote_units": 399.08319131585205, "price_pnl_quote_units": 6758.167347071571, "turnover_quote_units": 182996.2958004004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18545.857442410514, "return_pct": 85.45857442410514, "cagr_pct": 85.58944583375998, "max_drawdown_pct": 59.80570112797607, "mean_exposure_while_solvent": 1.2635798603658963, "realized_annual_volatility_pct": 113.1499280594625, "trading_costs_quote_units": 101.52740598110157, "borrowing_costs_quote_units": 501.99530630051555, "price_pnl_quote_units": 9149.380154692171, "turnover_quote_units": 169212.34330183567, "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, "trace": "binance-2021-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 17441.815366977942, "return_pct": 74.41815366977941, "cagr_pct": 74.5290000635242, "max_drawdown_pct": 58.494511960047156, "mean_exposure_while_solvent": 1.2140796267742084, "realized_annual_volatility_pct": 108.20809609435098, "trading_costs_quote_units": 110.6987643364472, "borrowing_costs_quote_units": 390.62148356197156, "price_pnl_quote_units": 7943.135614876362, "turnover_quote_units": 184497.94056074542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16339.354321221741, "return_pct": 63.393543212217416, "cagr_pct": 63.48519160744661, "max_drawdown_pct": 59.80570112797612, "mean_exposure_while_solvent": 1.223939810120266, "realized_annual_volatility_pct": 109.33716941120255, "trading_costs_quote_units": 109.9245147084545, "borrowing_costs_quote_units": 398.78421036124416, "price_pnl_quote_units": 6848.063046291469, "turnover_quote_units": 183207.5245140907, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18648.655017093308, "return_pct": 86.48655017093307, "cagr_pct": 86.61932509250336, "max_drawdown_pct": 59.80570112797607, "mean_exposure_while_solvent": 1.2621749742737423, "realized_annual_volatility_pct": 112.90428497658031, "trading_costs_quote_units": 101.59833796598686, "borrowing_costs_quote_units": 501.9174968326989, "price_pnl_quote_units": 9252.170851892055, "turnover_quote_units": 169330.56327664468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13751.618613879307, "return_pct": 37.51618613879308, "cagr_pct": 37.56622805306395, "max_drawdown_pct": 69.83708961792343, "mean_exposure_while_solvent": 1.2714945356976106, "realized_annual_volatility_pct": 114.0158711623103, "trading_costs_quote_units": 113.51332215084501, "borrowing_costs_quote_units": 448.689303146507, "price_pnl_quote_units": 4313.821239176644, "turnover_quote_units": 189188.8702514083, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18504.576719256547, "return_pct": 85.04576719256546, "cagr_pct": 85.1758760360469, "max_drawdown_pct": 54.433718496017455, "mean_exposure_while_solvent": 1.2346186350117185, "realized_annual_volatility_pct": 110.42949845144877, "trading_costs_quote_units": 116.13692527725036, "borrowing_costs_quote_units": 444.00516694501374, "price_pnl_quote_units": 9064.71881147883, "turnover_quote_units": 193561.54212875062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15195.518942393344, "return_pct": 51.95518942393345, "cagr_pct": 52.02782030334079, "max_drawdown_pct": 61.95445164173733, "mean_exposure_while_solvent": 1.2348660796344877, "realized_annual_volatility_pct": 109.57319795929132, "trading_costs_quote_units": 126.16686739168817, "borrowing_costs_quote_units": 801.9937687765521, "price_pnl_quote_units": 6123.67957856157, "turnover_quote_units": 210278.1123194802, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13978.970869774896, "return_pct": 39.789708697748964, "cagr_pct": 39.84319679792432, "max_drawdown_pct": 62.83346957132407, "mean_exposure_while_solvent": 1.248457798642803, "realized_annual_volatility_pct": 110.90794850571662, "trading_costs_quote_units": 120.16413642990821, "borrowing_costs_quote_units": 825.2287125097107, "price_pnl_quote_units": 4924.363718714574, "turnover_quote_units": 200273.5607165135, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15564.762983533883, "return_pct": 55.64762983533884, "cagr_pct": 55.726295576041565, "max_drawdown_pct": 63.60439335639199, "mean_exposure_while_solvent": 1.2880742952204707, "realized_annual_volatility_pct": 114.70372470306107, "trading_costs_quote_units": 113.15316025313422, "borrowing_costs_quote_units": 1014.5923520375042, "price_pnl_quote_units": 6692.5084958245125, "turnover_quote_units": 188588.60042189015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 217, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16972.890640429727, "return_pct": 69.72890640429728, "cagr_pct": 69.83148658567488, "max_drawdown_pct": 58.62107998789833, "mean_exposure_while_solvent": 1.215521470609809, "realized_annual_volatility_pct": 108.46901159298936, "trading_costs_quote_units": 109.50389260672057, "borrowing_costs_quote_units": 773.0542649474595, "price_pnl_quote_units": 7855.448797983857, "turnover_quote_units": 182506.48767786755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15884.398136134683, "return_pct": 58.843981361346835, "cagr_pct": 58.92795217278479, "max_drawdown_pct": 59.95625162419906, "mean_exposure_while_solvent": 1.2253833818196678, "realized_annual_volatility_pct": 109.59603603756673, "trading_costs_quote_units": 108.70129432597047, "borrowing_costs_quote_units": 788.7546279612988, "price_pnl_quote_units": 6781.85405842193, "turnover_quote_units": 181168.82387661736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18060.972605803996, "return_pct": 80.60972605803995, "cagr_pct": 80.73170732548856, "max_drawdown_pct": 59.956251624199005, "mean_exposure_while_solvent": 1.2636250584919397, "realized_annual_volatility_pct": 113.15542029761365, "trading_costs_quote_units": 100.38791919306195, "borrowing_costs_quote_units": 989.6362753406037, "price_pnl_quote_units": 9150.996800337642, "turnover_quote_units": 167313.19865510325, "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, "trace": "binance-2021-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17069.347240565785, "return_pct": 70.69347240565784, "cagr_pct": 70.79774094946391, "max_drawdown_pct": 58.62107998789833, "mean_exposure_while_solvent": 1.2141163359520841, "realized_annual_volatility_pct": 108.21266495092215, "trading_costs_quote_units": 109.63526459304859, "borrowing_costs_quote_units": 772.4231912850386, "price_pnl_quote_units": 7951.405696443872, "turnover_quote_units": 182725.44098841422, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15974.668855005018, "return_pct": 59.74668855005019, "cagr_pct": 59.83217099817644, "max_drawdown_pct": 59.95625162419906, "mean_exposure_while_solvent": 1.223978247161943, "realized_annual_volatility_pct": 109.34234753198882, "trading_costs_quote_units": 108.82874861154899, "borrowing_costs_quote_units": 788.2098563297618, "price_pnl_quote_units": 6871.707459946357, "turnover_quote_units": 181381.24768591492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18163.612754121248, "return_pct": 81.63612754121247, "cagr_pct": 81.7599783745686, "max_drawdown_pct": 59.956251624199005, "mean_exposure_while_solvent": 1.2622199238342149, "realized_annual_volatility_pct": 112.909699630254, "trading_costs_quote_units": 100.45906036007244, "borrowing_costs_quote_units": 989.5395698320408, "price_pnl_quote_units": 9253.611384313332, "turnover_quote_units": 167431.76726678727, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13381.95097438068, "return_pct": 33.81950974380678, "cagr_pct": 33.86404037608442, "max_drawdown_pct": 70.21865356170507, "mean_exposure_while_solvent": 1.2715412205169219, "realized_annual_volatility_pct": 114.02300291538579, "trading_costs_quote_units": 112.3702033931749, "borrowing_costs_quote_units": 886.1010228704009, "price_pnl_quote_units": 4380.4222006442415, "turnover_quote_units": 187283.6723219581, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 18072.72300682307, "return_pct": 80.72723006823071, "cagr_pct": 80.84942502886993, "max_drawdown_pct": 54.48377944902778, "mean_exposure_while_solvent": 1.23465886017504, "realized_annual_volatility_pct": 110.43447658058822, "trading_costs_quote_units": 114.8417346837614, "borrowing_costs_quote_units": 876.7248561765961, "price_pnl_quote_units": 9064.289597683444, "turnover_quote_units": 191402.8911396023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15372.57543278143, "return_pct": 53.7257543278143, "cagr_pct": 53.80126633111069, "max_drawdown_pct": 61.1300362370289, "mean_exposure_while_solvent": 1.236182210858186, "realized_annual_volatility_pct": 109.5528524608017, "trading_costs_quote_units": 633.0561777313457, "borrowing_costs_quote_units": 206.51252813387504, "price_pnl_quote_units": 6212.144138646668, "turnover_quote_units": 211018.7259104486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13928.808484384848, "return_pct": 39.288084843848495, "cagr_pct": 39.340808926298095, "max_drawdown_pct": 62.067114091428024, "mean_exposure_while_solvent": 1.2500495659299937, "realized_annual_volatility_pct": 110.8348477691477, "trading_costs_quote_units": 589.0174873249199, "borrowing_costs_quote_units": 209.65969091655302, "price_pnl_quote_units": 4727.485662626314, "turnover_quote_units": 196339.16244164004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16257.00013888806, "return_pct": 62.570001388880584, "cagr_pct": 62.66024915972936, "max_drawdown_pct": 63.01120763126982, "mean_exposure_while_solvent": 1.2897010072677058, "realized_annual_volatility_pct": 114.81109133183006, "trading_costs_quote_units": 560.4109820442392, "borrowing_costs_quote_units": 263.4319543958819, "price_pnl_quote_units": 7080.84307532815, "turnover_quote_units": 186803.66068141276, "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": 5, "trace": "binance-2021-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16593.367195221865, "return_pct": 65.93367195221865, "cagr_pct": 66.02967023483643, "max_drawdown_pct": 58.424395130247554, "mean_exposure_while_solvent": 1.2168825689090053, "realized_annual_volatility_pct": 108.55417336107804, "trading_costs_quote_units": 537.8879123790957, "borrowing_costs_quote_units": 194.8842329889752, "price_pnl_quote_units": 7326.139340589916, "turnover_quote_units": 179295.9707930317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 163, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15313.733772381165, "return_pct": 53.13733772381166, "cagr_pct": 53.21188963402397, "max_drawdown_pct": 60.479729526008484, "mean_exposure_while_solvent": 1.226627353580532, "realized_annual_volatility_pct": 109.6249972261967, "trading_costs_quote_units": 520.8066668136044, "borrowing_costs_quote_units": 196.0888573118259, "price_pnl_quote_units": 6030.629296506651, "turnover_quote_units": 173602.22227120146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18329.611808045207, "return_pct": 83.29611808045208, "cagr_pct": 83.42300657618628, "max_drawdown_pct": 60.47972952600848, "mean_exposure_while_solvent": 1.2647864860418372, "realized_annual_volatility_pct": 113.33029483555154, "trading_costs_quote_units": 484.96373063877434, "borrowing_costs_quote_units": 251.84001960691057, "price_pnl_quote_units": 9066.415558290868, "turnover_quote_units": 161654.5768795916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 196, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 16931.794633581067, "return_pct": 69.31794633581067, "cagr_pct": 69.41980908172103, "max_drawdown_pct": 58.424395130247554, "mean_exposure_while_solvent": 1.2155119182266578, "realized_annual_volatility_pct": 108.35021196761123, "trading_costs_quote_units": 540.3105473120331, "borrowing_costs_quote_units": 196.60150108748675, "price_pnl_quote_units": 7668.7066819806, "turnover_quote_units": 180103.51577067768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 15626.062646402297, "return_pct": 56.26062646402297, "cagr_pct": 56.3403038392581, "max_drawdown_pct": 60.479729526008484, "mean_exposure_while_solvent": 1.225256702898185, "realized_annual_volatility_pct": 109.423100214188, "trading_costs_quote_units": 523.1345135298847, "borrowing_costs_quote_units": 197.77814464394484, "price_pnl_quote_units": 6346.97530457611, "turnover_quote_units": 174378.17117662827, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 169, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18703.45055320974, "return_pct": 87.0345055320974, "cagr_pct": 87.16829775894195, "max_drawdown_pct": 60.47972952600848, "mean_exposure_while_solvent": 1.26341583535949, "realized_annual_volatility_pct": 113.13486222585848, "trading_costs_quote_units": 486.3575877974597, "borrowing_costs_quote_units": 254.18154480860116, "price_pnl_quote_units": 9443.98968581578, "turnover_quote_units": 162119.19593248673, "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, "trace": "binance-2021-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 14965.272170877019, "return_pct": 49.65272170877017, "cagr_pct": 49.7216412751399, "max_drawdown_pct": 69.90777362595166, "mean_exposure_while_solvent": 1.2721662658797794, "realized_annual_volatility_pct": 113.9808449958049, "trading_costs_quote_units": 573.6363051509492, "borrowing_costs_quote_units": 234.91808104407892, "price_pnl_quote_units": 5773.826557072054, "turnover_quote_units": 191212.10171698304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 204, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 18570.640544987913, "return_pct": 85.70640544987913, "cagr_pct": 85.83773517541321, "max_drawdown_pct": 55.563898952287126, "mean_exposure_while_solvent": 1.2355133458166663, "realized_annual_volatility_pct": 109.58468931288753, "trading_costs_quote_units": 549.6183562568709, "borrowing_costs_quote_units": 215.8985039102061, "price_pnl_quote_units": 9336.157405155014, "turnover_quote_units": 183206.11875229044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15191.69117352192, "return_pct": 51.916911735219195, "cagr_pct": 51.98948058749062, "max_drawdown_pct": 61.198351130262715, "mean_exposure_while_solvent": 1.2362029555391856, "realized_annual_volatility_pct": 109.55582638316419, "trading_costs_quote_units": 629.5745874762495, "borrowing_costs_quote_units": 410.51683083730865, "price_pnl_quote_units": 6231.78259183545, "turnover_quote_units": 209858.19582541645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13755.353454346789, "return_pct": 37.55353454346788, "cagr_pct": 37.603632724726545, "max_drawdown_pct": 62.161197335370865, "mean_exposure_while_solvent": 1.2500715114954144, "realized_annual_volatility_pct": 110.83822957518599, "trading_costs_quote_units": 585.7956867950569, "borrowing_costs_quote_units": 416.657480281099, "price_pnl_quote_units": 4757.806621422955, "turnover_quote_units": 195265.2289316856, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16023.211255600198, "return_pct": 60.23211255600198, "cagr_pct": 60.31841029025322, "max_drawdown_pct": 63.10567992664045, "mean_exposure_while_solvent": 1.289726332922718, "realized_annual_volatility_pct": 114.81447116403139, "trading_costs_quote_units": 556.8921899421259, "borrowing_costs_quote_units": 522.8447814837776, "price_pnl_quote_units": 7102.948227026097, "turnover_quote_units": 185630.72998070874, "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": 5, "trace": "binance-2021-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16414.117192914993, "return_pct": 64.14117192914995, "cagr_pct": 64.23409595375583, "max_drawdown_pct": 58.48688796002086, "mean_exposure_while_solvent": 1.2169016545209175, "realized_annual_volatility_pct": 108.55684287817884, "trading_costs_quote_units": 535.29549789601, "borrowing_costs_quote_units": 387.5556620121297, "price_pnl_quote_units": 7336.968352823157, "turnover_quote_units": 178431.83263200335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 163, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15140.78038258737, "return_pct": 51.407803825873714, "cagr_pct": 51.47954874379821, "max_drawdown_pct": 60.55309409828822, "mean_exposure_while_solvent": 1.226647284737764, "realized_annual_volatility_pct": 109.62800922082803, "trading_costs_quote_units": 518.1975022478015, "borrowing_costs_quote_units": 389.8713728705816, "price_pnl_quote_units": 6048.849257705742, "turnover_quote_units": 172732.50074926717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18088.55766341953, "return_pct": 80.88557663419532, "cagr_pct": 81.00805970269003, "max_drawdown_pct": 60.55309409828826, "mean_exposure_while_solvent": 1.2648096613702495, "realized_annual_volatility_pct": 113.33321916548331, "trading_costs_quote_units": 482.21045675360864, "borrowing_costs_quote_units": 500.0739351367982, "price_pnl_quote_units": 9070.842055310026, "turnover_quote_units": 160736.81891786962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 196, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 16750.110727074345, "return_pct": 67.50110727074346, "cagr_pct": 67.59981197383, "max_drawdown_pct": 58.48688796002086, "mean_exposure_while_solvent": 1.215530886201843, "realized_annual_volatility_pct": 108.35279054878768, "trading_costs_quote_units": 537.6978549983123, "borrowing_costs_quote_units": 390.97622446552504, "price_pnl_quote_units": 7678.78480653826, "turnover_quote_units": 179232.6183327708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 15450.70897947056, "return_pct": 54.5070897947056, "cagr_pct": 54.58388064857025, "max_drawdown_pct": 60.55309409828822, "mean_exposure_while_solvent": 1.2252765164186896, "realized_annual_volatility_pct": 109.42602341834595, "trading_costs_quote_units": 520.5049959354246, "borrowing_costs_quote_units": 393.2346582579074, "price_pnl_quote_units": 6364.4486336639, "turnover_quote_units": 173501.66531180817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 169, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18458.82664260059, "return_pct": 84.5882664260059, "cagr_pct": 84.71753137339333, "max_drawdown_pct": 60.55309409828826, "mean_exposure_while_solvent": 1.263438893051175, "realized_annual_volatility_pct": 113.13770137429584, "trading_costs_quote_units": 483.586929300619, "borrowing_costs_quote_units": 504.7276152640991, "price_pnl_quote_units": 9447.141187165347, "turnover_quote_units": 161195.64310020633, "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, "trace": "binance-2021-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 14762.622496408625, "return_pct": 47.62622496408626, "cagr_pct": 47.69191155927658, "max_drawdown_pct": 70.0996857640246, "mean_exposure_while_solvent": 1.2721898894796726, "realized_annual_volatility_pct": 113.98427405544341, "trading_costs_quote_units": 570.7614416866544, "borrowing_costs_quote_units": 466.8313978385786, "price_pnl_quote_units": 5800.215335933807, "turnover_quote_units": 190253.81389555128, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 204, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 18352.772236894452, "return_pct": 83.52772236894452, "cagr_pct": 83.65503605466242, "max_drawdown_pct": 55.58874272903485, "mean_exposure_while_solvent": 1.2355340298709232, "realized_annual_volatility_pct": 109.5870848863192, "trading_costs_quote_units": 546.5563749784291, "borrowing_costs_quote_units": 429.0611119172508, "price_pnl_quote_units": 9328.389723790104, "turnover_quote_units": 182185.45832614318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14836.182204715564, "return_pct": 48.36182204715564, "cagr_pct": 48.42867852081846, "max_drawdown_pct": 61.334658639124385, "mean_exposure_while_solvent": 1.2362444543950233, "realized_annual_volatility_pct": 109.56179533404986, "trading_costs_quote_units": 622.7001464296405, "borrowing_costs_quote_units": 811.11829289807, "price_pnl_quote_units": 6270.000644043255, "turnover_quote_units": 207566.7154765468, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13414.800507208955, "return_pct": 34.148005072089546, "cagr_pct": 34.193020768157716, "max_drawdown_pct": 62.34871649720473, "mean_exposure_while_solvent": 1.2501154126504268, "realized_annual_volatility_pct": 110.84501440518287, "trading_costs_quote_units": 579.4344625258261, "borrowing_costs_quote_units": 822.7985319730267, "price_pnl_quote_units": 4817.033501707764, "turnover_quote_units": 193144.82084194213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15565.525256834091, "return_pct": 55.65525256834092, "cagr_pct": 55.73393087198155, "max_drawdown_pct": 63.29395363517038, "mean_exposure_while_solvent": 1.2897769957175376, "realized_annual_volatility_pct": 114.82125119219202, "trading_costs_quote_units": 549.9799408181202, "borrowing_costs_quote_units": 1029.8456666554653, "price_pnl_quote_units": 7145.350864307681, "turnover_quote_units": 183326.6469393734, "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": 5, "trace": "binance-2021-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16061.305024689624, "return_pct": 60.61305024689623, "cagr_pct": 60.69998895735198, "max_drawdown_pct": 58.61162687533301, "mean_exposure_while_solvent": 1.2169398345145055, "realized_annual_volatility_pct": 108.56220267475712, "trading_costs_quote_units": 530.1714929059164, "borrowing_costs_quote_units": 766.3560349622047, "price_pnl_quote_units": 7357.832552557741, "turnover_quote_units": 176723.83096863882, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 163, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14800.615037746225, "return_pct": 48.006150377462255, "cagr_pct": 48.07244067600489, "max_drawdown_pct": 60.69945579629435, "mean_exposure_while_solvent": 1.2266871561961494, "realized_annual_volatility_pct": 109.6340541825261, "trading_costs_quote_units": 513.0424668159684, "borrowing_costs_quote_units": 770.6216588011839, "price_pnl_quote_units": 6084.2791633633615, "turnover_quote_units": 171014.15560532283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17615.764730272025, "return_pct": 76.15764730272025, "cagr_pct": 76.2715969654302, "max_drawdown_pct": 60.699455796294345, "mean_exposure_while_solvent": 1.2648560225678238, "realized_annual_volatility_pct": 113.33908856811262, "trading_costs_quote_units": 476.8047816775482, "borrowing_costs_quote_units": 985.916937471644, "price_pnl_quote_units": 9078.486449421207, "turnover_quote_units": 158934.92722584956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 196, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 16392.468892587076, "return_pct": 63.924688925870754, "cagr_pct": 64.01724317837076, "max_drawdown_pct": 58.61162687533301, "mean_exposure_while_solvent": 1.2155688308703734, "realized_annual_volatility_pct": 108.35796838484877, "trading_costs_quote_units": 532.5336163456507, "borrowing_costs_quote_units": 773.1413161390255, "price_pnl_quote_units": 7698.1438250717, "turnover_quote_units": 177511.2054485501, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 162, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 15105.785066932882, "return_pct": 51.05785066932882, "cagr_pct": 51.129030362388114, "max_drawdown_pct": 60.69945579629435, "mean_exposure_while_solvent": 1.2253161525520173, "realized_annual_volatility_pct": 109.43189072221682, "trading_costs_quote_units": 515.30960833483, "borrowing_costs_quote_units": 777.2872075820497, "price_pnl_quote_units": 6398.38188284975, "turnover_quote_units": 171769.86944494335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 169, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17978.979598246944, "return_pct": 79.78979598246944, "cagr_pct": 79.9102885600786, "max_drawdown_pct": 60.699455796294345, "mean_exposure_while_solvent": 1.2634850189236917, "realized_annual_volatility_pct": 113.14340037213873, "trading_costs_quote_units": 478.1475297872174, "borrowing_costs_quote_units": 995.1075751306987, "price_pnl_quote_units": 9452.234703164853, "turnover_quote_units": 159382.50992907232, "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, "trace": "binance-2021-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 14365.383976135021, "return_pct": 43.6538397613502, "cagr_pct": 43.713281749531696, "max_drawdown_pct": 70.47995296991685, "mean_exposure_while_solvent": 1.2722371472238292, "realized_annual_volatility_pct": 113.99115394243924, "trading_costs_quote_units": 565.1148535060435, "borrowing_costs_quote_units": 921.7992407627023, "price_pnl_quote_units": 5852.298070403782, "turnover_quote_units": 188371.6178353479, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 204, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 17924.531615554726, "return_pct": 79.24531615554726, "cagr_pct": 79.3648225217283, "max_drawdown_pct": 55.63840622089145, "mean_exposure_while_solvent": 1.235575407461944, "realized_annual_volatility_pct": 109.59189736971031, "trading_costs_quote_units": 540.5391874422392, "borrowing_costs_quote_units": 847.3087401565998, "price_pnl_quote_units": 9312.379543153565, "turnover_quote_units": 180179.729147413, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 177, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15258.901345235723, "return_pct": 52.58901345235722, "cagr_pct": 52.66267301418901, "max_drawdown_pct": 62.04082898723806, "mean_exposure_while_solvent": 1.2348056447615832, "realized_annual_volatility_pct": 109.56441384777133, "trading_costs_quote_units": 630.55101376288, "borrowing_costs_quote_units": 200.4193534687566, "price_pnl_quote_units": 6089.871712467393, "turnover_quote_units": 210183.67125429338, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 14073.63012639319, "return_pct": 40.736301263931885, "cagr_pct": 40.79123671133871, "max_drawdown_pct": 62.95852233262815, "mean_exposure_while_solvent": 1.2483938975193976, "realized_annual_volatility_pct": 110.89340922665527, "trading_costs_quote_units": 600.6105542968414, "borrowing_costs_quote_units": 206.3441176730326, "price_pnl_quote_units": 4880.584798363085, "turnover_quote_units": 200203.5180989471, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 15811.47091239293, "return_pct": 58.11470912392929, "cagr_pct": 58.1974630099583, "max_drawdown_pct": 63.72167568711047, "mean_exposure_while_solvent": 1.2880002733929643, "realized_annual_volatility_pct": 114.6982530983778, "trading_costs_quote_units": 567.8774155165964, "borrowing_costs_quote_units": 255.0034946944653, "price_pnl_quote_units": 6634.351822604034, "turnover_quote_units": 189292.47183886563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 217, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17087.44865243359, "return_pct": 70.87448652433592, "cagr_pct": 70.9790726086502, "max_drawdown_pct": 58.74261667344464, "mean_exposure_while_solvent": 1.2154660379929956, "realized_annual_volatility_pct": 108.45990143346684, "trading_costs_quote_units": 547.4519720794818, "borrowing_costs_quote_units": 193.33337750116192, "price_pnl_quote_units": 7828.234002014239, "turnover_quote_units": 182483.9906931604, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16005.822844314842, "return_pct": 60.05822844314841, "cagr_pct": 60.14423393947097, "max_drawdown_pct": 60.05037218916881, "mean_exposure_while_solvent": 1.2253253576004162, "realized_annual_volatility_pct": 109.5808958291924, "trading_costs_quote_units": 543.6416688315729, "borrowing_costs_quote_units": 197.3537457835568, "price_pnl_quote_units": 6746.818258930022, "turnover_quote_units": 181213.88961052435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18360.530722403415, "return_pct": 83.60530722403414, "cagr_pct": 83.73276341845386, "max_drawdown_pct": 60.05037218916883, "mean_exposure_while_solvent": 1.2635572661964642, "realized_annual_volatility_pct": 113.1446628715319, "trading_costs_quote_units": 503.92234354886693, "borrowing_costs_quote_units": 248.87057584390652, "price_pnl_quote_units": 9113.323641796214, "turnover_quote_units": 167974.1145162892, "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, "trace": "binance-2021-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 17181.306004837148, "return_pct": 71.8130600483715, "cagr_pct": 71.91929611974564, "max_drawdown_pct": 58.74261667344464, "mean_exposure_while_solvent": 1.2140612761555158, "realized_annual_volatility_pct": 108.20188197308644, "trading_costs_quote_units": 548.0895940416864, "borrowing_costs_quote_units": 193.1587885683362, "price_pnl_quote_units": 7922.554387447214, "turnover_quote_units": 182696.53134722865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 16093.739079544866, "return_pct": 60.937390795448664, "cagr_pct": 61.024876064960544, "max_drawdown_pct": 60.05037218916881, "mean_exposure_while_solvent": 1.2239205957629364, "realized_annual_volatility_pct": 109.32553719234654, "trading_costs_quote_units": 544.2607190169101, "borrowing_costs_quote_units": 197.20075863731643, "price_pnl_quote_units": 6835.200557199152, "turnover_quote_units": 181420.23967230335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18461.380816374844, "return_pct": 84.61380816374844, "cagr_pct": 84.74312019071257, "max_drawdown_pct": 60.05037218916883, "mean_exposure_while_solvent": 1.2621525043589843, "realized_annual_volatility_pct": 112.89733453267246, "trading_costs_quote_units": 504.2701742208908, "borrowing_costs_quote_units": 248.8254726005746, "price_pnl_quote_units": 9214.476463196354, "turnover_quote_units": 168090.05807363032, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13577.161044986227, "return_pct": 35.77161044986228, "cagr_pct": 35.819037067499934, "max_drawdown_pct": 69.85717445805105, "mean_exposure_while_solvent": 1.2714711983596962, "realized_annual_volatility_pct": 114.0023859799382, "trading_costs_quote_units": 562.6503699130217, "borrowing_costs_quote_units": 222.12964351765095, "price_pnl_quote_units": 4361.941058416869, "turnover_quote_units": 187550.12330434073, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 18239.996747418616, "return_pct": 82.39996747418617, "cagr_pct": 82.52521393284688, "max_drawdown_pct": 54.53229160471159, "mean_exposure_while_solvent": 1.234598526783824, "realized_annual_volatility_pct": 110.43032961376913, "trading_costs_quote_units": 575.3511897275351, "borrowing_costs_quote_units": 219.69004338022432, "price_pnl_quote_units": 9035.037980526351, "turnover_quote_units": 191783.72990917813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15079.250745695006, "return_pct": 50.792507456950055, "cagr_pct": 50.86325920048107, "max_drawdown_pct": 62.1084912921143, "mean_exposure_while_solvent": 1.2348257868101156, "realized_annual_volatility_pct": 109.56721016634614, "trading_costs_quote_units": 627.0964802424069, "borrowing_costs_quote_units": 398.415382993196, "price_pnl_quote_units": 6104.76260893066, "turnover_quote_units": 209032.1600808023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13898.674851686676, "return_pct": 38.98674851686677, "cagr_pct": 39.039014630298944, "max_drawdown_pct": 63.05135290564755, "mean_exposure_while_solvent": 1.2484151948161908, "realized_annual_volatility_pct": 110.8965529502308, "trading_costs_quote_units": 597.3541780180905, "borrowing_costs_quote_units": 410.0759411944565, "price_pnl_quote_units": 4906.10497089927, "turnover_quote_units": 199118.0593393634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15584.30854755592, "return_pct": 55.84308547555921, "cagr_pct": 55.922073479292834, "max_drawdown_pct": 63.81523843011981, "mean_exposure_while_solvent": 1.2880249437729028, "realized_annual_volatility_pct": 114.70159663782857, "trading_costs_quote_units": 564.3657701853084, "borrowing_costs_quote_units": 506.136182030439, "price_pnl_quote_units": 6654.810499771622, "turnover_quote_units": 188121.92339510273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 217, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16902.86098847624, "return_pct": 69.0286098847624, "cagr_pct": 69.12996820458994, "max_drawdown_pct": 58.805612313062525, "mean_exposure_while_solvent": 1.2154845128663625, "realized_annual_volatility_pct": 108.46225463549935, "trading_costs_quote_units": 544.8156861857371, "borrowing_costs_quote_units": 384.4675504066634, "price_pnl_quote_units": 7832.144225068652, "turnover_quote_units": 181605.22872857892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15825.110579520277, "return_pct": 58.25110579520276, "cagr_pct": 58.33408699226133, "max_drawdown_pct": 60.125311217002995, "mean_exposure_while_solvent": 1.2253446962124201, "realized_annual_volatility_pct": 109.5835499511033, "trading_costs_quote_units": 540.9254090761345, "borrowing_costs_quote_units": 392.3747422491378, "price_pnl_quote_units": 6758.410730845572, "turnover_quote_units": 180308.46969204483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18118.979015442776, "return_pct": 81.18979015442775, "cagr_pct": 81.31282717719144, "max_drawdown_pct": 60.12531121700303, "mean_exposure_while_solvent": 1.2635798603658963, "realized_annual_volatility_pct": 113.14744253174243, "trading_costs_quote_units": 501.0899809966639, "borrowing_costs_quote_units": 494.1707541569593, "price_pnl_quote_units": 9114.239750596413, "turnover_quote_units": 167029.99366555456, "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, "trace": "binance-2021-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 16996.892316764206, "return_pct": 69.96892316764205, "cagr_pct": 70.07192288617838, "max_drawdown_pct": 58.805612313062525, "mean_exposure_while_solvent": 1.2140796267742084, "realized_annual_volatility_pct": 108.20419467978155, "trading_costs_quote_units": 545.4555850655411, "borrowing_costs_quote_units": 384.13202473349827, "price_pnl_quote_units": 7926.479926563249, "turnover_quote_units": 181818.5283551804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 15913.14633684623, "return_pct": 59.13146336846231, "cagr_pct": 59.2159149502548, "max_drawdown_pct": 60.125311217002995, "mean_exposure_while_solvent": 1.223939810120266, "realized_annual_volatility_pct": 109.32815218945187, "trading_costs_quote_units": 541.5464250641464, "borrowing_costs_quote_units": 392.08214999362644, "price_pnl_quote_units": 6846.774911904034, "turnover_quote_units": 180515.47502138227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18219.775659585157, "return_pct": 82.19775659585157, "cagr_pct": 82.32263323465472, "max_drawdown_pct": 60.12531121700303, "mean_exposure_while_solvent": 1.2621749742737423, "realized_annual_volatility_pct": 112.90007642835161, "trading_costs_quote_units": 501.4384839017713, "borrowing_costs_quote_units": 494.09548624257445, "price_pnl_quote_units": 9215.309629729505, "turnover_quote_units": 167146.16130059058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13393.455217663297, "return_pct": 33.93455217663297, "cagr_pct": 33.979252578399255, "max_drawdown_pct": 70.04850231211613, "mean_exposure_while_solvent": 1.2714945356976106, "realized_annual_volatility_pct": 114.00597668070395, "trading_costs_quote_units": 559.8168583990563, "borrowing_costs_quote_units": 441.46065531302054, "price_pnl_quote_units": 4394.732731375379, "turnover_quote_units": 186605.61946635201, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 18025.973971695155, "return_pct": 80.25973971695154, "cagr_pct": 80.38108501652385, "max_drawdown_pct": 54.55729491834187, "mean_exposure_while_solvent": 1.2346186350117185, "realized_annual_volatility_pct": 110.43284118369667, "trading_costs_quote_units": 572.1393244247146, "borrowing_costs_quote_units": 436.5807918771159, "price_pnl_quote_units": 9034.694087996953, "turnover_quote_units": 190713.1081415715, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 14726.174142149552, "return_pct": 47.26174142149551, "cagr_pct": 47.32684990169173, "max_drawdown_pct": 62.243492638946776, "mean_exposure_while_solvent": 1.2348660796344877, "realized_annual_volatility_pct": 109.5728247551937, "trading_costs_quote_units": 620.2721041496295, "borrowing_costs_quote_units": 787.2511443588211, "price_pnl_quote_units": 6133.697390657998, "turnover_quote_units": 206757.3680498764, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13555.169026437261, "return_pct": 35.55169026437262, "cagr_pct": 35.59878901227469, "max_drawdown_pct": 63.23636885710082, "mean_exposure_while_solvent": 1.248457798642803, "realized_annual_volatility_pct": 110.90286217621, "trading_costs_quote_units": 590.9207944792421, "borrowing_costs_quote_units": 809.8314789087624, "price_pnl_quote_units": 4955.921299825291, "turnover_quote_units": 196973.59815974737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15139.607640857015, "return_pct": 51.39607640857016, "cagr_pct": 51.4678023700269, "max_drawdown_pct": 64.00169318542142, "mean_exposure_while_solvent": 1.2880742952204707, "realized_annual_volatility_pct": 114.70830449908877, "trading_costs_quote_units": 557.4356681627272, "borrowing_costs_quote_units": 997.0131036631269, "price_pnl_quote_units": 6694.056412682928, "turnover_quote_units": 185811.88938757547, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 217, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16539.547496237657, "return_pct": 65.39547496237657, "cagr_pct": 65.49054786291018, "max_drawdown_pct": 58.93135114005603, "mean_exposure_while_solvent": 1.215521470609809, "realized_annual_volatility_pct": 108.4669825504325, "trading_costs_quote_units": 539.601764359244, "borrowing_costs_quote_units": 760.2338802687462, "price_pnl_quote_units": 7839.383140865626, "turnover_quote_units": 179867.2547864144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 165, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15469.687443623792, "return_pct": 54.69687443623792, "cagr_pct": 54.7739766032022, "max_drawdown_pct": 60.27481028526107, "mean_exposure_while_solvent": 1.2253833818196678, "realized_annual_volatility_pct": 109.58887973714364, "trading_costs_quote_units": 535.5552161875376, "borrowing_costs_quote_units": 775.5243210900634, "price_pnl_quote_units": 6780.7669809013505, "turnover_quote_units": 178518.405395846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 172, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17645.239106662462, "return_pct": 76.45239106662463, "cagr_pct": 76.56686850672966, "max_drawdown_pct": 60.2748102852611, "mean_exposure_while_solvent": 1.2636250584919397, "realized_annual_volatility_pct": 113.15302291262822, "trading_costs_quote_units": 495.49473088727854, "borrowing_costs_quote_units": 974.252033592531, "price_pnl_quote_units": 9114.985871142291, "turnover_quote_units": 165164.9102957597, "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, "trace": "binance-2021-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 16633.88326230838, "return_pct": 66.3388326230838, "cagr_pct": 66.43552886155493, "max_drawdown_pct": 58.93135114005603, "mean_exposure_while_solvent": 1.2141163359520843, "realized_annual_volatility_pct": 108.20884162357896, "trading_costs_quote_units": 540.2457988006664, "borrowing_costs_quote_units": 759.6162221998039, "price_pnl_quote_units": 7933.745283308829, "turnover_quote_units": 180081.9329335555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 15557.921103958251, "return_pct": 55.57921103958252, "cagr_pct": 55.657764039182254, "max_drawdown_pct": 60.27481028526107, "mean_exposure_while_solvent": 1.223978247161943, "realized_annual_volatility_pct": 109.33340375415222, "trading_costs_quote_units": 536.1797536718927, "borrowing_costs_quote_units": 774.9914034595782, "price_pnl_quote_units": 6869.0922610897105, "turnover_quote_units": 178726.58455729746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17745.881349082203, "return_pct": 77.45881349082202, "cagr_pct": 77.57509730217356, "max_drawdown_pct": 60.2748102852611, "mean_exposure_while_solvent": 1.2622199238342149, "realized_annual_volatility_pct": 112.90558133744979, "trading_costs_quote_units": 495.8442731574536, "borrowing_costs_quote_units": 974.1594603747358, "price_pnl_quote_units": 9215.885082614352, "turnover_quote_units": 165281.42438581784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13033.369494098466, "return_pct": 30.333694940984657, "cagr_pct": 30.37313561145566, "max_drawdown_pct": 70.42762595684206, "mean_exposure_while_solvent": 1.2715412205169219, "realized_annual_volatility_pct": 114.01317878572132, "trading_costs_quote_units": 554.215623611941, "borrowing_costs_quote_units": 871.870659878134, "price_pnl_quote_units": 4459.455777588533, "turnover_quote_units": 184738.54120398033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2021", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 17605.31907860976, "return_pct": 76.05319078609757, "cagr_pct": 76.1669535410703, "max_drawdown_pct": 54.60727389214064, "mean_exposure_while_solvent": 1.23465886017504, "realized_annual_volatility_pct": 110.43788555930745, "trading_costs_quote_units": 565.7945879397614, "borrowing_costs_quote_units": 862.0979452160374, "price_pnl_quote_units": 9033.21161176554, "turnover_quote_units": 188598.1959799203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 179, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 5, "trace": "binance-2021-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2021-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2868.4638688352256, "return_pct": -71.31536131164775, "cagr_pct": -71.35624309120381, "max_drawdown_pct": 73.00228581217722, "mean_exposure_while_solvent": 1.1186940713333702, "realized_annual_volatility_pct": 68.64683578009176, "trading_costs_quote_units": 33.83443029160521, "borrowing_costs_quote_units": 33.32288855573885, "price_pnl_quote_units": -7064.378812317425, "turnover_quote_units": 56390.71715267533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2873.629087092106, "return_pct": -71.26370912907893, "cagr_pct": -71.3046055644986, "max_drawdown_pct": 72.95367126007078, "mean_exposure_while_solvent": 1.1461983811438061, "realized_annual_volatility_pct": 70.31604849698894, "trading_costs_quote_units": 32.24738213269536, "borrowing_costs_quote_units": 39.81368640882371, "price_pnl_quote_units": -7054.309844366353, "turnover_quote_units": 53745.63688782556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2640.859243570702, "return_pct": -73.591407564293, "cagr_pct": -73.63153526103639, "max_drawdown_pct": 74.85963461391198, "mean_exposure_while_solvent": 1.1542643438757363, "realized_annual_volatility_pct": 70.87803000875523, "trading_costs_quote_units": 36.67802519275668, "borrowing_costs_quote_units": 40.81980025779426, "price_pnl_quote_units": -7281.642930978739, "turnover_quote_units": 61130.04198792783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2880.1925437353084, "return_pct": -71.19807456264692, "cagr_pct": -71.23898946840643, "max_drawdown_pct": 72.03462408190191, "mean_exposure_while_solvent": 1.0831426859205047, "realized_annual_volatility_pct": 67.17071346863429, "trading_costs_quote_units": 29.31609266389924, "borrowing_costs_quote_units": 25.308905253831576, "price_pnl_quote_units": -7065.182458346945, "turnover_quote_units": 48860.154439832084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2885.378881716371, "return_pct": -71.14621118283628, "cagr_pct": -71.18714056275749, "max_drawdown_pct": 71.9842670696271, "mean_exposure_while_solvent": 1.1106469957309406, "realized_annual_volatility_pct": 68.87570902950732, "trading_costs_quote_units": 27.677123795106507, "borrowing_costs_quote_units": 32.00465643509873, "price_pnl_quote_units": -7054.939338053425, "turnover_quote_units": 46128.53965851083, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2885.378881716371, "return_pct": -71.14621118283628, "cagr_pct": -71.18714056275749, "max_drawdown_pct": 71.9842670696271, "mean_exposure_while_solvent": 1.1106469957309406, "realized_annual_volatility_pct": 68.87570902950732, "trading_costs_quote_units": 27.677123795106507, "borrowing_costs_quote_units": 32.00465643509873, "price_pnl_quote_units": -7054.939338053425, "turnover_quote_units": 46128.53965851083, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2778.0762140238967, "return_pct": -72.21923785976104, "cagr_pct": -72.25984581059149, "max_drawdown_pct": 72.9893856350851, "mean_exposure_while_solvent": 1.0654170705890855, "realized_annual_volatility_pct": 65.61836439435834, "trading_costs_quote_units": 28.35541775678978, "borrowing_costs_quote_units": 20.20399320476629, "price_pnl_quote_units": -7173.364375014538, "turnover_quote_units": 47259.02959464962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2783.0786720069323, "return_pct": -72.16921327993067, "cagr_pct": -72.20983725349734, "max_drawdown_pct": 72.94074785374045, "mean_exposure_while_solvent": 1.0929213803995215, "realized_annual_volatility_pct": 67.36266686033507, "trading_costs_quote_units": 26.774558018845394, "borrowing_costs_quote_units": 26.662348613039352, "price_pnl_quote_units": -7163.48442136117, "turnover_quote_units": 44624.26336474229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2783.0786720069323, "return_pct": -72.16921327993067, "cagr_pct": -72.20983725349734, "max_drawdown_pct": 72.94074785374045, "mean_exposure_while_solvent": 1.0929213803995215, "realized_annual_volatility_pct": 67.36266686033507, "trading_costs_quote_units": 26.774558018845394, "borrowing_costs_quote_units": 26.662348613039352, "price_pnl_quote_units": -7163.48442136117, "turnover_quote_units": 44624.26336474229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2069.3590334522587, "return_pct": -79.30640966547742, "cagr_pct": -79.34360731291767, "max_drawdown_pct": 81.61364314686637, "mean_exposure_while_solvent": 1.3888385712180995, "realized_annual_volatility_pct": 87.99100109132293, "trading_costs_quote_units": 38.679727541880936, "borrowing_costs_quote_units": 92.05203718175916, "price_pnl_quote_units": -7799.909201824099, "turnover_quote_units": 64466.21256980152, "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": 0, "trace": "reference-2022-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2727.0747405774205, "return_pct": -72.7292525942258, "cagr_pct": -72.7696912868316, "max_drawdown_pct": 74.8708693914285, "mean_exposure_while_solvent": 1.1106834377220154, "realized_annual_volatility_pct": 71.20331722854351, "trading_costs_quote_units": 26.15995331482391, "borrowing_costs_quote_units": 29.52277909030637, "price_pnl_quote_units": -7217.242527017445, "turnover_quote_units": 43599.92219137317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2851.311305018427, "return_pct": -71.48688694981573, "cagr_pct": -71.52771929752697, "max_drawdown_pct": 73.10727221052882, "mean_exposure_while_solvent": 1.1187042822367625, "realized_annual_volatility_pct": 68.64826476335844, "trading_costs_quote_units": 33.77540927898773, "borrowing_costs_quote_units": 66.49884125146482, "price_pnl_quote_units": -7048.414444451122, "turnover_quote_units": 56292.34879831292, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2852.5359170900815, "return_pct": -71.47464082909917, "cagr_pct": -71.51547674497994, "max_drawdown_pct": 73.09572203043003, "mean_exposure_while_solvent": 1.1462109524390454, "realized_annual_volatility_pct": 70.3175244495744, "trading_costs_quote_units": 32.186233363983014, "borrowing_costs_quote_units": 79.402771560678, "price_pnl_quote_units": -7035.875077985258, "turnover_quote_units": 53643.722273304986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2620.381696413095, "return_pct": -73.79618303586906, "cagr_pct": -73.83623218217211, "max_drawdown_pct": 75.02602571100351, "mean_exposure_while_solvent": 1.154277594859332, "realized_annual_volatility_pct": 70.87992196479506, "trading_costs_quote_units": 36.61220337237182, "borrowing_costs_quote_units": 81.4014206057024, "price_pnl_quote_units": -7261.604679608827, "turnover_quote_units": 61020.33895395304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2868.072683600184, "return_pct": -71.31927316399815, "cagr_pct": -71.36015382927626, "max_drawdown_pct": 72.12027424225948, "mean_exposure_while_solvent": 1.0831498588537032, "realized_annual_volatility_pct": 67.17206161538088, "trading_costs_quote_units": 29.277125065980687, "borrowing_costs_quote_units": 50.53796492793662, "price_pnl_quote_units": -7052.112226405898, "turnover_quote_units": 48795.2084433012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2869.304494530309, "return_pct": -71.30695505469691, "cagr_pct": -71.34783922668622, "max_drawdown_pct": 72.10830015557971, "mean_exposure_while_solvent": 1.1106565290559862, "realized_annual_volatility_pct": 68.87710670698145, "trading_costs_quote_units": 27.634943633310993, "borrowing_costs_quote_units": 63.86879407426894, "price_pnl_quote_units": -7039.191767762105, "turnover_quote_units": 46058.23938885171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2869.304494530309, "return_pct": -71.30695505469691, "cagr_pct": -71.34783922668622, "max_drawdown_pct": 72.10830015557971, "mean_exposure_while_solvent": 1.1106565290559862, "realized_annual_volatility_pct": 68.87710670698145, "trading_costs_quote_units": 27.634943633310993, "borrowing_costs_quote_units": 63.86879407426894, "price_pnl_quote_units": -7039.191767762105, "turnover_quote_units": 46058.23938885171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2768.828482298105, "return_pct": -72.31171517701895, "cagr_pct": -72.35229323668689, "max_drawdown_pct": 73.07358167220983, "mean_exposure_while_solvent": 1.0654227320686718, "realized_annual_volatility_pct": 65.61978895122623, "trading_costs_quote_units": 28.32873190581103, "borrowing_costs_quote_units": 40.359112037431444, "price_pnl_quote_units": -7162.483673758649, "turnover_quote_units": 47214.553176351714, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2770.0176687534035, "return_pct": -72.29982331246596, "cagr_pct": -72.340405235638, "max_drawdown_pct": 73.0620170223336, "mean_exposure_while_solvent": 1.0929294022709546, "realized_annual_volatility_pct": 67.36413591110293, "trading_costs_quote_units": 26.743375038854143, "borrowing_costs_quote_units": 53.22865319099879, "price_pnl_quote_units": -7150.010303016739, "turnover_quote_units": 44572.2917314236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2770.0176687534035, "return_pct": -72.29982331246596, "cagr_pct": -72.340405235638, "max_drawdown_pct": 73.0620170223336, "mean_exposure_while_solvent": 1.0929294022709546, "realized_annual_volatility_pct": 67.36413591110293, "trading_costs_quote_units": 26.743375038854143, "borrowing_costs_quote_units": 53.22865319099879, "price_pnl_quote_units": -7150.010303016739, "turnover_quote_units": 44572.2917314236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2029.328346108393, "return_pct": -79.70671653891607, "cagr_pct": -79.74364652746073, "max_drawdown_pct": 81.92275375579628, "mean_exposure_while_solvent": 1.3888719358424937, "realized_annual_volatility_pct": 87.99459188050662, "trading_costs_quote_units": 38.480089034450415, "borrowing_costs_quote_units": 182.84743296641207, "price_pnl_quote_units": -7749.344131890753, "turnover_quote_units": 64133.48172408397, "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": 0, "trace": "reference-2022-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2711.848175345406, "return_pct": -72.88151824654594, "cagr_pct": -72.9219043051087, "max_drawdown_pct": 74.99558945389886, "mean_exposure_while_solvent": 1.1106929838537196, "realized_annual_volatility_pct": 71.20523834326754, "trading_costs_quote_units": 26.12337742168341, "borrowing_costs_quote_units": 58.917477300828146, "price_pnl_quote_units": -7203.110969932071, "turnover_quote_units": 43538.962369472356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2817.3032705125856, "return_pct": -71.82696729487415, "cagr_pct": -71.86769814471356, "max_drawdown_pct": 73.31608434248871, "mean_exposure_while_solvent": 1.1187247084846834, "realized_annual_volatility_pct": 68.65114732337734, "trading_costs_quote_units": 33.65889545853983, "borrowing_costs_quote_units": 132.4128254572514, "price_pnl_quote_units": -7016.625008571608, "turnover_quote_units": 56098.15909756637, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2810.800844962055, "return_pct": -71.89199155037944, "cagr_pct": -71.93270246152994, "max_drawdown_pct": 73.37767166848785, "mean_exposure_while_solvent": 1.1462361004985906, "realized_annual_volatility_pct": 70.32050339168534, "trading_costs_quote_units": 32.065682752124765, "borrowing_costs_quote_units": 157.91278423217787, "price_pnl_quote_units": -6999.220688053611, "turnover_quote_units": 53442.80458687461, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2579.8900517720476, "return_pct": -74.20109948227953, "cagr_pct": -74.2409879137959, "max_drawdown_pct": 75.35560620514916, "mean_exposure_while_solvent": 1.1543041025889789, "realized_annual_volatility_pct": 70.88373388711604, "trading_costs_quote_units": 36.48230093406162, "borrowing_costs_quote_units": 161.85638045941522, "price_pnl_quote_units": -7221.771266834474, "turnover_quote_units": 60803.834890102626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2843.9786107218897, "return_pct": -71.5602138927811, "cagr_pct": -71.60102474939748, "max_drawdown_pct": 72.33100602424084, "mean_exposure_while_solvent": 1.0831642078454122, "realized_annual_volatility_pct": 67.17477746038625, "trading_costs_quote_units": 29.200301529594554, "borrowing_costs_quote_units": 100.757625950036, "price_pnl_quote_units": -7026.063461798475, "turnover_quote_units": 48667.16921599093, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2837.414617637769, "return_pct": -71.62585382362231, "cagr_pct": -71.66664525901474, "max_drawdown_pct": 72.39486694232818, "mean_exposure_while_solvent": 1.1106755998593194, "realized_annual_volatility_pct": 68.87992519283253, "trading_costs_quote_units": 27.55188433131049, "borrowing_costs_quote_units": 127.17819590111354, "price_pnl_quote_units": -7007.855302129824, "turnover_quote_units": 45919.80721885086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2837.414617637769, "return_pct": -71.62585382362231, "cagr_pct": -71.66664525901474, "max_drawdown_pct": 72.39486694232818, "mean_exposure_while_solvent": 1.1106755998593194, "realized_annual_volatility_pct": 68.87992519283253, "trading_costs_quote_units": 27.55188433131049, "borrowing_costs_quote_units": 127.17819590111354, "price_pnl_quote_units": -7007.855302129824, "turnover_quote_units": 45919.80721885086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2750.419690267647, "return_pct": -72.49580309732353, "cagr_pct": -72.53632060398681, "max_drawdown_pct": 73.2412383293178, "mean_exposure_while_solvent": 1.0654340575004344, "realized_annual_volatility_pct": 65.62265485262189, "trading_costs_quote_units": 28.276300264927045, "borrowing_costs_quote_units": 80.5232199501276, "price_pnl_quote_units": -7140.780789517314, "turnover_quote_units": 47127.16710821172, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2744.071634147508, "return_pct": -72.55928365852492, "cagr_pct": -72.59977995848914, "max_drawdown_pct": 73.30299840229576, "mean_exposure_while_solvent": 1.0929454495143416, "realized_annual_volatility_pct": 67.36709501151692, "trading_costs_quote_units": 26.68211136953819, "borrowing_costs_quote_units": 106.07462724537876, "price_pnl_quote_units": -7123.1716272375825, "turnover_quote_units": 44470.18561589695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2744.071634147508, "return_pct": -72.55928365852492, "cagr_pct": -72.59977995848914, "max_drawdown_pct": 73.30299840229576, "mean_exposure_while_solvent": 1.0929454495143416, "realized_annual_volatility_pct": 67.36709501151692, "trading_costs_quote_units": 26.68211136953819, "borrowing_costs_quote_units": 106.07462724537876, "price_pnl_quote_units": -7123.1716272375825, "turnover_quote_units": 44470.18561589695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1951.5533005495176, "return_pct": -80.48446699450483, "cagr_pct": -80.52085102347694, "max_drawdown_pct": 82.52564173885808, "mean_exposure_while_solvent": 1.388938679605687, "realized_annual_volatility_pct": 88.00179302039459, "trading_costs_quote_units": 38.08890391574778, "borrowing_costs_quote_units": 360.74641913843107, "price_pnl_quote_units": -7649.611376396319, "turnover_quote_units": 63481.506526246245, "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": 0, "trace": "reference-2022-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2681.6408472685994, "return_pct": -73.18359152731401, "cagr_pct": -73.22387027315601, "max_drawdown_pct": 75.24324800653142, "mean_exposure_while_solvent": 1.1107120802833192, "realized_annual_volatility_pct": 71.20910345580775, "trading_costs_quote_units": 26.051483777892447, "borrowing_costs_quote_units": 117.32502369468487, "price_pnl_quote_units": -7174.982645258827, "turnover_quote_units": 43419.13962982075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2764.3274355960652, "return_pct": -72.35672564403934, "cagr_pct": -72.39728902759687, "max_drawdown_pct": 73.67361428544082, "mean_exposure_while_solvent": 1.1182905014195261, "realized_annual_volatility_pct": 68.7509878130822, "trading_costs_quote_units": 33.82245679526393, "borrowing_costs_quote_units": 32.96497965858938, "price_pnl_quote_units": -7168.885127950093, "turnover_quote_units": 56370.761325439875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2765.8920886008677, "return_pct": -72.34107911399133, "cagr_pct": -72.38164760873644, "max_drawdown_pct": 73.65871313517063, "mean_exposure_while_solvent": 1.1456017875193432, "realized_annual_volatility_pct": 70.42120746662874, "trading_costs_quote_units": 32.3530782391787, "borrowing_costs_quote_units": 39.29479660355382, "price_pnl_quote_units": -7162.460036556398, "turnover_quote_units": 53921.79706529782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2564.546074316851, "return_pct": -74.35453925683149, "cagr_pct": -74.39436489733377, "max_drawdown_pct": 75.62127634980442, "mean_exposure_while_solvent": 1.1537682278121337, "realized_annual_volatility_pct": 70.93950224426762, "trading_costs_quote_units": 36.836218710974656, "borrowing_costs_quote_units": 40.506708893284156, "price_pnl_quote_units": -7358.110998078904, "turnover_quote_units": 61393.697851624434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2830.7790524046095, "return_pct": -71.6922094759539, "cagr_pct": -71.73298110213878, "max_drawdown_pct": 72.45018583961047, "mean_exposure_while_solvent": 1.082675682687278, "realized_annual_volatility_pct": 67.20412191184066, "trading_costs_quote_units": 29.63947387795895, "borrowing_costs_quote_units": 25.24605522954301, "price_pnl_quote_units": -7114.33541848789, "turnover_quote_units": 49399.123129931584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2832.3813180744546, "return_pct": -71.67618681925545, "cagr_pct": -71.71696324494505, "max_drawdown_pct": 72.43459220950984, "mean_exposure_while_solvent": 1.1099869687870951, "realized_annual_volatility_pct": 68.91184234017699, "trading_costs_quote_units": 28.106032892182977, "borrowing_costs_quote_units": 31.849707859281544, "price_pnl_quote_units": -7107.662941174074, "turnover_quote_units": 46843.38815363831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2832.3813180744546, "return_pct": -71.67618681925545, "cagr_pct": -71.71696324494505, "max_drawdown_pct": 72.43459220950984, "mean_exposure_while_solvent": 1.1099869687870951, "realized_annual_volatility_pct": 68.91184234017699, "trading_costs_quote_units": 28.106032892182977, "borrowing_costs_quote_units": 31.849707859281544, "price_pnl_quote_units": -7107.662941174074, "turnover_quote_units": 46843.38815363831, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2730.6758742500338, "return_pct": -72.69324125749966, "cagr_pct": -72.73369225610719, "max_drawdown_pct": 73.42441374788903, "mean_exposure_while_solvent": 1.0649319066658405, "realized_annual_volatility_pct": 65.63722202603198, "trading_costs_quote_units": 28.67301071700798, "borrowing_costs_quote_units": 20.191188178572837, "price_pnl_quote_units": -7220.459926854382, "turnover_quote_units": 47788.3511950133, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2732.221479939418, "return_pct": -72.67778520060581, "cagr_pct": -72.71824146431267, "max_drawdown_pct": 73.40937154617725, "mean_exposure_while_solvent": 1.0922431927656575, "realized_annual_volatility_pct": 67.38466527706778, "trading_costs_quote_units": 27.193795904785986, "borrowing_costs_quote_units": 26.561319716262826, "price_pnl_quote_units": -7214.023404439522, "turnover_quote_units": 45322.993174643285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2732.221479939418, "return_pct": -72.67778520060581, "cagr_pct": -72.71824146431267, "max_drawdown_pct": 73.40937154617725, "mean_exposure_while_solvent": 1.0922431927656575, "realized_annual_volatility_pct": 67.38466527706778, "trading_costs_quote_units": 27.193795904785986, "borrowing_costs_quote_units": 26.561319716262826, "price_pnl_quote_units": -7214.023404439522, "turnover_quote_units": 45322.993174643285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2102.5330010510575, "return_pct": -78.97466998948943, "cagr_pct": -79.01208274472165, "max_drawdown_pct": 81.31014303824506, "mean_exposure_while_solvent": 1.3883346155874638, "realized_annual_volatility_pct": 88.07644320911642, "trading_costs_quote_units": 38.54614386899567, "borrowing_costs_quote_units": 92.22998555218724, "price_pnl_quote_units": -7766.690869527774, "turnover_quote_units": 64243.57311499283, "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": 0, "trace": "reference-2022-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2663.4304930165767, "return_pct": -73.36569506983423, "cagr_pct": -73.4059072485951, "max_drawdown_pct": 75.18018635902675, "mean_exposure_while_solvent": 1.110019379187245, "realized_annual_volatility_pct": 71.24029125244947, "trading_costs_quote_units": 26.232136767896325, "borrowing_costs_quote_units": 29.05319408472475, "price_pnl_quote_units": -7281.2841761308055, "turnover_quote_units": 43720.227946493884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2747.7730303771227, "return_pct": -72.52226969622878, "cagr_pct": -72.5627783816548, "max_drawdown_pct": 73.77674266043218, "mean_exposure_while_solvent": 1.1183007870972999, "realized_annual_volatility_pct": 68.75235177637028, "trading_costs_quote_units": 33.770119074104656, "borrowing_costs_quote_units": 65.78573384835363, "price_pnl_quote_units": -7152.671116700419, "turnover_quote_units": 56283.53179017446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2745.564651691453, "return_pct": -72.54435348308547, "cagr_pct": -72.58485478577907, "max_drawdown_pct": 73.79781823033458, "mean_exposure_while_solvent": 1.1456144057437367, "realized_annual_volatility_pct": 70.42262013143844, "trading_costs_quote_units": 32.297878817872274, "borrowing_costs_quote_units": 78.36978925171354, "price_pnl_quote_units": -7143.767680238972, "turnover_quote_units": 53829.79802978707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2544.6419572376003, "return_pct": -74.55358042762398, "cagr_pct": -74.59332305351579, "max_drawdown_pct": 75.78335072325811, "mean_exposure_while_solvent": 1.1537815404054927, "realized_annual_volatility_pct": 70.9412514329481, "trading_costs_quote_units": 36.77557933480528, "borrowing_costs_quote_units": 80.77856233595405, "price_pnl_quote_units": -7337.803901091645, "turnover_quote_units": 61292.63222467551, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2818.8545564937194, "return_pct": -71.8114544350628, "cagr_pct": -71.85219001635204, "max_drawdown_pct": 72.56040970101638, "mean_exposure_while_solvent": 1.0826829183665314, "realized_annual_volatility_pct": 67.20537514250438, "trading_costs_quote_units": 29.60440274007369, "borrowing_costs_quote_units": 50.41266741767982, "price_pnl_quote_units": -7101.1283733485225, "turnover_quote_units": 49340.67123345615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2816.589049753632, "return_pct": -71.83410950246368, "cagr_pct": -71.87483817063874, "max_drawdown_pct": 72.5824628348414, "mean_exposure_while_solvent": 1.109996537012968, "realized_annual_volatility_pct": 68.91314959683596, "trading_costs_quote_units": 28.066951350978083, "borrowing_costs_quote_units": 63.560134127860444, "price_pnl_quote_units": -7091.783864767542, "turnover_quote_units": 46778.25225163016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2816.589049753632, "return_pct": -71.83410950246368, "cagr_pct": -71.87483817063874, "max_drawdown_pct": 72.5824628348414, "mean_exposure_while_solvent": 1.109996537012968, "realized_annual_volatility_pct": 68.91314959683596, "trading_costs_quote_units": 28.066951350978083, "borrowing_costs_quote_units": 63.560134127860444, "price_pnl_quote_units": -7091.783864767542, "turnover_quote_units": 46778.25225163016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2721.574677024428, "return_pct": -72.78425322975572, "cagr_pct": -72.82467302242124, "max_drawdown_pct": 73.50736172832927, "mean_exposure_while_solvent": 1.0649376286351138, "realized_annual_volatility_pct": 65.63860129232779, "trading_costs_quote_units": 28.64876699156392, "borrowing_costs_quote_units": 40.333754750869375, "price_pnl_quote_units": -7209.442801233134, "turnover_quote_units": 47747.94498593989, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2719.3873538933844, "return_pct": -72.80612646106616, "cagr_pct": -72.84653870215045, "max_drawdown_pct": 73.52865379904965, "mean_exposure_while_solvent": 1.0922512472815507, "realized_annual_volatility_pct": 67.38609248591227, "trading_costs_quote_units": 27.164373709165066, "borrowing_costs_quote_units": 53.02749674724848, "price_pnl_quote_units": -7200.420775650211, "turnover_quote_units": 45273.95618194182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2719.3873538933844, "return_pct": -72.80612646106616, "cagr_pct": -72.84653870215045, "max_drawdown_pct": 73.52865379904965, "mean_exposure_while_solvent": 1.0922512472815507, "realized_annual_volatility_pct": 67.38609248591227, "trading_costs_quote_units": 27.164373709165066, "borrowing_costs_quote_units": 53.02749674724848, "price_pnl_quote_units": -7200.420775650211, "turnover_quote_units": 45273.95618194182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2061.911479185688, "return_pct": -79.38088520814311, "cagr_pct": -79.41803373303618, "max_drawdown_pct": 81.6242961433325, "mean_exposure_while_solvent": 1.388368032020347, "realized_annual_volatility_pct": 88.0794074117151, "trading_costs_quote_units": 38.35913583410511, "borrowing_costs_quote_units": 183.1986490434049, "price_pnl_quote_units": -7716.530735936815, "turnover_quote_units": 63931.89305684188, "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": 0, "trace": "reference-2022-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2648.5449480051548, "return_pct": -73.51455051994846, "cagr_pct": -73.55470722989376, "max_drawdown_pct": 75.30279388460669, "mean_exposure_while_solvent": 1.1100289565265686, "realized_annual_volatility_pct": 71.24210989813488, "trading_costs_quote_units": 26.1999691021211, "borrowing_costs_quote_units": 57.980563769643176, "price_pnl_quote_units": -7267.274519123058, "turnover_quote_units": 43666.61517020184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2714.951880599166, "return_pct": -72.85048119400834, "cagr_pct": -72.89087806024916, "max_drawdown_pct": 73.98184550721143, "mean_exposure_while_solvent": 1.1183213629395365, "realized_annual_volatility_pct": 68.75510341637015, "trading_costs_quote_units": 33.6661052417368, "borrowing_costs_quote_units": 130.9973926681691, "price_pnl_quote_units": -7120.3846214909345, "turnover_quote_units": 56110.17540289467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2705.345700528529, "return_pct": -72.9465429947147, "cagr_pct": -72.98690627891249, "max_drawdown_pct": 74.07390425747857, "mean_exposure_while_solvent": 1.1456396476890558, "realized_annual_volatility_pct": 70.42547192919348, "trading_costs_quote_units": 32.188312867809735, "borrowing_costs_quote_units": 155.86587486729962, "price_pnl_quote_units": -7106.600111736375, "turnover_quote_units": 53647.1881130162, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2505.2847572377073, "return_pct": -74.94715242762294, "cagr_pct": -74.98672566017362, "max_drawdown_pct": 76.104364905713, "mean_exposure_while_solvent": 1.1538081713908988, "realized_annual_volatility_pct": 70.9447769925269, "trading_costs_quote_units": 36.65644248834517, "borrowing_costs_quote_units": 160.62384181555365, "price_pnl_quote_units": -7297.434958458395, "turnover_quote_units": 61094.070813908605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2795.1495519497958, "return_pct": -72.04850448050205, "cagr_pct": -72.08916669439924, "max_drawdown_pct": 72.77959624854454, "mean_exposure_while_solvent": 1.0826973928870969, "realized_annual_volatility_pct": 67.2079002609971, "trading_costs_quote_units": 29.534509767595683, "borrowing_costs_quote_units": 100.50863848112506, "price_pnl_quote_units": -7074.80729980148, "turnover_quote_units": 49224.18294599277, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2785.259612421855, "return_pct": -72.14740387578145, "cagr_pct": -72.18803480269513, "max_drawdown_pct": 72.87590885795042, "mean_exposure_while_solvent": 1.1100156776366161, "realized_annual_volatility_pct": 68.91578667056393, "trading_costs_quote_units": 27.989183877104853, "borrowing_costs_quote_units": 126.56580408530107, "price_pnl_quote_units": -7060.185399615749, "turnover_quote_units": 46648.639795174735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2785.259612421855, "return_pct": -72.14740387578145, "cagr_pct": -72.18803480269513, "max_drawdown_pct": 72.87590885795042, "mean_exposure_while_solvent": 1.1100156776366161, "realized_annual_volatility_pct": 68.91578667056393, "trading_costs_quote_units": 27.989183877104853, "borrowing_costs_quote_units": 126.56580408530107, "price_pnl_quote_units": -7060.185399615749, "turnover_quote_units": 46648.639795174735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2703.4582052516885, "return_pct": -72.96541794748312, "cagr_pct": -73.00577458749366, "max_drawdown_pct": 73.67252717451093, "mean_exposure_while_solvent": 1.064949075081521, "realized_annual_volatility_pct": 65.64137577406137, "trading_costs_quote_units": 28.6003980594941, "borrowing_costs_quote_units": 80.47351645932505, "price_pnl_quote_units": -7187.467880229499, "turnover_quote_units": 47667.33009915687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2693.89269268453, "return_pct": -73.0610730731547, "cagr_pct": -73.10139580998555, "max_drawdown_pct": 73.76568037054871, "mean_exposure_while_solvent": 1.0922673598310404, "realized_annual_volatility_pct": 67.38896739492365, "trading_costs_quote_units": 27.105764630838724, "borrowing_costs_quote_units": 105.67590969408852, "price_pnl_quote_units": -7173.325632990534, "turnover_quote_units": 45176.27438473122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2693.89269268453, "return_pct": -73.0610730731547, "cagr_pct": -73.10139580998555, "max_drawdown_pct": 73.76568037054871, "mean_exposure_while_solvent": 1.0922673598310404, "realized_annual_volatility_pct": 67.38896739492365, "trading_costs_quote_units": 27.105764630838724, "borrowing_costs_quote_units": 105.67590969408852, "price_pnl_quote_units": -7173.325632990534, "turnover_quote_units": 45176.27438473122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1982.9857384107995, "return_pct": -80.170142615892, "cagr_pct": -80.20675147355209, "max_drawdown_pct": 82.23701742353346, "mean_exposure_while_solvent": 1.3884348794374122, "realized_annual_volatility_pct": 88.08535415753246, "trading_costs_quote_units": 37.99243584778995, "borrowing_costs_quote_units": 361.4305136680389, "price_pnl_quote_units": -7617.591312073354, "turnover_quote_units": 63320.72641298327, "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": 0, "trace": "reference-2022-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2619.014840902793, "return_pct": -73.80985159097206, "cagr_pct": -73.84989542922821, "max_drawdown_pct": 75.5462612960906, "mean_exposure_while_solvent": 1.1100481153847703, "realized_annual_volatility_pct": 71.24576950787161, "trading_costs_quote_units": 26.136050464629044, "borrowing_costs_quote_units": 115.46018701727066, "price_pnl_quote_units": -7239.388921615298, "turnover_quote_units": 43560.0841077151, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2804.7367310483046, "return_pct": -71.95263268951695, "cagr_pct": -71.99332485123291, "max_drawdown_pct": 73.35488928283156, "mean_exposure_while_solvent": 1.1186940713333702, "realized_annual_volatility_pct": 68.64137612254649, "trading_costs_quote_units": 167.69594340197523, "borrowing_costs_quote_units": 32.97857166181788, "price_pnl_quote_units": -6994.5887538879, "turnover_quote_units": 55898.64780065845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2813.927462244861, "return_pct": -71.86072537755139, "cagr_pct": -71.90144589740544, "max_drawdown_pct": 73.26757697020233, "mean_exposure_while_solvent": 1.1461983811438061, "realized_annual_volatility_pct": 70.31036930105289, "trading_costs_quote_units": 159.92138683321227, "borrowing_costs_quote_units": 39.395775346332364, "price_pnl_quote_units": -6986.755375575587, "turnover_quote_units": 53307.12894440411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2578.9517495234904, "return_pct": -74.2104825047651, "cagr_pct": -74.25036712650656, "max_drawdown_pct": 75.29180387284866, "mean_exposure_while_solvent": 1.1542643438757363, "realized_annual_volatility_pct": 70.88799320462685, "trading_costs_quote_units": 181.7280520024021, "borrowing_costs_quote_units": 40.317646482948454, "price_pnl_quote_units": -7199.002551991145, "turnover_quote_units": 60576.017334134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2825.5429533079264, "return_pct": -71.74457046692073, "cagr_pct": -71.7853263363997, "max_drawdown_pct": 72.39249437812593, "mean_exposure_while_solvent": 1.0831426859205047, "realized_annual_volatility_pct": 67.16807388723083, "trading_costs_quote_units": 145.4808288981203, "borrowing_costs_quote_units": 25.099877407840957, "price_pnl_quote_units": -7003.876340386101, "turnover_quote_units": 48493.60963270675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2834.801863593764, "return_pct": -71.65198136406235, "cagr_pct": -71.6927650207482, "max_drawdown_pct": 72.30202843158301, "mean_exposure_while_solvent": 1.1106469957309406, "realized_annual_volatility_pct": 68.87277723240751, "trading_costs_quote_units": 137.4260267369022, "borrowing_costs_quote_units": 31.735155396782904, "price_pnl_quote_units": -6996.036954272539, "turnover_quote_units": 45808.67557896743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2834.801863593764, "return_pct": -71.65198136406235, "cagr_pct": -71.6927650207482, "max_drawdown_pct": 72.30202843158301, "mean_exposure_while_solvent": 1.1106469957309406, "realized_annual_volatility_pct": 68.87277723240751, "trading_costs_quote_units": 137.4260267369022, "borrowing_costs_quote_units": 31.735155396782904, "price_pnl_quote_units": -6996.036954272539, "turnover_quote_units": 45808.67557896743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2726.7915173621864, "return_pct": -72.73208482637814, "cagr_pct": -72.77252254883531, "max_drawdown_pct": 73.35736409275846, "mean_exposure_while_solvent": 1.0654170705890855, "realized_annual_volatility_pct": 65.61892607753563, "trading_costs_quote_units": 140.75370434804725, "borrowing_costs_quote_units": 20.042576309971178, "price_pnl_quote_units": -7112.412201979794, "turnover_quote_units": 46917.901449349076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2735.726832961584, "return_pct": -72.64273167038415, "cagr_pct": -72.68319983807842, "max_drawdown_pct": 73.27005988973625, "mean_exposure_while_solvent": 1.0929213803995215, "realized_annual_volatility_pct": 67.36285191856001, "trading_costs_quote_units": 132.98041384417223, "borrowing_costs_quote_units": 26.445954363171577, "price_pnl_quote_units": -7104.846798831079, "turnover_quote_units": 44326.80461472407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2735.726832961584, "return_pct": -72.64273167038415, "cagr_pct": -72.68319983807842, "max_drawdown_pct": 73.27005988973625, "mean_exposure_while_solvent": 1.0929213803995215, "realized_annual_volatility_pct": 67.36285191856001, "trading_costs_quote_units": 132.98041384417223, "borrowing_costs_quote_units": 26.445954363171577, "price_pnl_quote_units": -7104.846798831079, "turnover_quote_units": 44326.80461472407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2012.9668906636623, "return_pct": -79.87033109336338, "cagr_pct": -79.90714909903825, "max_drawdown_pct": 81.99734719302344, "mean_exposure_while_solvent": 1.3888385712180995, "realized_annual_volatility_pct": 87.99584583462831, "trading_costs_quote_units": 191.49205786141317, "borrowing_costs_quote_units": 90.93225069023599, "price_pnl_quote_units": -7704.608800784683, "turnover_quote_units": 63830.68595380443, "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": 0, "trace": "reference-2022-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2679.1106556215504, "return_pct": -73.20889344378449, "cagr_pct": -73.249163025302, "max_drawdown_pct": 75.15273606924366, "mean_exposure_while_solvent": 1.1106834377220154, "realized_annual_volatility_pct": 71.19915313319993, "trading_costs_quote_units": 129.91222683620953, "borrowing_costs_quote_units": 29.273961896662232, "price_pnl_quote_units": -7161.703155645594, "turnover_quote_units": 43304.07561206984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2787.9562195371427, "return_pct": -72.12043780462858, "cagr_pct": -72.16107730199923, "max_drawdown_pct": 73.45856943387507, "mean_exposure_while_solvent": 1.1187042822367625, "realized_annual_volatility_pct": 68.64283042585325, "trading_costs_quote_units": 167.40526808215688, "borrowing_costs_quote_units": 65.81229150121591, "price_pnl_quote_units": -6978.8262208794795, "turnover_quote_units": 55801.75602738559, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2793.259946793926, "return_pct": -72.06740053206074, "cagr_pct": -72.10805679907952, "max_drawdown_pct": 73.40807778420672, "mean_exposure_while_solvent": 1.1462109524390454, "realized_annual_volatility_pct": 70.31187432471854, "trading_costs_quote_units": 159.62017858881563, "borrowing_costs_quote_units": 78.56999540352501, "price_pnl_quote_units": -6968.549879213733, "turnover_quote_units": 53206.72619627192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2558.94110387923, "return_pct": -74.41058896120771, "cagr_pct": -74.4503914038944, "max_drawdown_pct": 75.45544541329724, "mean_exposure_while_solvent": 1.154277594859332, "realized_annual_volatility_pct": 70.88991939560778, "trading_costs_quote_units": 181.40442780887986, "borrowing_costs_quote_units": 80.40084248591413, "price_pnl_quote_units": -7179.253625825978, "turnover_quote_units": 60468.14260295993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2813.64337272981, "return_pct": -71.86356627270189, "cagr_pct": -71.90428592113247, "max_drawdown_pct": 72.5029013725987, "mean_exposure_while_solvent": 1.0831498588537032, "realized_annual_volatility_pct": 67.1694428481435, "trading_costs_quote_units": 145.28855122451972, "borrowing_costs_quote_units": 50.12075877821456, "price_pnl_quote_units": -6990.947317267459, "turnover_quote_units": 48429.517074839896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2818.9959664837006, "return_pct": -71.810040335163, "cagr_pct": -71.85077634727037, "max_drawdown_pct": 72.45059168765793, "mean_exposure_while_solvent": 1.1106565290559862, "realized_annual_volatility_pct": 68.87419977900979, "trading_costs_quote_units": 137.21786822248933, "borrowing_costs_quote_units": 63.331218378448, "price_pnl_quote_units": -6980.454946915358, "turnover_quote_units": 45739.28940749645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2818.9959664837006, "return_pct": -71.810040335163, "cagr_pct": -71.85077634727037, "max_drawdown_pct": 72.45059168765793, "mean_exposure_while_solvent": 1.1106565290559862, "realized_annual_volatility_pct": 68.87419977900979, "trading_costs_quote_units": 137.21786822248933, "borrowing_costs_quote_units": 63.331218378448, "price_pnl_quote_units": -6980.454946915358, "turnover_quote_units": 45739.28940749645, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2717.703573730128, "return_pct": -72.82296426269872, "cagr_pct": -72.86337067696735, "max_drawdown_pct": 73.44049927180504, "mean_exposure_while_solvent": 1.0654227320686718, "realized_annual_volatility_pct": 65.6203727028356, "trading_costs_quote_units": 140.62195007653145, "borrowing_costs_quote_units": 40.036766596363485, "price_pnl_quote_units": -7101.637709596948, "turnover_quote_units": 46873.983358843805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2722.8736543859286, "return_pct": -72.77126345614072, "cagr_pct": -72.8116877239357, "max_drawdown_pct": 73.38997324598313, "mean_exposure_while_solvent": 1.0929294022709546, "realized_annual_volatility_pct": 67.36434709639683, "trading_costs_quote_units": 132.82646176068963, "borrowing_costs_quote_units": 52.79677506585884, "price_pnl_quote_units": -7091.50310878752, "turnover_quote_units": 44275.48725356321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2722.8736543859286, "return_pct": -72.77126345614072, "cagr_pct": -72.8116877239357, "max_drawdown_pct": 73.38997324598313, "mean_exposure_while_solvent": 1.0929294022709546, "realized_annual_volatility_pct": 67.36434709639683, "trading_costs_quote_units": 132.82646176068963, "borrowing_costs_quote_units": 52.79677506585884, "price_pnl_quote_units": -7091.50310878752, "turnover_quote_units": 44275.48725356321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1974.0189187174199, "return_pct": -80.2598108128258, "cagr_pct": -80.29635611662968, "max_drawdown_pct": 82.30008100173201, "mean_exposure_while_solvent": 1.3888719358424937, "realized_annual_volatility_pct": 87.99948088565509, "trading_costs_quote_units": 190.51130674823972, "borrowing_costs_quote_units": 180.62876637651763, "price_pnl_quote_units": -7654.841008157835, "turnover_quote_units": 63503.768916079905, "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": 0, "trace": "reference-2022-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2664.139287104763, "return_pct": -73.35860712895237, "cagr_pct": -73.39882192519993, "max_drawdown_pct": 75.27615847376971, "mean_exposure_while_solvent": 1.1106929838537196, "realized_annual_volatility_pct": 71.20109294093201, "trading_costs_quote_units": 129.7317675045236, "borrowing_costs_quote_units": 58.42107338640053, "price_pnl_quote_units": -7147.707872004326, "turnover_quote_units": 43243.92250150784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2754.6832277041935, "return_pct": -72.45316772295807, "cagr_pct": -72.49369937872659, "max_drawdown_pct": 73.66480284446185, "mean_exposure_while_solvent": 1.1187247084846832, "realized_annual_volatility_pct": 68.64576439655659, "trading_costs_quote_units": 166.83140742947188, "borrowing_costs_quote_units": 131.04799191845265, "price_pnl_quote_units": -6947.437372947881, "turnover_quote_units": 55610.4691431573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2752.3645754704826, "return_pct": -72.47635424529517, "cagr_pct": -72.51687821566617, "max_drawdown_pct": 73.68696951796385, "mean_exposure_while_solvent": 1.1462361004985906, "realized_annual_volatility_pct": 70.31491217603859, "trading_costs_quote_units": 159.02633550447223, "borrowing_costs_quote_units": 156.25929473735664, "price_pnl_quote_units": -6932.349794287698, "turnover_quote_units": 53008.77850149073, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2519.370456753077, "return_pct": -74.80629543246923, "cagr_pct": -74.8459300951515, "max_drawdown_pct": 75.77959599945437, "mean_exposure_while_solvent": 1.1543041025889789, "realized_annual_volatility_pct": 70.89380054665429, "trading_costs_quote_units": 180.76570483272886, "borrowing_costs_quote_units": 159.87000117836362, "price_pnl_quote_units": -7139.993837235827, "turnover_quote_units": 60255.23494424294, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2789.9852052139086, "return_pct": -72.10014794786092, "cagr_pct": -72.14079387419521, "max_drawdown_pct": 72.72247863211119, "mean_exposure_while_solvent": 1.0831642078454122, "realized_annual_volatility_pct": 67.17220120931592, "trading_costs_quote_units": 144.9094603010008, "borrowing_costs_quote_units": 99.92658473696565, "price_pnl_quote_units": -6965.1787497481355, "turnover_quote_units": 48303.15343366693, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2787.6368388525652, "return_pct": -72.12363161147435, "cagr_pct": -72.16427009533261, "max_drawdown_pct": 72.74543847199901, "mean_exposure_while_solvent": 1.1106755998593194, "realized_annual_volatility_pct": 68.87706888484276, "trading_costs_quote_units": 136.80795630177687, "borrowing_costs_quote_units": 126.10869216140941, "price_pnl_quote_units": -6949.4465126842715, "turnover_quote_units": 45602.652100592284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2787.6368388525652, "return_pct": -72.12363161147435, "cagr_pct": -72.16427009533261, "max_drawdown_pct": 72.74543847199901, "mean_exposure_while_solvent": 1.1106755998593194, "realized_annual_volatility_pct": 68.87706888484276, "trading_costs_quote_units": 136.80795630177687, "borrowing_costs_quote_units": 126.10869216140941, "price_pnl_quote_units": -6949.4465126842715, "turnover_quote_units": 45602.652100592284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2699.6109097006247, "return_pct": -73.00389090299375, "cagr_pct": -73.04423395351023, "max_drawdown_pct": 73.60606280752707, "mean_exposure_while_solvent": 1.0654340575004344, "realized_annual_volatility_pct": 65.62328365199302, "trading_costs_quote_units": 140.36306341263267, "borrowing_costs_quote_units": 79.88046328367912, "price_pnl_quote_units": -7080.145563603062, "turnover_quote_units": 46787.68780421091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2697.338612543924, "return_pct": -73.02661387456077, "cagr_pct": -73.06694886942624, "max_drawdown_pct": 73.62827892327218, "mean_exposure_while_solvent": 1.0929454495143416, "realized_annual_volatility_pct": 67.36735935441315, "trading_costs_quote_units": 132.5239865098534, "borrowing_costs_quote_units": 105.21446961098611, "price_pnl_quote_units": -7064.922931335242, "turnover_quote_units": 44174.66216995115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2697.338612543924, "return_pct": -73.02661387456077, "cagr_pct": -73.06694886942624, "max_drawdown_pct": 73.62827892327218, "mean_exposure_while_solvent": 1.0929454495143416, "realized_annual_volatility_pct": 67.36735935441315, "trading_costs_quote_units": 132.5239865098534, "borrowing_costs_quote_units": 105.21446961098611, "price_pnl_quote_units": -7064.922931335242, "turnover_quote_units": 44174.66216995115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1898.3444868981005, "return_pct": -81.016555131019, "cagr_pct": -81.0525453514837, "max_drawdown_pct": 82.89055486181152, "mean_exposure_while_solvent": 1.388938679605687, "realized_annual_volatility_pct": 88.00676982956593, "trading_costs_quote_units": 188.58941693780415, "borrowing_costs_quote_units": 356.3909417087729, "price_pnl_quote_units": -7556.675154455296, "turnover_quote_units": 62863.13897926809, "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": 0, "trace": "reference-2022-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2634.4364325782567, "return_pct": -73.65563567421744, "cagr_pct": -73.69573892929125, "max_drawdown_pct": 75.52125742314638, "mean_exposure_while_solvent": 1.1107120802833192, "realized_annual_volatility_pct": 71.20499628445536, "trading_costs_quote_units": 129.37704509573453, "borrowing_costs_quote_units": 116.33708170976662, "price_pnl_quote_units": -7119.849440616259, "turnover_quote_units": 43125.681698578184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2702.06519238405, "return_pct": -72.9793480761595, "cagr_pct": -73.01969980296579, "max_drawdown_pct": 74.05299628903408, "mean_exposure_while_solvent": 1.1182905014195261, "realized_annual_volatility_pct": 68.76073187499885, "trading_costs_quote_units": 167.62798906522028, "borrowing_costs_quote_units": 32.62349541702974, "price_pnl_quote_units": -7097.683323133694, "turnover_quote_units": 55875.99635507342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2707.337499708593, "return_pct": -72.92662500291407, "cagr_pct": -72.96699528215656, "max_drawdown_pct": 74.00236813316985, "mean_exposure_while_solvent": 1.1456017875193432, "realized_annual_volatility_pct": 70.43563847831761, "trading_costs_quote_units": 160.4321217456475, "borrowing_costs_quote_units": 38.87873905179602, "price_pnl_quote_units": -7093.351639493949, "turnover_quote_units": 53477.37391521585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2503.520000878433, "return_pct": -74.96479999121567, "cagr_pct": -75.00436546373793, "max_drawdown_pct": 76.04911451950176, "mean_exposure_while_solvent": 1.1537682278121337, "realized_annual_volatility_pct": 70.95342864436878, "trading_costs_quote_units": 182.49718937274895, "borrowing_costs_quote_units": 40.00571069629359, "price_pnl_quote_units": -7273.9770990525585, "turnover_quote_units": 60832.39645758295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2775.953366883776, "return_pct": -72.24046633116224, "cagr_pct": -72.28106745150046, "max_drawdown_pct": 72.85059832673745, "mean_exposure_while_solvent": 1.082675682687278, "realized_annual_volatility_pct": 67.21558637882907, "trading_costs_quote_units": 147.06729798348098, "borrowing_costs_quote_units": 25.03490253985245, "price_pnl_quote_units": -7051.9444325928835, "turnover_quote_units": 49022.4326611603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2781.3698458458903, "return_pct": -72.1863015415411, "cagr_pct": -72.22692005333799, "max_drawdown_pct": 72.79762403518359, "mean_exposure_while_solvent": 1.1099869687870951, "realized_annual_volatility_pct": 68.92804574965093, "trading_costs_quote_units": 139.53421755156938, "borrowing_costs_quote_units": 31.57604568910998, "price_pnl_quote_units": -7047.519890913448, "turnover_quote_units": 46511.405850523086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2781.3698458458903, "return_pct": -72.1863015415411, "cagr_pct": -72.22692005333799, "max_drawdown_pct": 72.79762403518359, "mean_exposure_while_solvent": 1.1099869687870951, "realized_annual_volatility_pct": 68.92804574965093, "trading_costs_quote_units": 139.53421755156938, "borrowing_costs_quote_units": 31.57604568910998, "price_pnl_quote_units": -7047.519890913448, "turnover_quote_units": 46511.405850523086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2679.196019857111, "return_pct": -73.2080398014289, "cagr_pct": -73.24830969257918, "max_drawdown_pct": 73.79690531827569, "mean_exposure_while_solvent": 1.0649319066658405, "realized_annual_volatility_pct": 65.64732026453309, "trading_costs_quote_units": 142.31261246311456, "borrowing_costs_quote_units": 20.027580726154675, "price_pnl_quote_units": -7158.463786953608, "turnover_quote_units": 47437.53748770485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2684.4237045329623, "return_pct": -73.15576295467038, "cagr_pct": -73.19605174851655, "max_drawdown_pct": 73.74577747413429, "mean_exposure_while_solvent": 1.0922431927656575, "realized_annual_volatility_pct": 67.39964190852791, "trading_costs_quote_units": 135.04210159963495, "borrowing_costs_quote_units": 26.340728814258053, "price_pnl_quote_units": -7154.193465053137, "turnover_quote_units": 45014.033866545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2684.4237045329623, "return_pct": -73.15576295467038, "cagr_pct": -73.19605174851655, "max_drawdown_pct": 73.74577747413429, "mean_exposure_while_solvent": 1.0922431927656575, "realized_annual_volatility_pct": 67.39964190852791, "trading_costs_quote_units": 135.04210159963495, "borrowing_costs_quote_units": 26.340728814258053, "price_pnl_quote_units": -7154.193465053137, "turnover_quote_units": 45014.033866545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2046.204010714279, "return_pct": -79.53795989285722, "cagr_pct": -79.57500380654274, "max_drawdown_pct": 81.69160961551127, "mean_exposure_while_solvent": 1.3883346155874638, "realized_annual_volatility_pct": 88.08735489614153, "trading_costs_quote_units": 190.84618679621354, "borrowing_costs_quote_units": 91.10561522718119, "price_pnl_quote_units": -7671.844187262331, "turnover_quote_units": 63615.39559873788, "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": 0, "trace": "reference-2022-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2615.6435881156185, "return_pct": -73.8435641188438, "cagr_pct": -73.8835948303534, "max_drawdown_pct": 75.4689942826, "mean_exposure_while_solvent": 1.110019379187245, "realized_annual_volatility_pct": 71.247375294988, "trading_costs_quote_units": 130.25962741646168, "borrowing_costs_quote_units": 28.804590046560843, "price_pnl_quote_units": -7225.292194421357, "turnover_quote_units": 43419.87580548721, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2685.8631916058284, "return_pct": -73.14136808394171, "cagr_pct": -73.18166206238679, "max_drawdown_pct": 74.18018825802197, "mean_exposure_while_solvent": 1.1183007870972999, "realized_annual_volatility_pct": 68.76212214616912, "trading_costs_quote_units": 167.37019941984772, "borrowing_costs_quote_units": 65.10471446584249, "price_pnl_quote_units": -7081.661894508469, "turnover_quote_units": 55790.06647328249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2687.4177850052965, "return_pct": -73.12582214994703, "cagr_pct": -73.166121717677, "max_drawdown_pct": 74.16524359924894, "mean_exposure_while_solvent": 1.1456144057437367, "realized_annual_volatility_pct": 70.43707884719021, "trading_costs_quote_units": 160.16023980713456, "borrowing_costs_quote_units": 77.54057160446774, "price_pnl_quote_units": -7074.881403583099, "turnover_quote_units": 53386.74660237818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2484.067075026929, "return_pct": -75.15932924973072, "cagr_pct": -75.1988082401313, "max_drawdown_pct": 76.20852466234125, "mean_exposure_while_solvent": 1.1537815404054927, "realized_annual_volatility_pct": 70.95520730137463, "trading_costs_quote_units": 182.19904461716263, "borrowing_costs_quote_units": 79.78016261378072, "price_pnl_quote_units": -7253.953717742109, "turnover_quote_units": 60733.01487238749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2764.2431864190653, "return_pct": -72.35756813580934, "cagr_pct": -72.39813124386673, "max_drawdown_pct": 72.95936189629624, "mean_exposure_while_solvent": 1.0826829183665314, "realized_annual_volatility_pct": 67.2168641763647, "trading_costs_quote_units": 146.89426362611948, "borrowing_costs_quote_units": 49.99116836588255, "price_pnl_quote_units": -7038.871381588915, "turnover_quote_units": 48964.75454203986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2765.843146620151, "return_pct": -72.3415685337985, "cagr_pct": -72.38213686881998, "max_drawdown_pct": 72.94371061605054, "mean_exposure_while_solvent": 1.109996537012968, "realized_annual_volatility_pct": 68.92937916352034, "trading_costs_quote_units": 139.3414061024333, "borrowing_costs_quote_units": 63.01420073763419, "price_pnl_quote_units": -7031.801246539774, "turnover_quote_units": 46447.13536747776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2765.843146620151, "return_pct": -72.3415685337985, "cagr_pct": -72.38213686881998, "max_drawdown_pct": 72.94371061605054, "mean_exposure_while_solvent": 1.109996537012968, "realized_annual_volatility_pct": 68.92937916352034, "trading_costs_quote_units": 139.3414061024333, "borrowing_costs_quote_units": 63.01420073763419, "price_pnl_quote_units": -7031.801246539774, "turnover_quote_units": 46447.13536747776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2670.251419262189, "return_pct": -73.29748580737811, "cagr_pct": -73.33772308568788, "max_drawdown_pct": 73.87881694746675, "mean_exposure_while_solvent": 1.0649376286351138, "realized_annual_volatility_pct": 65.64872506950807, "trading_costs_quote_units": 142.1929306979044, "borrowing_costs_quote_units": 40.007014031108476, "price_pnl_quote_units": -7147.5486360087825, "turnover_quote_units": 47397.643565968145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2671.7969764760724, "return_pct": -73.28203023523928, "cagr_pct": -73.32227317320789, "max_drawdown_pct": 73.86369785320812, "mean_exposure_while_solvent": 1.0922512472815504, "realized_annual_volatility_pct": 67.40109619732627, "trading_costs_quote_units": 134.89689081935998, "borrowing_costs_quote_units": 52.587227973433926, "price_pnl_quote_units": -7140.7189047311185, "turnover_quote_units": 44965.630273120005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2671.7969764760724, "return_pct": -73.28203023523928, "cagr_pct": -73.32227317320789, "max_drawdown_pct": 73.86369785320812, "mean_exposure_while_solvent": 1.0922512472815504, "realized_annual_volatility_pct": 67.40109619732627, "trading_costs_quote_units": 134.89689081935998, "borrowing_costs_quote_units": 52.587227973433926, "price_pnl_quote_units": -7140.7189047311185, "turnover_quote_units": 44965.630273120005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2006.6461705088582, "return_pct": -79.93353829491141, "cagr_pct": -79.97031263386683, "max_drawdown_pct": 81.99954520644799, "mean_exposure_while_solvent": 1.3883680320203473, "realized_annual_volatility_pct": 88.09035548368112, "trading_costs_quote_units": 189.92722082992884, "borrowing_costs_quote_units": 180.97028303457503, "price_pnl_quote_units": -7622.456325626631, "turnover_quote_units": 63309.07360997624, "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": 0, "trace": "reference-2022-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2601.0061424470164, "return_pct": -73.98993857552983, "cagr_pct": -74.02991171669791, "max_drawdown_pct": 75.59033813902855, "mean_exposure_while_solvent": 1.1100289565265686, "realized_annual_volatility_pct": 71.24922326463461, "trading_costs_quote_units": 130.10096636736705, "borrowing_costs_quote_units": 57.48452134459929, "price_pnl_quote_units": -7211.408369841, "turnover_quote_units": 43366.988789122326, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2653.740344877304, "return_pct": -73.46259655122695, "cagr_pct": -73.50277272929225, "max_drawdown_pct": 74.4327739396718, "mean_exposure_while_solvent": 1.1183213629395365, "realized_annual_volatility_pct": 68.76492664949, "trading_costs_quote_units": 166.85786788315016, "borrowing_costs_quote_units": 129.64310596618154, "price_pnl_quote_units": -7049.758681273374, "turnover_quote_units": 55619.2892943834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2648.0052835817983, "return_pct": -73.51994716418201, "cagr_pct": -73.56010184523763, "max_drawdown_pct": 74.48802787922735, "mean_exposure_while_solvent": 1.1456396476890558, "realized_annual_volatility_pct": 70.43998629966768, "trading_costs_quote_units": 159.62056656250707, "borrowing_costs_quote_units": 154.21895035866135, "price_pnl_quote_units": -7038.155199497045, "turnover_quote_units": 53206.85552083567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2445.600639581329, "return_pct": -75.54399360418671, "cagr_pct": -75.58329645134975, "max_drawdown_pct": 76.52427011744787, "mean_exposure_while_solvent": 1.1538081713908988, "realized_annual_volatility_pct": 70.95879187677198, "trading_costs_quote_units": 181.61328537377486, "borrowing_costs_quote_units": 158.64124927628154, "price_pnl_quote_units": -7214.144825768612, "turnover_quote_units": 60537.761791258345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2740.9644308948073, "return_pct": -72.59035569105193, "cagr_pct": -72.63084154981199, "max_drawdown_pct": 73.175642904443, "mean_exposure_while_solvent": 1.0826973928870969, "realized_annual_volatility_pct": 67.21943851240255, "trading_costs_quote_units": 146.5494241790344, "borrowing_costs_quote_units": 99.66885414560488, "price_pnl_quote_units": -7012.817290780544, "turnover_quote_units": 48849.808059678144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2735.040867555117, "return_pct": -72.64959132444883, "cagr_pct": -72.69005716667965, "max_drawdown_pct": 73.2336136597403, "mean_exposure_while_solvent": 1.1100156776366161, "realized_annual_volatility_pct": 68.9320686399445, "trading_costs_quote_units": 138.95773336794366, "borrowing_costs_quote_units": 125.47947410095796, "price_pnl_quote_units": -7000.521924975988, "turnover_quote_units": 46319.24445598123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2735.040867555117, "return_pct": -72.64959132444883, "cagr_pct": -72.69005716667965, "max_drawdown_pct": 73.2336136597403, "mean_exposure_while_solvent": 1.1100156776366161, "realized_annual_volatility_pct": 68.9320686399445, "trading_costs_quote_units": 138.95773336794366, "borrowing_costs_quote_units": 125.47947410095796, "price_pnl_quote_units": -7000.521924975988, "turnover_quote_units": 46319.24445598123, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2652.4468085864514, "return_pct": -73.47553191413549, "cagr_pct": -73.51570325594476, "max_drawdown_pct": 74.04191766645218, "mean_exposure_while_solvent": 1.064949075081521, "realized_annual_volatility_pct": 65.65155071144375, "trading_costs_quote_units": 141.954151836907, "borrowing_costs_quote_units": 79.82192673771412, "price_pnl_quote_units": -7125.777112838962, "turnover_quote_units": 47318.05061230231, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2646.7145427829532, "return_pct": -73.53285457217046, "cagr_pct": -73.57300439554172, "max_drawdown_pct": 74.09801629478406, "mean_exposure_while_solvent": 1.0922673598310404, "realized_annual_volatility_pct": 67.40402535421819, "trading_costs_quote_units": 134.60762962863484, "borrowing_costs_quote_units": 104.79900989740496, "price_pnl_quote_units": -7113.878817691026, "turnover_quote_units": 44869.20987621158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2646.7145427829532, "return_pct": -73.53285457217046, "cagr_pct": -73.57300439554172, "max_drawdown_pct": 74.09801629478406, "mean_exposure_while_solvent": 1.0922673598310404, "realized_annual_volatility_pct": 67.40402535421819, "trading_costs_quote_units": 134.60762962863484, "borrowing_costs_quote_units": 104.79900989740496, "price_pnl_quote_units": -7113.878817691026, "turnover_quote_units": 44869.20987621158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1929.7855319798791, "return_pct": -80.7021446802012, "cagr_pct": -80.7383696289421, "max_drawdown_pct": 82.60013976130047, "mean_exposure_while_solvent": 1.3884348794374122, "realized_annual_volatility_pct": 88.096375231313, "trading_costs_quote_units": 188.1251390641902, "borrowing_costs_quote_units": 357.05365621144233, "price_pnl_quote_units": -7525.035672744484, "turnover_quote_units": 62708.37968806344, "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": 0, "trace": "reference-2022-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2571.9683326149843, "return_pct": -74.28031667385015, "cagr_pct": -74.32017281838776, "max_drawdown_pct": 75.8312938529678, "mean_exposure_while_solvent": 1.1100481153847703, "realized_annual_volatility_pct": 71.25294161543476, "trading_costs_quote_units": 129.78569808779446, "borrowing_costs_quote_units": 114.47274320881485, "price_pnl_quote_units": -7183.773226088395, "turnover_quote_units": 43261.89936259817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2022-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2022-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2873.6248663836604, "return_pct": -71.2637513361634, "cagr_pct": -71.30464775965046, "max_drawdown_pct": 72.93605054428744, "mean_exposure_while_solvent": 1.11869341374462, "realized_annual_volatility_pct": 68.23284029107607, "trading_costs_quote_units": 33.83103299698776, "borrowing_costs_quote_units": 33.33423995658872, "price_pnl_quote_units": -7059.209860662766, "turnover_quote_units": 56385.05499497958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2877.991819968525, "return_pct": -71.22008180031474, "cagr_pct": -71.26099053202802, "max_drawdown_pct": 72.89492234676985, "mean_exposure_while_solvent": 1.146198187972138, "realized_annual_volatility_pct": 69.91164532598017, "trading_costs_quote_units": 32.24399762550106, "borrowing_costs_quote_units": 39.822909753863215, "price_pnl_quote_units": -7049.941272652119, "turnover_quote_units": 53739.99604250176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2646.345015982033, "return_pct": -73.53654984017966, "cagr_pct": -73.5766982715191, "max_drawdown_pct": 74.79586129733826, "mean_exposure_while_solvent": 1.15426257560073, "realized_annual_volatility_pct": 70.46825917839804, "trading_costs_quote_units": 36.68193445569337, "borrowing_costs_quote_units": 40.84262982288848, "price_pnl_quote_units": -7276.130419739391, "turnover_quote_units": 61136.55742615567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2884.968375567501, "return_pct": -71.150316244325, "cagr_pct": -71.19124448247678, "max_drawdown_pct": 71.96737496932181, "mean_exposure_while_solvent": 1.0831422964378346, "realized_annual_volatility_pct": 66.74853693425888, "trading_costs_quote_units": 29.30786891611828, "borrowing_costs_quote_units": 25.31308365968871, "price_pnl_quote_units": -7060.410671856702, "turnover_quote_units": 48846.44819353046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2889.3525675117135, "return_pct": -71.10647432488287, "cagr_pct": -71.14741472263933, "max_drawdown_pct": 71.92477470726159, "mean_exposure_while_solvent": 1.1106470706653522, "realized_annual_volatility_pct": 68.46374797011538, "trading_costs_quote_units": 27.66889598819675, "borrowing_costs_quote_units": 32.00785845972306, "price_pnl_quote_units": -7050.970678040376, "turnover_quote_units": 46114.826646994574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2889.3525675117135, "return_pct": -71.10647432488287, "cagr_pct": -71.14741472263933, "max_drawdown_pct": 71.92477470726159, "mean_exposure_while_solvent": 1.1106470706653522, "realized_annual_volatility_pct": 68.46374797011538, "trading_costs_quote_units": 27.66889598819675, "borrowing_costs_quote_units": 32.00785845972306, "price_pnl_quote_units": -7050.970678040376, "turnover_quote_units": 46114.826646994574, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2782.5493338032015, "return_pct": -72.17450666196798, "cagr_pct": -72.2151289449388, "max_drawdown_pct": 72.93062374687949, "mean_exposure_while_solvent": 1.0654170604066875, "realized_annual_volatility_pct": 65.1898194228156, "trading_costs_quote_units": 28.346779861563515, "borrowing_costs_quote_units": 20.204388004433294, "price_pnl_quote_units": -7168.899498330808, "turnover_quote_units": 47244.63310260583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2786.7778828843448, "return_pct": -72.13222117115656, "cagr_pct": -72.17285692715875, "max_drawdown_pct": 72.88948730243564, "mean_exposure_while_solvent": 1.0929218346342051, "realized_annual_volatility_pct": 66.94498235065527, "trading_costs_quote_units": 26.7659919862675, "borrowing_costs_quote_units": 26.66149211606279, "price_pnl_quote_units": -7159.794633013317, "turnover_quote_units": 44609.986643779186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2786.7778828843448, "return_pct": -72.13222117115656, "cagr_pct": -72.17285692715875, "max_drawdown_pct": 72.88948730243564, "mean_exposure_while_solvent": 1.0929218346342051, "realized_annual_volatility_pct": 66.94498235065527, "trading_costs_quote_units": 26.7659919862675, "borrowing_costs_quote_units": 26.66149211606279, "price_pnl_quote_units": -7159.794633013317, "turnover_quote_units": 44609.986643779186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2073.25601698183, "return_pct": -79.2674398301817, "cagr_pct": -79.30466305934446, "max_drawdown_pct": 81.57527024931302, "mean_exposure_while_solvent": 1.388838124700717, "realized_annual_volatility_pct": 87.25337101693164, "trading_costs_quote_units": 38.64274935435317, "borrowing_costs_quote_units": 92.07948137079192, "price_pnl_quote_units": -7796.021752293012, "turnover_quote_units": 64404.582257255235, "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": 0, "trace": "binance-2022-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2731.2819233397704, "return_pct": -72.6871807666023, "cagr_pct": -72.72763383090354, "max_drawdown_pct": 74.7828397631322, "mean_exposure_while_solvent": 1.110685220290062, "realized_annual_volatility_pct": 70.60583540896538, "trading_costs_quote_units": 26.159372183654014, "borrowing_costs_quote_units": 29.529070536968472, "price_pnl_quote_units": -7213.029633939612, "turnover_quote_units": 43598.95363942332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2856.442015534508, "return_pct": -71.43557984465491, "cagr_pct": -71.47642710169481, "max_drawdown_pct": 73.04128914839228, "mean_exposure_while_solvent": 1.1187036244711661, "realized_annual_volatility_pct": 68.23427497749712, "trading_costs_quote_units": 33.771998180149104, "borrowing_costs_quote_units": 66.5214442267055, "price_pnl_quote_units": -7043.264542058644, "turnover_quote_units": 56286.66363358184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2856.8670393664975, "return_pct": -71.43132960633503, "cagr_pct": -71.47217809372964, "max_drawdown_pct": 73.03727783133093, "mean_exposure_while_solvent": 1.146210759147171, "realized_annual_volatility_pct": 69.9131281723307, "trading_costs_quote_units": 32.182834860164554, "borrowing_costs_quote_units": 79.42112597190457, "price_pnl_quote_units": -7031.528999801432, "turnover_quote_units": 53638.05810027423, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2625.8256274981313, "return_pct": -73.7417437250187, "cagr_pct": -73.78181393155818, "max_drawdown_pct": 74.9626671896929, "mean_exposure_while_solvent": 1.1542758261998225, "realized_annual_volatility_pct": 70.47015686266586, "trading_costs_quote_units": 36.6160742134313, "borrowing_costs_quote_units": 81.44687776313951, "price_pnl_quote_units": -7256.111420525298, "turnover_quote_units": 61026.790355718826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2872.8289211963165, "return_pct": -71.27171078803684, "cagr_pct": -71.31260495999796, "max_drawdown_pct": 72.05322573081058, "mean_exposure_while_solvent": 1.0831494692945567, "realized_annual_volatility_pct": 66.7498902950474, "trading_costs_quote_units": 29.26889803850825, "borrowing_costs_quote_units": 50.546285313390996, "price_pnl_quote_units": -7047.355895451799, "turnover_quote_units": 48781.49673084709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2873.2563833153113, "return_pct": -71.26743616684689, "cagr_pct": -71.30833154830228, "max_drawdown_pct": 72.0490673950113, "mean_exposure_while_solvent": 1.1106566039705619, "realized_annual_volatility_pct": 68.46515212681744, "trading_costs_quote_units": 27.626711009921525, "borrowing_costs_quote_units": 63.875162061317994, "price_pnl_quote_units": -7035.241743613472, "turnover_quote_units": 46044.51834986921, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2873.2563833153113, "return_pct": -71.26743616684689, "cagr_pct": -71.30833154830228, "max_drawdown_pct": 72.0490673950113, "mean_exposure_while_solvent": 1.1106566039705619, "realized_annual_volatility_pct": 68.46515212681744, "trading_costs_quote_units": 27.626711009921525, "borrowing_costs_quote_units": 63.875162061317994, "price_pnl_quote_units": -7035.241743613472, "turnover_quote_units": 46044.51834986921, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2773.287167046306, "return_pct": -72.26712832953694, "cagr_pct": -72.30772084482714, "max_drawdown_pct": 73.01499713372439, "mean_exposure_while_solvent": 1.0654227218646817, "realized_annual_volatility_pct": 65.19125051139714, "trading_costs_quote_units": 28.32009159344725, "borrowing_costs_quote_units": 40.35988654480241, "price_pnl_quote_units": -7158.0328548154575, "turnover_quote_units": 47200.15265574543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2773.699817865943, "return_pct": -72.26300182134058, "cagr_pct": -72.30359567035742, "max_drawdown_pct": 73.0109819045469, "mean_exposure_while_solvent": 1.0929298565406866, "realized_annual_volatility_pct": 66.9464591490898, "trading_costs_quote_units": 26.73480533478173, "borrowing_costs_quote_units": 53.226925916146136, "price_pnl_quote_units": -7146.338450883127, "turnover_quote_units": 44558.00889130288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2773.699817865943, "return_pct": -72.26300182134058, "cagr_pct": -72.30359567035742, "max_drawdown_pct": 73.0109819045469, "mean_exposure_while_solvent": 1.0929298565406866, "realized_annual_volatility_pct": 66.9464591490898, "trading_costs_quote_units": 26.73480533478173, "borrowing_costs_quote_units": 53.226925916146136, "price_pnl_quote_units": -7146.338450883127, "turnover_quote_units": 44558.00889130288, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2033.1503352019092, "return_pct": -79.6684966479809, "cagr_pct": -79.70545257803387, "max_drawdown_pct": 81.88502229971873, "mean_exposure_while_solvent": 1.388871489642461, "realized_annual_volatility_pct": 87.25694036970916, "trading_costs_quote_units": 38.44375350743426, "borrowing_costs_quote_units": 182.90132352826365, "price_pnl_quote_units": -7745.504587762397, "turnover_quote_units": 64072.9225123904, "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": 0, "trace": "binance-2022-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2716.0323262406937, "return_pct": -72.83967673759307, "cagr_pct": -72.8800773566387, "max_drawdown_pct": 74.90798996719712, "mean_exposure_while_solvent": 1.1106947666253555, "realized_annual_volatility_pct": 70.60774936435662, "trading_costs_quote_units": 26.122766783548894, "borrowing_costs_quote_units": 58.929993881160094, "price_pnl_quote_units": -7198.9149130946, "turnover_quote_units": 43537.94463924815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2822.3741822824936, "return_pct": -71.77625817717505, "cagr_pct": -71.81700445724944, "max_drawdown_pct": 73.25060092893774, "mean_exposure_while_solvent": 1.1187240503652518, "realized_annual_volatility_pct": 68.23716901978251, "trading_costs_quote_units": 33.655088709034764, "borrowing_costs_quote_units": 132.45763667788884, "price_pnl_quote_units": -7011.513092330594, "turnover_quote_units": 56091.814515057915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2815.069673561277, "return_pct": -71.84930326438723, "cagr_pct": -71.89002728458493, "max_drawdown_pct": 73.31983031036718, "mean_exposure_while_solvent": 1.1462359069662011, "realized_annual_volatility_pct": 69.91612098772181, "trading_costs_quote_units": 32.061870493075546, "borrowing_costs_quote_units": 157.94913023937087, "price_pnl_quote_units": -6994.919325706298, "turnover_quote_units": 53436.45082179258, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2585.2514701656523, "return_pct": -74.14748529834347, "cagr_pct": -74.18739542406254, "max_drawdown_pct": 75.29306755466764, "mean_exposure_while_solvent": 1.154302333160173, "realized_annual_volatility_pct": 70.47398033240121, "trading_costs_quote_units": 36.48574158589299, "borrowing_costs_quote_units": 161.94649616622823, "price_pnl_quote_units": -7216.316292082212, "turnover_quote_units": 60809.56930982162, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2848.6961059428145, "return_pct": -71.51303894057186, "cagr_pct": -71.55386364823212, "max_drawdown_pct": 72.26946162309385, "mean_exposure_while_solvent": 1.0831638181332472, "realized_annual_volatility_pct": 66.75261660845332, "trading_costs_quote_units": 29.191736989040525, "borrowing_costs_quote_units": 100.77412306820325, "price_pnl_quote_units": -7021.338033999933, "turnover_quote_units": 48652.89498173416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2841.32347417748, "return_pct": -71.5867652582252, "cagr_pct": -71.62756827980779, "max_drawdown_pct": 72.34123026408048, "mean_exposure_while_solvent": 1.1106756747341966, "realized_annual_volatility_pct": 68.46798362996135, "trading_costs_quote_units": 27.543292727716096, "borrowing_costs_quote_units": 127.19079137799952, "price_pnl_quote_units": -7003.942441716775, "turnover_quote_units": 45905.4878795268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2841.32347417748, "return_pct": -71.5867652582252, "cagr_pct": -71.62756827980779, "max_drawdown_pct": 72.34123026408048, "mean_exposure_while_solvent": 1.1106756747341966, "realized_annual_volatility_pct": 68.46798362996135, "trading_costs_quote_units": 27.543292727716096, "borrowing_costs_quote_units": 127.19079137799952, "price_pnl_quote_units": -7003.942441716775, "turnover_quote_units": 45905.4878795268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2754.849845498832, "return_pct": -72.45150154501168, "cagr_pct": -72.49203375219268, "max_drawdown_pct": 73.18300495309032, "mean_exposure_while_solvent": 1.06543404725324, "realized_annual_volatility_pct": 65.19412950119641, "trading_costs_quote_units": 28.26733500819792, "borrowing_costs_quote_units": 80.52471022469372, "price_pnl_quote_units": -7136.358109268265, "turnover_quote_units": 47112.22501366321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2747.720094649918, "return_pct": -72.52279905350082, "cagr_pct": -72.56330756219688, "max_drawdown_pct": 73.25240927779913, "mean_exposure_while_solvent": 1.0929459038541893, "realized_annual_volatility_pct": 66.9494337936559, "trading_costs_quote_units": 26.67319640943714, "borrowing_costs_quote_units": 106.07111879386991, "price_pnl_quote_units": -7119.5355901467765, "turnover_quote_units": 44455.3273490619, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2747.720094649918, "return_pct": -72.52279905350082, "cagr_pct": -72.56330756219688, "max_drawdown_pct": 73.25240927779913, "mean_exposure_while_solvent": 1.0929459038541893, "realized_annual_volatility_pct": 66.9494337936559, "trading_costs_quote_units": 26.67319640943714, "borrowing_costs_quote_units": 106.07111879386991, "price_pnl_quote_units": -7119.5355901467765, "turnover_quote_units": 44455.3273490619, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1955.2296419011614, "return_pct": -80.44770358098839, "cagr_pct": -80.48411420253746, "max_drawdown_pct": 82.4891610976155, "mean_exposure_while_solvent": 1.3889382340405982, "realized_annual_volatility_pct": 87.2640987339627, "trading_costs_quote_units": 38.053225966621646, "borrowing_costs_quote_units": 360.8503159703439, "price_pnl_quote_units": -7645.866816161894, "turnover_quote_units": 63422.043277702694, "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": 0, "trace": "binance-2022-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2685.779203045758, "return_pct": -73.14220796954241, "cagr_pct": -73.182501645728, "max_drawdown_pct": 75.15650086657159, "mean_exposure_while_solvent": 1.1107138634622222, "realized_annual_volatility_pct": 70.61160010800621, "trading_costs_quote_units": 26.050782277485965, "borrowing_costs_quote_units": 117.3497961404367, "price_pnl_quote_units": -7170.820218536317, "turnover_quote_units": 43417.9704624766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2772.519514005229, "return_pct": -72.27480485994771, "cagr_pct": -72.31539489224524, "max_drawdown_pct": 73.5881860806184, "mean_exposure_while_solvent": 1.1182875499471086, "realized_annual_volatility_pct": 68.3288234472362, "trading_costs_quote_units": 33.830224559243376, "borrowing_costs_quote_units": 32.99033780657212, "price_pnl_quote_units": -7160.659923628948, "turnover_quote_units": 56383.70759873896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2773.783896245763, "return_pct": -72.26216103754237, "cagr_pct": -72.30275515822258, "max_drawdown_pct": 73.57614121374145, "mean_exposure_while_solvent": 1.1455981929454768, "realized_annual_volatility_pct": 70.00878980437993, "trading_costs_quote_units": 32.358333315832866, "borrowing_costs_quote_units": 39.324034533151035, "price_pnl_quote_units": -7154.533735905245, "turnover_quote_units": 53930.555526388074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2572.779787219687, "return_pct": -74.27220212780313, "cagr_pct": -74.3120615924204, "max_drawdown_pct": 75.53890349991762, "mean_exposure_while_solvent": 1.153764062213989, "realized_annual_volatility_pct": 70.5253094399542, "trading_costs_quote_units": 36.85100130813424, "borrowing_costs_quote_units": 40.549110927396534, "price_pnl_quote_units": -7349.82010054475, "turnover_quote_units": 61418.335513557126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2837.145375374625, "return_pct": -71.62854624625375, "cagr_pct": -71.66933688132644, "max_drawdown_pct": 72.3804365176548, "mean_exposure_while_solvent": 1.082674099012519, "realized_annual_volatility_pct": 66.77622582919773, "trading_costs_quote_units": 29.637793584452467, "borrowing_costs_quote_units": 25.253838140961026, "price_pnl_quote_units": -7107.962992899957, "turnover_quote_units": 49396.322640754115, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2838.4392296498822, "return_pct": -71.61560770350117, "cagr_pct": -71.65640218187484, "max_drawdown_pct": 72.36784086760369, "mean_exposure_while_solvent": 1.1099847420108873, "realized_annual_volatility_pct": 68.49428279822196, "trading_costs_quote_units": 28.10264098258738, "borrowing_costs_quote_units": 31.858031637499767, "price_pnl_quote_units": -7101.600097730035, "turnover_quote_units": 46837.734970978985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2838.4392296498822, "return_pct": -71.61560770350117, "cagr_pct": -71.65640218187484, "max_drawdown_pct": 72.36784086760369, "mean_exposure_while_solvent": 1.1099847420108873, "realized_annual_volatility_pct": 68.49428279822196, "trading_costs_quote_units": 28.10264098258738, "borrowing_costs_quote_units": 31.858031637499767, "price_pnl_quote_units": -7101.600097730035, "turnover_quote_units": 46837.734970978985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2737.0910849429356, "return_pct": -72.62908915057065, "cagr_pct": -72.6695619373243, "max_drawdown_pct": 73.35446338643806, "mean_exposure_while_solvent": 1.0649312911768467, "realized_annual_volatility_pct": 65.20203000595804, "trading_costs_quote_units": 28.673074138414165, "borrowing_costs_quote_units": 20.19514881316739, "price_pnl_quote_units": -7214.040692105469, "turnover_quote_units": 47788.456897356926, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2738.3393103714798, "return_pct": -72.61660689628519, "cagr_pct": -72.65708390245656, "max_drawdown_pct": 73.34231193245787, "mean_exposure_while_solvent": 1.092241934175215, "realized_annual_volatility_pct": 66.96049063998903, "trading_costs_quote_units": 27.192059969361576, "borrowing_costs_quote_units": 26.566439935402293, "price_pnl_quote_units": -7207.902189723758, "turnover_quote_units": 45320.09994893594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2738.3393103714798, "return_pct": -72.61660689628519, "cagr_pct": -72.65708390245656, "max_drawdown_pct": 73.34231193245787, "mean_exposure_while_solvent": 1.092241934175215, "realized_annual_volatility_pct": 66.96049063998903, "trading_costs_quote_units": 27.192059969361576, "borrowing_costs_quote_units": 26.566439935402293, "price_pnl_quote_units": -7207.902189723758, "turnover_quote_units": 45320.09994893594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2109.557446042564, "return_pct": -78.90442553957435, "cagr_pct": -78.94188307334011, "max_drawdown_pct": 81.24526518798987, "mean_exposure_while_solvent": 1.3883372560581864, "realized_annual_volatility_pct": 87.3389833787324, "trading_costs_quote_units": 38.474026870212036, "borrowing_costs_quote_units": 92.31439048749533, "price_pnl_quote_units": -7759.654136599709, "turnover_quote_units": 64123.378117020016, "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": 0, "trace": "binance-2022-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2670.5656703967034, "return_pct": -73.29434329603298, "cagr_pct": -73.33458172592246, "max_drawdown_pct": 75.09603427660703, "mean_exposure_while_solvent": 1.1100282853358143, "realized_annual_volatility_pct": 70.64512895690933, "trading_costs_quote_units": 26.210140117460917, "borrowing_costs_quote_units": 29.06543597917838, "price_pnl_quote_units": -7274.158753506666, "turnover_quote_units": 43683.566862434825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2755.917468812327, "return_pct": -72.44082531187672, "cagr_pct": -72.48136104956859, "max_drawdown_pct": 73.6916390737337, "mean_exposure_while_solvent": 1.1182978351788715, "realized_annual_volatility_pct": 68.3301859296687, "trading_costs_quote_units": 33.77758905041128, "borrowing_costs_quote_units": 65.836267626241, "price_pnl_quote_units": -7144.468674511023, "turnover_quote_units": 56295.98175068545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2753.3998171300855, "return_pct": -72.46600182869915, "cagr_pct": -72.50652923323346, "max_drawdown_pct": 73.71567291723322, "mean_exposure_while_solvent": 1.1456108106898069, "realized_annual_volatility_pct": 70.01020162273149, "trading_costs_quote_units": 32.302834911107915, "borrowing_costs_quote_units": 78.42802082627986, "price_pnl_quote_units": -7135.869327132538, "turnover_quote_units": 53838.05818517983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2552.813216101268, "return_pct": -74.47186783898732, "cagr_pct": -74.51164475922488, "max_drawdown_pct": 75.70151383826817, "mean_exposure_while_solvent": 1.1537773742396398, "realized_annual_volatility_pct": 70.5270578709747, "trading_costs_quote_units": 36.790063427716106, "borrowing_costs_quote_units": 80.86303313697205, "price_pnl_quote_units": -7329.533687334052, "turnover_quote_units": 61316.772379526825, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2825.1948478249105, "return_pct": -71.7480515217509, "cagr_pct": -71.78880633976999, "max_drawdown_pct": 72.49093118821668, "mean_exposure_while_solvent": 1.0826813343675434, "realized_annual_volatility_pct": 66.7774802518633, "trading_costs_quote_units": 29.602710938098895, "borrowing_costs_quote_units": 50.42819080399735, "price_pnl_quote_units": -7094.774250433015, "turnover_quote_units": 49337.85156349816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2822.6139082134105, "return_pct": -71.77386091786589, "cagr_pct": -71.81460792482383, "max_drawdown_pct": 72.51606193111976, "mean_exposure_while_solvent": 1.1099943098784788, "realized_annual_volatility_pct": 68.4955918180808, "trading_costs_quote_units": 28.06354841481843, "borrowing_costs_quote_units": 63.576728101781924, "price_pnl_quote_units": -7085.745815270018, "turnover_quote_units": 46772.58069136405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2822.6139082134105, "return_pct": -71.77386091786589, "cagr_pct": -71.81460792482383, "max_drawdown_pct": 72.51606193111976, "mean_exposure_while_solvent": 1.1099943098784788, "realized_annual_volatility_pct": 68.4955918180808, "trading_costs_quote_units": 28.06354841481843, "borrowing_costs_quote_units": 63.576728101781924, "price_pnl_quote_units": -7085.745815270018, "turnover_quote_units": 46772.58069136405, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2727.9693159364133, "return_pct": -72.72030684063586, "cagr_pct": -72.7607485953016, "max_drawdown_pct": 73.43762123653035, "mean_exposure_while_solvent": 1.0649370129740072, "realized_annual_volatility_pct": 65.20341121191376, "trading_costs_quote_units": 28.6488189248181, "borrowing_costs_quote_units": 40.341653271493136, "price_pnl_quote_units": -7203.040211867259, "turnover_quote_units": 47748.03154136349, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2725.477196119656, "return_pct": -72.74522803880343, "cagr_pct": -72.78566125480785, "max_drawdown_pct": 73.46188713648381, "mean_exposure_while_solvent": 1.0922499884849426, "realized_annual_volatility_pct": 66.9619203016933, "trading_costs_quote_units": 27.162624746394965, "borrowing_costs_quote_units": 53.03770017438805, "price_pnl_quote_units": -7194.322478959546, "turnover_quote_units": 45271.04124399161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2725.477196119656, "return_pct": -72.74522803880343, "cagr_pct": -72.78566125480785, "max_drawdown_pct": 73.46188713648381, "mean_exposure_while_solvent": 1.0922499884849426, "realized_annual_volatility_pct": 66.9619203016933, "trading_costs_quote_units": 27.162624746394965, "borrowing_costs_quote_units": 53.03770017438805, "price_pnl_quote_units": -7194.322478959546, "turnover_quote_units": 45271.04124399161, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2068.801889307702, "return_pct": -79.31198110692299, "cagr_pct": -79.34917509015446, "max_drawdown_pct": 81.5604937491784, "mean_exposure_while_solvent": 1.3883706717649458, "realized_annual_volatility_pct": 87.34191885421768, "trading_costs_quote_units": 38.28705159513796, "borrowing_costs_quote_units": 183.36534509002098, "price_pnl_quote_units": -7709.545714007137, "turnover_quote_units": 63811.75265856322, "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": 0, "trace": "binance-2022-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2655.6414231206404, "return_pct": -73.4435857687936, "cagr_pct": -73.48376904152197, "max_drawdown_pct": 75.21905136475795, "mean_exposure_while_solvent": 1.1100378637053285, "realized_annual_volatility_pct": 70.64693399864109, "trading_costs_quote_units": 26.178057505459027, "borrowing_costs_quote_units": 58.00493771181966, "price_pnl_quote_units": -7260.175581662066, "turnover_quote_units": 43630.095842431685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2723.001444189248, "return_pct": -72.76998555810752, "cagr_pct": -72.81041026577108, "max_drawdown_pct": 73.89738763960926, "mean_exposure_while_solvent": 1.1183184101287742, "realized_annual_volatility_pct": 68.33293482041563, "trading_costs_quote_units": 33.673400634562896, "borrowing_costs_quote_units": 131.09773265033382, "price_pnl_quote_units": -7112.227422525841, "turnover_quote_units": 56122.334390938144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2713.0683705813726, "return_pct": -72.86931629418628, "cagr_pct": -72.90970660653065, "max_drawdown_pct": 73.99260579327088, "mean_exposure_while_solvent": 1.1456360516746846, "realized_annual_volatility_pct": 70.01305194956483, "trading_costs_quote_units": 32.19309270456063, "borrowing_costs_quote_units": 155.98136602933226, "price_pnl_quote_units": -7098.757170684725, "turnover_quote_units": 53655.15450760102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2513.3321935372383, "return_pct": -74.8666780646276, "cagr_pct": -74.90628650380211, "max_drawdown_pct": 76.02358914023547, "mean_exposure_while_solvent": 1.1538040040892537, "realized_annual_volatility_pct": 70.53058214550202, "trading_costs_quote_units": 36.67044133300349, "borrowing_costs_quote_units": 160.7914627761618, "price_pnl_quote_units": -7289.20590235357, "turnover_quote_units": 61117.40222167245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2801.4380846469244, "return_pct": -71.98561915353075, "cagr_pct": -72.02630105343053, "max_drawdown_pct": 72.71065635198428, "mean_exposure_while_solvent": 1.0826958082393834, "realized_annual_volatility_pct": 66.78000786483992, "trading_costs_quote_units": 29.53279505835275, "borrowing_costs_quote_units": 100.53951613780667, "price_pnl_quote_units": -7068.489604156889, "turnover_quote_units": 49221.32509725457, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2791.218886723957, "return_pct": -72.08781113276044, "cagr_pct": -72.12846095985257, "max_drawdown_pct": 72.81020351151473, "mean_exposure_while_solvent": 1.1100134497852938, "realized_annual_volatility_pct": 68.49823254853682, "trading_costs_quote_units": 27.9857590583426, "borrowing_costs_quote_units": 126.59877876650239, "price_pnl_quote_units": -7054.196575451191, "turnover_quote_units": 46642.93176390432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2791.218886723957, "return_pct": -72.08781113276044, "cagr_pct": -72.12846095985257, "max_drawdown_pct": 72.81020351151473, "mean_exposure_while_solvent": 1.1100134497852938, "realized_annual_volatility_pct": 68.49823254853682, "trading_costs_quote_units": 27.9857590583426, "borrowing_costs_quote_units": 126.59877876650239, "price_pnl_quote_units": -7054.196575451191, "turnover_quote_units": 46642.93176390432, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2709.8118869542545, "return_pct": -72.90188113045745, "cagr_pct": -72.942260076257, "max_drawdown_pct": 73.60320465055268, "mean_exposure_while_solvent": 1.0649484590760254, "realized_annual_volatility_pct": 65.2061896680058, "trading_costs_quote_units": 28.600427091181917, "borrowing_costs_quote_units": 80.4892227973679, "price_pnl_quote_units": -7181.098463157183, "turnover_quote_units": 47667.37848530319, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2699.926926740942, "return_pct": -73.00073073259058, "cagr_pct": -73.04107490170722, "max_drawdown_pct": 73.69949593669119, "mean_exposure_while_solvent": 1.0922661006219356, "realized_annual_volatility_pct": 66.96480023681872, "trading_costs_quote_units": 27.103989755890225, "borrowing_costs_quote_units": 105.69616919518656, "price_pnl_quote_units": -7167.272914307972, "turnover_quote_units": 45173.31625981707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2699.926926740942, "return_pct": -73.00073073259058, "cagr_pct": -73.04107490170722, "max_drawdown_pct": 73.69949593669119, "mean_exposure_while_solvent": 1.0922661006219356, "realized_annual_volatility_pct": 66.96480023681872, "trading_costs_quote_units": 27.103989755890225, "borrowing_costs_quote_units": 105.69616919518656, "price_pnl_quote_units": -7167.272914307972, "turnover_quote_units": 45173.31625981707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1989.6149324356643, "return_pct": -80.10385067564336, "cagr_pct": -80.14050622120617, "max_drawdown_pct": 82.17531856540448, "mean_exposure_while_solvent": 1.3884375177284412, "realized_annual_volatility_pct": 87.34780812501491, "trading_costs_quote_units": 37.92119616085174, "borrowing_costs_quote_units": 361.7556015381912, "price_pnl_quote_units": -7610.708269865284, "turnover_quote_units": 63201.99360141954, "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": 0, "trace": "binance-2022-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2626.034569389075, "return_pct": -73.73965430610924, "cagr_pct": -73.77972531838608, "max_drawdown_pct": 75.46333215267511, "mean_exposure_while_solvent": 1.1100570246244348, "realized_annual_volatility_pct": 70.65056654462175, "trading_costs_quote_units": 26.114256532765765, "borrowing_costs_quote_units": 115.50849839526059, "price_pnl_quote_units": -7232.3426756828885, "turnover_quote_units": 43523.76088794295, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2809.810156589669, "return_pct": -71.9018984341033, "cagr_pct": -71.94260629239348, "max_drawdown_pct": 73.28932462620826, "mean_exposure_while_solvent": 1.11869341374462, "realized_annual_volatility_pct": 68.22739934120807, "trading_costs_quote_units": 167.6792359960833, "borrowing_costs_quote_units": 32.989846140338756, "price_pnl_quote_units": -6989.5207612739105, "turnover_quote_units": 55893.07866536106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2818.221889407841, "return_pct": -71.81778110592158, "cagr_pct": -71.85851475874225, "max_drawdown_pct": 73.20936083786819, "mean_exposure_while_solvent": 1.146198187972138, "realized_annual_volatility_pct": 69.90596231975611, "trading_costs_quote_units": 159.90468963112733, "borrowing_costs_quote_units": 39.40498586469019, "price_pnl_quote_units": -6982.468435096353, "turnover_quote_units": 53301.56321037577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2584.3355053041737, "return_pct": -74.15664494695827, "cagr_pct": -74.19655137535595, "max_drawdown_pct": 75.22886678582417, "mean_exposure_while_solvent": 1.15426257560073, "realized_annual_volatility_pct": 70.478224981958, "trading_costs_quote_units": 181.747478492507, "borrowing_costs_quote_units": 40.34028821503852, "price_pnl_quote_units": -7193.576727988294, "turnover_quote_units": 60582.49283083566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2830.2555880630407, "return_pct": -71.69744411936959, "cagr_pct": -71.73821417530013, "max_drawdown_pct": 72.33081448241813, "mean_exposure_while_solvent": 1.0831422964378346, "realized_annual_volatility_pct": 66.74587513328969, "trading_costs_quote_units": 145.44018271465552, "borrowing_costs_quote_units": 25.104071599276146, "price_pnl_quote_units": -6999.200157623039, "turnover_quote_units": 48480.06090488514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2838.7285283996334, "return_pct": -71.61271471600367, "cagr_pct": -71.65351005279719, "max_drawdown_pct": 72.24798120084408, "mean_exposure_while_solvent": 1.1106470706653522, "realized_annual_volatility_pct": 68.46077121949673, "trading_costs_quote_units": 137.38530479444574, "borrowing_costs_quote_units": 31.738420243961663, "price_pnl_quote_units": -6992.147746561962, "turnover_quote_units": 45795.101598148554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2838.7285283996334, "return_pct": -71.61271471600367, "cagr_pct": -71.65351005279719, "max_drawdown_pct": 72.24798120084408, "mean_exposure_while_solvent": 1.1106470706653522, "realized_annual_volatility_pct": 68.46077121949673, "trading_costs_quote_units": 137.38530479444574, "borrowing_costs_quote_units": 31.738420243961663, "price_pnl_quote_units": -6992.147746561962, "turnover_quote_units": 45795.101598148554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2731.204551146813, "return_pct": -72.68795448853187, "cagr_pct": -72.72840728919864, "max_drawdown_pct": 73.29915865871905, "mean_exposure_while_solvent": 1.0654170604066875, "realized_annual_volatility_pct": 65.19030580046633, "trading_costs_quote_units": 140.71093900460136, "borrowing_costs_quote_units": 20.042999854074214, "price_pnl_quote_units": -7108.041509994519, "turnover_quote_units": 46903.64633486711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2739.3809622478057, "return_pct": -72.60619037752194, "cagr_pct": -72.64667089985109, "max_drawdown_pct": 73.21922431053667, "mean_exposure_while_solvent": 1.0929218346342051, "realized_annual_volatility_pct": 66.94506922486632, "trading_costs_quote_units": 132.9379593036179, "borrowing_costs_quote_units": 26.445164834750216, "price_pnl_quote_units": -7101.23591361383, "turnover_quote_units": 44312.65310120597, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2739.3809622478057, "return_pct": -72.60619037752194, "cagr_pct": -72.64667089985109, "max_drawdown_pct": 73.21922431053667, "mean_exposure_while_solvent": 1.0929218346342051, "realized_annual_volatility_pct": 66.94506922486632, "trading_costs_quote_units": 132.9379593036179, "borrowing_costs_quote_units": 26.445164834750216, "price_pnl_quote_units": -7101.23591361383, "turnover_quote_units": 44312.65310120597, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2016.8324226933187, "return_pct": -79.8316757730668, "cagr_pct": -79.86852037211654, "max_drawdown_pct": 81.95919466572877, "mean_exposure_while_solvent": 1.388838124700717, "realized_annual_volatility_pct": 87.25814360650851, "trading_costs_quote_units": 191.31060567739846, "borrowing_costs_quote_units": 90.96011470489528, "price_pnl_quote_units": -7700.89685692437, "turnover_quote_units": 63770.20189246616, "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": 0, "trace": "binance-2022-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 2683.2497413397023, "return_pct": -73.16750258660298, "cagr_pct": -73.20778714566333, "max_drawdown_pct": 75.06557621764178, "mean_exposure_while_solvent": 1.110685220290062, "realized_annual_volatility_pct": 70.60183587445074, "trading_costs_quote_units": 129.909223266984, "borrowing_costs_quote_units": 29.280234835366887, "price_pnl_quote_units": -7157.560800557947, "turnover_quote_units": 43303.074422328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2792.9998600203803, "return_pct": -72.0700013997962, "cagr_pct": -72.11065684713944, "max_drawdown_pct": 73.39325455164104, "mean_exposure_while_solvent": 1.1187036244711661, "realized_annual_volatility_pct": 68.22885939048764, "trading_costs_quote_units": 167.3884914783984, "borrowing_costs_quote_units": 65.8347414354594, "price_pnl_quote_units": -6973.77690706578, "turnover_quote_units": 55796.16382613278, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2797.523243026475, "return_pct": -72.02476756973525, "cagr_pct": -72.06543723333726, "max_drawdown_pct": 73.35016378678591, "mean_exposure_while_solvent": 1.146210759147171, "realized_annual_volatility_pct": 69.90747433212954, "trading_costs_quote_units": 159.60341117254177, "borrowing_costs_quote_units": 78.58832447719354, "price_pnl_quote_units": -6964.2850213238, "turnover_quote_units": 53201.13705751392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2564.283772912793, "return_pct": -74.35716227087207, "cagr_pct": -74.3969868288845, "max_drawdown_pct": 75.39291792316297, "mean_exposure_while_solvent": 1.1542758261998225, "realized_annual_volatility_pct": 70.48015696622704, "trading_costs_quote_units": 181.423663936357, "borrowing_costs_quote_units": 80.44592590455365, "price_pnl_quote_units": -7173.846637246303, "turnover_quote_units": 60474.55464545232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2818.3366609976492, "return_pct": -71.81663339002351, "cagr_pct": -71.85736739280637, "max_drawdown_pct": 72.44146182458651, "mean_exposure_while_solvent": 1.0831494692945567, "realized_annual_volatility_pct": 66.74724929300486, "trading_costs_quote_units": 145.24788811742002, "borrowing_costs_quote_units": 50.129110822353944, "price_pnl_quote_units": -6986.286340062559, "turnover_quote_units": 48415.96270580667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2822.901078039083, "return_pct": -71.77098921960918, "cagr_pct": -71.81173709700136, "max_drawdown_pct": 72.39682959060765, "mean_exposure_while_solvent": 1.1106566039705619, "realized_annual_volatility_pct": 68.46220028760538, "trading_costs_quote_units": 137.17712166490156, "borrowing_costs_quote_units": 63.337711789662556, "price_pnl_quote_units": -6976.584088506354, "turnover_quote_units": 45725.707221633864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2822.901078039083, "return_pct": -71.77098921960918, "cagr_pct": -71.81173709700136, "max_drawdown_pct": 72.39682959060765, "mean_exposure_while_solvent": 1.1106566039705619, "realized_annual_volatility_pct": 68.46220028760538, "trading_costs_quote_units": 137.17712166490156, "borrowing_costs_quote_units": 63.337711789662556, "price_pnl_quote_units": -6976.584088506354, "turnover_quote_units": 45725.707221633864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2722.1023525421233, "return_pct": -72.77897647457876, "cagr_pct": -72.81939808600184, "max_drawdown_pct": 73.38246965379925, "mean_exposure_while_solvent": 1.0654227218646817, "realized_annual_volatility_pct": 65.1917589264049, "trading_costs_quote_units": 140.57917239148316, "borrowing_costs_quote_units": 40.03759861740687, "price_pnl_quote_units": -7097.280876448968, "turnover_quote_units": 46859.72413049438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2726.510913995564, "return_pct": -72.73489086004436, "cagr_pct": -72.7753276209957, "max_drawdown_pct": 73.33936142233969, "mean_exposure_while_solvent": 1.0929298565406866, "realized_annual_volatility_pct": 66.94657217847966, "trading_costs_quote_units": 132.78398856861034, "borrowing_costs_quote_units": 52.795181579185915, "price_pnl_quote_units": -7087.909915856637, "turnover_quote_units": 44261.3295228701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2726.510913995564, "return_pct": -72.73489086004436, "cagr_pct": -72.7753276209957, "max_drawdown_pct": 73.33936142233969, "mean_exposure_while_solvent": 1.0929298565406866, "realized_annual_volatility_pct": 66.94657217847966, "trading_costs_quote_units": 132.78398856861034, "borrowing_costs_quote_units": 52.795181579185915, "price_pnl_quote_units": -7087.909915856637, "turnover_quote_units": 44261.3295228701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 1977.8092758886792, "return_pct": -80.22190724111321, "cagr_pct": -80.25847946631252, "max_drawdown_pct": 82.26257330664295, "mean_exposure_while_solvent": 1.388871489642461, "realized_annual_volatility_pct": 87.26175723165906, "trading_costs_quote_units": 190.33299142552218, "borrowing_costs_quote_units": 180.68345900038665, "price_pnl_quote_units": -7651.174273685412, "turnover_quote_units": 63444.33047517406, "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": 0, "trace": "binance-2022-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 2668.2556957049364, "return_pct": -73.31744304295064, "cagr_pct": -73.35767299803331, "max_drawdown_pct": 75.18942484492557, "mean_exposure_while_solvent": 1.1106947666253557, "realized_annual_volatility_pct": 70.60376883607007, "trading_costs_quote_units": 129.7286180007808, "borrowing_costs_quote_units": 58.43355344674196, "price_pnl_quote_units": -7143.582132847556, "turnover_quote_units": 43242.872666926916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2759.669074629603, "return_pct": -72.40330925370398, "cagr_pct": -72.44385736009892, "max_drawdown_pct": 73.59997481019215, "mean_exposure_while_solvent": 1.1187240503652518, "realized_annual_volatility_pct": 68.23180466257743, "trading_costs_quote_units": 166.81269102396132, "borrowing_costs_quote_units": 131.09250950461083, "price_pnl_quote_units": -6942.425724841818, "turnover_quote_units": 55604.2303413205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2756.567537155893, "return_pct": -72.43432462844106, "cagr_pct": -72.47486251352319, "max_drawdown_pct": 73.62964527618598, "mean_exposure_while_solvent": 1.1462359069662011, "realized_annual_volatility_pct": 69.91052598641248, "trading_costs_quote_units": 159.00753607296159, "borrowing_costs_quote_units": 156.29560637199836, "price_pnl_quote_units": -6928.129320399142, "turnover_quote_units": 53002.51202432055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2524.6330285631743, "return_pct": -74.75366971436826, "cagr_pct": -74.7933270970638, "max_drawdown_pct": 75.71787076249468, "mean_exposure_while_solvent": 1.154302333160173, "realized_annual_volatility_pct": 70.4840495387976, "trading_costs_quote_units": 180.78283234542076, "borrowing_costs_quote_units": 159.95939081248224, "price_pnl_quote_units": -7134.624748278921, "turnover_quote_units": 60260.94411514024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2794.6410871505564, "return_pct": -72.05358912849445, "cagr_pct": -72.09424974360925, "max_drawdown_pct": 72.66150675714552, "mean_exposure_while_solvent": 1.0831638181332472, "realized_annual_volatility_pct": 66.75001778969906, "trading_costs_quote_units": 144.8671379669338, "borrowing_costs_quote_units": 99.94315118607831, "price_pnl_quote_units": -6960.548623696424, "turnover_quote_units": 48289.045988977945, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2791.5002453238853, "return_pct": -72.08499754676114, "cagr_pct": -72.12564826260466, "max_drawdown_pct": 72.69223194881687, "mean_exposure_while_solvent": 1.1106756747341966, "realized_annual_volatility_pct": 68.46508220033823, "trading_costs_quote_units": 136.76544161571832, "borrowing_costs_quote_units": 126.12154929399098, "price_pnl_quote_units": -6945.612763766393, "turnover_quote_units": 45588.480538572745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2791.5002453238853, "return_pct": -72.08499754676114, "cagr_pct": -72.12564826260466, "max_drawdown_pct": 72.69223194881687, "mean_exposure_while_solvent": 1.1106756747341966, "realized_annual_volatility_pct": 68.46508220033823, "trading_costs_quote_units": 136.76544161571832, "borrowing_costs_quote_units": 126.12154929399098, "price_pnl_quote_units": -6945.612763766393, "turnover_quote_units": 45588.480538572745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2703.982333771792, "return_pct": -72.96017666228207, "cagr_pct": -73.00053514879001, "max_drawdown_pct": 73.5483733133007, "mean_exposure_while_solvent": 1.06543404725324, "realized_annual_volatility_pct": 65.19468259312805, "trading_costs_quote_units": 140.31868809218548, "borrowing_costs_quote_units": 79.8820741670163, "price_pnl_quote_units": -7075.816903969022, "turnover_quote_units": 46772.89603072848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2700.9433815243833, "return_pct": -72.99056618475616, "cagr_pct": -73.03091394893724, "max_drawdown_pct": 73.578101773196, "mean_exposure_while_solvent": 1.0929459038541893, "realized_annual_volatility_pct": 66.94959973612342, "trading_costs_quote_units": 132.47981249989735, "borrowing_costs_quote_units": 105.2112394525718, "price_pnl_quote_units": -7061.365566523143, "turnover_quote_units": 44159.93749996578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2700.9433815243833, "return_pct": -72.99056618475616, "cagr_pct": -73.03091394893724, "max_drawdown_pct": 73.578101773196, "mean_exposure_while_solvent": 1.0929459038541893, "realized_annual_volatility_pct": 66.94959973612342, "trading_costs_quote_units": 132.47981249989735, "borrowing_costs_quote_units": 105.2112394525718, "price_pnl_quote_units": -7061.365566523143, "turnover_quote_units": 44159.93749996578, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 1901.9891933563058, "return_pct": -80.98010806643694, "cagr_pct": -81.01612579971341, "max_drawdown_pct": 82.85430262045969, "mean_exposure_while_solvent": 1.3889382340405982, "realized_annual_volatility_pct": 87.26900325775621, "trading_costs_quote_units": 188.41429021417034, "borrowing_costs_quote_units": 356.4964052889368, "price_pnl_quote_units": -7553.100111140582, "turnover_quote_units": 62804.763404723395, "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": 0, "trace": "binance-2022-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 2638.50737279134, "return_pct": -73.6149262720866, "cagr_pct": -73.65504503962718, "max_drawdown_pct": 75.4353609604258, "mean_exposure_while_solvent": 1.1107138634622222, "realized_annual_volatility_pct": 70.60765753948071, "trading_costs_quote_units": 129.37344377700015, "borrowing_costs_quote_units": 116.36179407400745, "price_pnl_quote_units": -7115.757389357652, "turnover_quote_units": 43124.481259000044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2710.1070389862225, "return_pct": -72.89892961013777, "cagr_pct": -72.93930958798677, "max_drawdown_pct": 73.97101628632493, "mean_exposure_while_solvent": 1.1182875499471086, "realized_annual_volatility_pct": 68.33820882907783, "trading_costs_quote_units": 167.6664264064405, "borrowing_costs_quote_units": 32.64861650455955, "price_pnl_quote_units": -7089.577918102785, "turnover_quote_units": 55888.80880214684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2715.0976800079543, "return_pct": -72.84902319992045, "cagr_pct": -72.88942057286539, "max_drawdown_pct": 73.9230841153786, "mean_exposure_while_solvent": 1.1455981929454768, "realized_annual_volatility_pct": 70.02281156344075, "trading_costs_quote_units": 160.45819203746976, "borrowing_costs_quote_units": 38.9077708642329, "price_pnl_quote_units": -7085.536357090343, "turnover_quote_units": 53486.06401248995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2511.59301790521, "return_pct": -74.8840698209479, "cagr_pct": -74.92367067637402, "max_drawdown_pct": 75.96781285292937, "mean_exposure_while_solvent": 1.153764062213989, "realized_annual_volatility_pct": 70.53897158334725, "trading_costs_quote_units": 182.57040487000563, "borrowing_costs_quote_units": 40.04769548512995, "price_pnl_quote_units": -7265.7888817396515, "turnover_quote_units": 60856.80162333523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2782.2242184300467, "return_pct": -72.17775781569952, "cagr_pct": -72.21837905974972, "max_drawdown_pct": 72.78158011727669, "mean_exposure_while_solvent": 1.082674099012519, "realized_annual_volatility_pct": 66.78749506607772, "trading_costs_quote_units": 147.05902208641697, "borrowing_costs_quote_units": 25.042653715958135, "price_pnl_quote_units": -7045.674105767598, "turnover_quote_units": 49019.674028805646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2787.3476626765028, "return_pct": -72.12652337323497, "cagr_pct": -72.16716093907047, "max_drawdown_pct": 72.73145760888143, "mean_exposure_while_solvent": 1.1099847420108873, "realized_annual_volatility_pct": 68.51023579230699, "trading_costs_quote_units": 139.51749068851603, "borrowing_costs_quote_units": 31.58437739388206, "price_pnl_quote_units": -7041.55046924111, "turnover_quote_units": 46505.830229505336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2787.3476626765028, "return_pct": -72.12652337323497, "cagr_pct": -72.16716093907047, "max_drawdown_pct": 72.73145760888143, "mean_exposure_while_solvent": 1.1099847420108873, "realized_annual_volatility_pct": 68.51023579230699, "trading_costs_quote_units": 139.51749068851603, "borrowing_costs_quote_units": 31.58437739388206, "price_pnl_quote_units": -7041.55046924111, "turnover_quote_units": 46505.830229505336, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2685.5118295438306, "return_pct": -73.1448817045617, "cagr_pct": -73.18517441831918, "max_drawdown_pct": 73.72771464918428, "mean_exposure_while_solvent": 1.0649312911768467, "realized_annual_volatility_pct": 65.21189026409351, "trading_costs_quote_units": 142.31287055407986, "borrowing_costs_quote_units": 20.031515672749748, "price_pnl_quote_units": -7152.143784229342, "turnover_quote_units": 47437.623518026594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2690.4571786787874, "return_pct": -73.09542821321213, "cagr_pct": -73.1357386789291, "max_drawdown_pct": 73.67933444016653, "mean_exposure_while_solvent": 1.092241934175215, "realized_annual_volatility_pct": 66.97517553984092, "trading_costs_quote_units": 135.0334889543584, "borrowing_costs_quote_units": 26.345843686393764, "price_pnl_quote_units": -7148.163488680456, "turnover_quote_units": 45011.16298478613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2690.4571786787874, "return_pct": -73.09542821321213, "cagr_pct": -73.1357386789291, "max_drawdown_pct": 73.67933444016653, "mean_exposure_while_solvent": 1.092241934175215, "realized_annual_volatility_pct": 66.97517553984092, "trading_costs_quote_units": 135.0334889543584, "borrowing_costs_quote_units": 26.345843686393764, "price_pnl_quote_units": -7148.163488680456, "turnover_quote_units": 45011.16298478613, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2053.2369993650555, "return_pct": -79.46763000634944, "cagr_pct": -79.50472092901454, "max_drawdown_pct": 81.62629397875743, "mean_exposure_while_solvent": 1.3883372560581864, "realized_annual_volatility_pct": 87.34993268858744, "trading_costs_quote_units": 190.49363211646454, "borrowing_costs_quote_units": 91.19104947622141, "price_pnl_quote_units": -7665.078319042265, "turnover_quote_units": 63497.87737215466, "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": 0, "trace": "binance-2022-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 2622.7650187709523, "return_pct": -73.77234981229049, "cagr_pct": -73.81240819452053, "max_drawdown_pct": 75.38560462282268, "mean_exposure_while_solvent": 1.1100282853358143, "realized_annual_volatility_pct": 70.65164229676196, "trading_costs_quote_units": 130.15166291304348, "borrowing_costs_quote_units": 28.81681240988025, "price_pnl_quote_units": -7218.266505906115, "turnover_quote_units": 43383.88763768116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2693.85916475396, "return_pct": -73.0614083524604, "cagr_pct": -73.10173096977657, "max_drawdown_pct": 74.09859893408867, "mean_exposure_while_solvent": 1.1182978351788715, "realized_annual_volatility_pct": 68.33959746978499, "trading_costs_quote_units": 167.40717842410217, "borrowing_costs_quote_units": 65.15477763488916, "price_pnl_quote_units": -7073.57887918705, "turnover_quote_units": 55802.39280803407, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2695.1231573478453, "return_pct": -73.04876842652155, "cagr_pct": -73.08909554620885, "max_drawdown_pct": 74.08644567101284, "mean_exposure_while_solvent": 1.1456108106898069, "realized_annual_volatility_pct": 70.0242509817688, "trading_costs_quote_units": 160.1848438730018, "borrowing_costs_quote_units": 77.59839445466488, "price_pnl_quote_units": -7067.093604324484, "turnover_quote_units": 53394.94795766728, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2492.079667120582, "return_pct": -75.07920332879418, "cagr_pct": -75.1187181507348, "max_drawdown_pct": 76.12775255062404, "mean_exposure_while_solvent": 1.1537773742396398, "realized_annual_volatility_pct": 70.54074939168858, "trading_costs_quote_units": 182.2707993414847, "borrowing_costs_quote_units": 79.8638040222046, "price_pnl_quote_units": -7245.785729515733, "turnover_quote_units": 60756.933113828185, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2770.488363530548, "return_pct": -72.29511636469452, "cagr_pct": -72.33569981547923, "max_drawdown_pct": 72.8906119716162, "mean_exposure_while_solvent": 1.0826813343675434, "realized_annual_volatility_pct": 66.78877411478506, "trading_costs_quote_units": 146.88593038569172, "borrowing_costs_quote_units": 50.00662845928934, "price_pnl_quote_units": -7032.619077624469, "turnover_quote_units": 48961.97679523055, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2771.7883115080635, "return_pct": -72.28211688491936, "cagr_pct": -72.32270454986786, "max_drawdown_pct": 72.87789190586784, "mean_exposure_while_solvent": 1.1099943098784788, "realized_annual_volatility_pct": 68.51157107067264, "trading_costs_quote_units": 139.32462405083237, "borrowing_costs_quote_units": 63.030810498407334, "price_pnl_quote_units": -7025.856253942708, "turnover_quote_units": 46441.54135027741, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2771.7883115080635, "return_pct": -72.28211688491936, "cagr_pct": -72.32270454986786, "max_drawdown_pct": 72.87789190586784, "mean_exposure_while_solvent": 1.1099943098784788, "realized_annual_volatility_pct": 68.51157107067264, "trading_costs_quote_units": 139.32462405083237, "borrowing_costs_quote_units": 63.030810498407334, "price_pnl_quote_units": -7025.856253942708, "turnover_quote_units": 46441.54135027741, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2676.5469440246256, "return_pct": -73.23453055975374, "cagr_pct": -73.2747908277127, "max_drawdown_pct": 73.80983416610248, "mean_exposure_while_solvent": 1.0649370129740072, "realized_annual_volatility_pct": 65.2132970865208, "trading_costs_quote_units": 142.1931318102692, "borrowing_costs_quote_units": 40.01486132981038, "price_pnl_quote_units": -7141.245062835295, "turnover_quote_units": 47397.71060342306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2677.8028135068516, "return_pct": -73.22197186493149, "cagr_pct": -73.26223669876681, "max_drawdown_pct": 73.79754541096642, "mean_exposure_while_solvent": 1.0922499884849426, "realized_annual_volatility_pct": 66.97663240114123, "trading_costs_quote_units": 134.88821343204808, "borrowing_costs_quote_units": 52.597420814304435, "price_pnl_quote_units": -7134.7115522468, "turnover_quote_units": 44962.73781068271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2677.8028135068516, "return_pct": -73.22197186493149, "cagr_pct": -73.26223669876681, "max_drawdown_pct": 73.79754541096642, "mean_exposure_while_solvent": 1.0922499884849426, "realized_annual_volatility_pct": 66.97663240114123, "trading_costs_quote_units": 134.88821343204808, "borrowing_costs_quote_units": 52.597420814304435, "price_pnl_quote_units": -7134.7115522468, "turnover_quote_units": 44962.73781068271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2013.5460374680147, "return_pct": -79.86453962531985, "cagr_pct": -79.90136162069376, "max_drawdown_pct": 81.93530639146749, "mean_exposure_while_solvent": 1.3883706717649458, "realized_annual_volatility_pct": 87.35290473096653, "trading_costs_quote_units": 189.57480729895852, "borrowing_costs_quote_units": 181.13903855968826, "price_pnl_quote_units": -7615.740116673313, "turnover_quote_units": 63191.60243298611, "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": 0, "trace": "binance-2022-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 2608.088906929088, "return_pct": -73.91911093070912, "cagr_pct": -73.95911204610532, "max_drawdown_pct": 75.50735483985744, "mean_exposure_while_solvent": 1.1100378637053285, "realized_annual_volatility_pct": 70.65347617400161, "trading_costs_quote_units": 129.99341910360343, "borrowing_costs_quote_units": 57.50885646405302, "price_pnl_quote_units": -7204.408817503244, "turnover_quote_units": 43331.13970120112, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2661.6433819697486, "return_pct": -73.38356618030251, "cagr_pct": -73.42377174992795, "max_drawdown_pct": 74.3519606109077, "mean_exposure_while_solvent": 1.1183184101287742, "realized_annual_volatility_pct": 68.3423992340396, "trading_costs_quote_units": 166.89398792058526, "borrowing_costs_quote_units": 129.74251278890108, "price_pnl_quote_units": -7041.7201173207595, "turnover_quote_units": 55631.32930686177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 95, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2655.6002256801585, "return_pct": -73.44399774319841, "cagr_pct": -73.48418086234616, "max_drawdown_pct": 74.41019347245475, "mean_exposure_while_solvent": 1.1456360516746846, "realized_annual_volatility_pct": 70.02715705723578, "trading_costs_quote_units": 159.64430226132208, "borrowing_costs_quote_units": 154.33363209505686, "price_pnl_quote_units": -7030.421839963464, "turnover_quote_units": 53214.767420440694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 114, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2453.492246553968, "return_pct": -75.46507753446032, "cagr_pct": -75.50441707800594, "max_drawdown_pct": 76.44454382076314, "mean_exposure_while_solvent": 1.1538040040892537, "realized_annual_volatility_pct": 70.54433282546788, "trading_costs_quote_units": 181.68265123750203, "borrowing_costs_quote_units": 158.80724367493463, "price_pnl_quote_units": -7206.017858533586, "turnover_quote_units": 60560.88374583399, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2747.1585599976, "return_pct": -72.528414400024, "cagr_pct": -72.56892103327688, "max_drawdown_pct": 73.10742657166607, "mean_exposure_while_solvent": 1.0826958082393834, "realized_annual_volatility_pct": 66.79135106404065, "trading_costs_quote_units": 146.54097679714724, "borrowing_costs_quote_units": 99.6996059249456, "price_pnl_quote_units": -7006.600857280299, "turnover_quote_units": 48846.99226571573, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 68, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2740.9212448701096, "return_pct": -72.5907875512989, "cagr_pct": -72.63127326465676, "max_drawdown_pct": 73.1684850986489, "mean_exposure_while_solvent": 1.1100134497852938, "realized_annual_volatility_pct": 68.51426440686834, "trading_costs_quote_units": 138.9408417899059, "borrowing_costs_quote_units": 125.51248009275271, "price_pnl_quote_units": -6994.6254332472245, "turnover_quote_units": 46313.613929968626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2740.9212448701096, "return_pct": -72.5907875512989, "cagr_pct": -72.63127326465676, "max_drawdown_pct": 73.1684850986489, "mean_exposure_while_solvent": 1.1100134497852938, "realized_annual_volatility_pct": 68.51426440686834, "trading_costs_quote_units": 138.9408417899059, "borrowing_costs_quote_units": 125.51248009275271, "price_pnl_quote_units": -6994.6254332472245, "turnover_quote_units": 46313.613929968626, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2658.701947552887, "return_pct": -73.41298052447114, "cagr_pct": -73.45317518618234, "max_drawdown_pct": 73.97334890320897, "mean_exposure_while_solvent": 1.0649484590760252, "realized_annual_volatility_pct": 65.21612685882177, "trading_costs_quote_units": 141.95423936249296, "borrowing_costs_quote_units": 79.8375312463595, "price_pnl_quote_units": -7119.506281838262, "turnover_quote_units": 47318.07978749765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2652.665469674093, "return_pct": -73.47334530325907, "cagr_pct": -73.51351746310117, "max_drawdown_pct": 74.03244138770107, "mean_exposure_while_solvent": 1.0922661006219356, "realized_annual_volatility_pct": 66.97956682391619, "trading_costs_quote_units": 134.59882346489906, "borrowing_costs_quote_units": 104.8192486547447, "price_pnl_quote_units": -7107.916458206267, "turnover_quote_units": 44866.274488299685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2652.665469674093, "return_pct": -73.47334530325907, "cagr_pct": -73.51351746310117, "max_drawdown_pct": 74.03244138770107, "mean_exposure_while_solvent": 1.0922661006219356, "realized_annual_volatility_pct": 66.97956682391619, "trading_costs_quote_units": 134.59882346489906, "borrowing_costs_quote_units": 104.8192486547447, "price_pnl_quote_units": -7107.916458206267, "turnover_quote_units": 44866.274488299685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 74, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 1936.4231894260615, "return_pct": -80.63576810573937, "cagr_pct": -80.67204185841047, "max_drawdown_pct": 82.53802787885813, "mean_exposure_while_solvent": 1.3884375177284412, "realized_annual_volatility_pct": 87.35886685354137, "trading_costs_quote_units": 187.77679523493103, "borrowing_costs_quote_units": 357.3828147149961, "price_pnl_quote_units": -7518.417200624008, "turnover_quote_units": 62592.26507831029, "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": 0, "trace": "binance-2022-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2022", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 2578.97461939404, "return_pct": -74.2102538060596, "cagr_pct": -74.25013852070559, "max_drawdown_pct": 75.74911756395625, "mean_exposure_while_solvent": 1.1100570246244348, "realized_annual_volatility_pct": 70.65716648577322, "trading_costs_quote_units": 129.67872779120142, "borrowing_costs_quote_units": 114.52097794917991, "price_pnl_quote_units": -7176.82567486558, "turnover_quote_units": 43226.24259706711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 87, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2022-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2022-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30182.449186680984, "return_pct": 201.8244918668098, "cagr_pct": 202.20552034619877, "max_drawdown_pct": 25.297503050605343, "mean_exposure_while_solvent": 1.2705458022048857, "realized_annual_volatility_pct": 54.96869407757973, "trading_costs_quote_units": 114.87487377773145, "borrowing_costs_quote_units": 286.69432556152816, "price_pnl_quote_units": 20584.01838602023, "turnover_quote_units": 191458.12296288591, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30431.40693349098, "return_pct": 204.3140693349098, "cagr_pct": 204.70109929360967, "max_drawdown_pct": 26.03837283347248, "mean_exposure_while_solvent": 1.2910718288539482, "realized_annual_volatility_pct": 55.77004352531594, "trading_costs_quote_units": 104.00330258528066, "borrowing_costs_quote_units": 302.36256306516054, "price_pnl_quote_units": 20837.772799141385, "turnover_quote_units": 173338.83764213463, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32888.51309152547, "return_pct": 228.88513091525468, "cagr_pct": 229.3326145567276, "max_drawdown_pct": 27.400138556617428, "mean_exposure_while_solvent": 1.3184131947091917, "realized_annual_volatility_pct": 56.71797971560116, "trading_costs_quote_units": 94.72513505832477, "borrowing_costs_quote_units": 336.4500705303708, "price_pnl_quote_units": 23319.688297114153, "turnover_quote_units": 157875.225097208, "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": 0, "trace": "reference-2023-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31779.64015551097, "return_pct": 217.7964015551097, "cagr_pct": 218.21633287710026, "max_drawdown_pct": 24.638711682378567, "mean_exposure_while_solvent": 1.2499528636606811, "realized_annual_volatility_pct": 54.158787521396334, "trading_costs_quote_units": 94.03600858831999, "borrowing_costs_quote_units": 276.4594939551328, "price_pnl_quote_units": 22150.135658054416, "turnover_quote_units": 156726.68098053322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30912.444452118558, "return_pct": 209.12444452118558, "cagr_pct": 209.5231364577724, "max_drawdown_pct": 25.960862796952465, "mean_exposure_while_solvent": 1.2609404886940683, "realized_annual_volatility_pct": 54.68660738483114, "trading_costs_quote_units": 92.72750392079209, "borrowing_costs_quote_units": 279.1077794627673, "price_pnl_quote_units": 21284.279735502063, "turnover_quote_units": 154545.83986798677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33408.390754870954, "return_pct": 234.08390754870956, "cagr_pct": 234.54445695061818, "max_drawdown_pct": 25.960862796952465, "mean_exposure_while_solvent": 1.288281854549312, "realized_annual_volatility_pct": 55.652900652718316, "trading_costs_quote_units": 83.53695823784982, "borrowing_costs_quote_units": 314.6366014280993, "price_pnl_quote_units": 23806.564314536936, "turnover_quote_units": 139228.2637297497, "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": 0, "trace": "reference-2023-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30778.19037235818, "return_pct": 207.78190372358182, "cagr_pct": 208.1773322078904, "max_drawdown_pct": 24.638711682378535, "mean_exposure_while_solvent": 1.2459070255927018, "realized_annual_volatility_pct": 54.01318986396796, "trading_costs_quote_units": 92.26486673619951, "borrowing_costs_quote_units": 267.3071152828281, "price_pnl_quote_units": 21137.762354377206, "turnover_quote_units": 153774.7778936659, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29938.322006369817, "return_pct": 199.38322006369816, "cagr_pct": 199.75838633969448, "max_drawdown_pct": 25.960862796952433, "mean_exposure_while_solvent": 1.256894650626089, "realized_annual_volatility_pct": 54.542344411024544, "trading_costs_quote_units": 90.99801577885277, "borrowing_costs_quote_units": 270.10408849370197, "price_pnl_quote_units": 20299.424110642427, "turnover_quote_units": 151663.35963142125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32355.615282485694, "return_pct": 223.55615282485695, "cagr_pct": 223.99034114882164, "max_drawdown_pct": 25.960862796952433, "mean_exposure_while_solvent": 1.2842360164813327, "realized_annual_volatility_pct": 55.511353882935154, "trading_costs_quote_units": 82.09709113785665, "borrowing_costs_quote_units": 304.569880329479, "price_pnl_quote_units": 22742.282253953028, "turnover_quote_units": 136828.48522976108, "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": 0, "trace": "reference-2023-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30515.933053399756, "return_pct": 205.15933053399755, "cagr_pct": 205.54840342638846, "max_drawdown_pct": 28.739480881799693, "mean_exposure_while_solvent": 1.2375541281122382, "realized_annual_volatility_pct": 52.47690842989622, "trading_costs_quote_units": 79.77614953306909, "borrowing_costs_quote_units": 205.1260337260393, "price_pnl_quote_units": 20800.83523665883, "turnover_quote_units": 132960.24922178188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26448.153732177656, "return_pct": 164.48153732177656, "cagr_pct": 164.77548204044518, "max_drawdown_pct": 31.42892219950041, "mean_exposure_while_solvent": 1.251616161904395, "realized_annual_volatility_pct": 54.05675869156177, "trading_costs_quote_units": 82.44893100256095, "borrowing_costs_quote_units": 232.75979672503334, "price_pnl_quote_units": 16763.362459905282, "turnover_quote_units": 137414.88500426846, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29777.438737621145, "return_pct": 197.77438737621145, "cagr_pct": 198.14570282388297, "max_drawdown_pct": 25.368577379221247, "mean_exposure_while_solvent": 1.270568972978565, "realized_annual_volatility_pct": 54.9704197425553, "trading_costs_quote_units": 114.20935445584941, "borrowing_costs_quote_units": 569.1031332383643, "price_pnl_quote_units": 20460.751225315373, "turnover_quote_units": 190348.92409308229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29992.28927575545, "return_pct": 199.92289275755454, "cagr_pct": 200.29935298895353, "max_drawdown_pct": 26.113956620576463, "mean_exposure_while_solvent": 1.2910967539043956, "realized_annual_volatility_pct": 55.77193272249551, "trading_costs_quote_units": 103.36835606410546, "borrowing_costs_quote_units": 599.8465373809642, "price_pnl_quote_units": 20695.50416920054, "turnover_quote_units": 172280.5934401758, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32370.092252690294, "return_pct": 223.70092252690293, "cagr_pct": 224.13547071771433, "max_drawdown_pct": 27.479578895452473, "mean_exposure_while_solvent": 1.3184404546029906, "realized_annual_volatility_pct": 56.719737920642146, "trading_costs_quote_units": 94.14745457297222, "borrowing_costs_quote_units": 666.9016229940237, "price_pnl_quote_units": 23131.141330257273, "turnover_quote_units": 156912.42428828694, "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": 0, "trace": "reference-2023-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31385.74407820256, "return_pct": 213.8574407820256, "cagr_pct": 214.2676907560714, "max_drawdown_pct": 24.683196290268206, "mean_exposure_while_solvent": 1.249974267070883, "realized_annual_volatility_pct": 54.160082833807145, "trading_costs_quote_units": 93.54278629000743, "borrowing_costs_quote_units": 549.0462806108507, "price_pnl_quote_units": 22028.333145103403, "turnover_quote_units": 155904.6438166789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30512.403427352227, "return_pct": 205.12403427352228, "cagr_pct": 205.51302180378843, "max_drawdown_pct": 26.040293420517457, "mean_exposure_while_solvent": 1.2609628345188448, "realized_annual_volatility_pct": 54.688186350763004, "trading_costs_quote_units": 92.2107655767147, "borrowing_costs_quote_units": 554.1402008260585, "price_pnl_quote_units": 21158.754393754996, "turnover_quote_units": 153684.60929452445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32931.441301918334, "return_pct": 229.31441301918335, "cagr_pct": 229.76297200482168, "max_drawdown_pct": 26.040293420517457, "mean_exposure_while_solvent": 1.2883065352174399, "realized_annual_volatility_pct": 55.65434316041347, "trading_costs_quote_units": 83.06482841930669, "borrowing_costs_quote_units": 624.1499093640389, "price_pnl_quote_units": 23638.656039701607, "turnover_quote_units": 138441.38069884447, "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": 0, "trace": "reference-2023-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30402.74627647064, "return_pct": 204.02746276470637, "cagr_pct": 204.41380062638834, "max_drawdown_pct": 24.683196290268228, "mean_exposure_while_solvent": 1.2459280883025519, "realized_annual_volatility_pct": 54.014620620004585, "trading_costs_quote_units": 91.80061944419742, "borrowing_costs_quote_units": 530.9589225482551, "price_pnl_quote_units": 21025.50581846303, "turnover_quote_units": 153001.032406996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29556.75855177073, "return_pct": 195.5675855177073, "cagr_pct": 195.933635062506, "max_drawdown_pct": 26.04029342051748, "mean_exposure_while_solvent": 1.2569166557505138, "realized_annual_volatility_pct": 54.544057207984075, "trading_costs_quote_units": 90.51051015910143, "borrowing_costs_quote_units": 536.3553072902075, "price_pnl_quote_units": 20183.624369220088, "turnover_quote_units": 150850.85026516888, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31900.03244549635, "return_pct": 219.00032445496348, "cagr_pct": 219.42322601580207, "max_drawdown_pct": 26.04029342051748, "mean_exposure_while_solvent": 1.2842603564491089, "realized_annual_volatility_pct": 55.51292263882566, "trading_costs_quote_units": 81.65103389139833, "borrowing_costs_quote_units": 604.2848427210711, "price_pnl_quote_units": 22585.968322108827, "turnover_quote_units": 136085.05648566378, "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": 0, "trace": "reference-2023-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30155.991537805225, "return_pct": 201.55991537805224, "cagr_pct": 201.94030743689297, "max_drawdown_pct": 29.01203321744554, "mean_exposure_while_solvent": 1.2375744569596334, "realized_annual_volatility_pct": 52.478189668139144, "trading_costs_quote_units": 79.41699986812326, "borrowing_costs_quote_units": 407.801574350976, "price_pnl_quote_units": 20643.210112024324, "turnover_quote_units": 132361.6664468721, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26117.542499805113, "return_pct": 161.17542499805114, "cagr_pct": 161.4619390347035, "max_drawdown_pct": 31.505073094017533, "mean_exposure_while_solvent": 1.251637732996898, "realized_annual_volatility_pct": 54.05906590629432, "trading_costs_quote_units": 82.02099980543973, "borrowing_costs_quote_units": 462.2787937249625, "price_pnl_quote_units": 16661.84229333543, "turnover_quote_units": 136701.66634239943, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28983.418235293164, "return_pct": 189.83418235293166, "cagr_pct": 190.18663928443837, "max_drawdown_pct": 25.510563028074152, "mean_exposure_while_solvent": 1.270615324566494, "realized_annual_volatility_pct": 54.9739104011344, "trading_costs_quote_units": 112.9039438380805, "borrowing_costs_quote_units": 1121.3016879651616, "price_pnl_quote_units": 20217.62386709638, "turnover_quote_units": 188173.2397301344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29132.723192999103, "return_pct": 191.327231929991, "cagr_pct": 191.68321614697444, "max_drawdown_pct": 26.264934823505914, "mean_exposure_while_solvent": 1.2911466148052897, "realized_annual_volatility_pct": 55.7757492214659, "trading_costs_quote_units": 102.12479855258829, "borrowing_costs_quote_units": 1180.4712567856354, "price_pnl_quote_units": 20415.31924833726, "turnover_quote_units": 170207.99758764717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31357.344392006475, "return_pct": 213.57344392006476, "cagr_pct": 213.98299805331126, "max_drawdown_pct": 27.805634869263162, "mean_exposure_while_solvent": 1.3184949862003033, "realized_annual_volatility_pct": 56.72328980923776, "trading_costs_quote_units": 93.02006436364746, "borrowing_costs_quote_units": 1310.2067557091482, "price_pnl_quote_units": 22760.57121207921, "turnover_quote_units": 155033.44060607892, "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": 0, "trace": "reference-2023-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30612.311594223866, "return_pct": 206.12311594223866, "cagr_pct": 206.51452150265422, "max_drawdown_pct": 24.77211199333482, "mean_exposure_while_solvent": 1.2500170831618924, "realized_annual_volatility_pct": 54.162713315378554, "trading_costs_quote_units": 92.57779544813869, "borrowing_costs_quote_units": 1082.8004868486066, "price_pnl_quote_units": 21787.689876520657, "turnover_quote_units": 154296.32574689787, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29727.556410673664, "return_pct": 197.27556410673665, "cagr_pct": 197.6456876123202, "max_drawdown_pct": 26.1989434685734, "mean_exposure_while_solvent": 1.2610075358488357, "realized_annual_volatility_pct": 54.691383903853186, "trading_costs_quote_units": 91.19971570097441, "borrowing_costs_quote_units": 1092.197778004411, "price_pnl_quote_units": 20910.953904379014, "turnover_quote_units": 151999.52616829076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31997.600022723047, "return_pct": 219.97600022723046, "cagr_pct": 220.40131272779377, "max_drawdown_pct": 26.1989434685734, "mean_exposure_while_solvent": 1.2883559072438493, "realized_annual_volatility_pct": 55.65726608235517, "trading_costs_quote_units": 82.14509309241616, "borrowing_costs_quote_units": 1228.113638120547, "price_pnl_quote_units": 23307.85875393602, "turnover_quote_units": 136908.4884873601, "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": 0, "trace": "reference-2023-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29665.32864578422, "return_pct": 196.65328645784217, "cagr_pct": 197.02192436961386, "max_drawdown_pct": 24.772111993334857, "mean_exposure_while_solvent": 1.2459702228479133, "realized_annual_volatility_pct": 54.017522190958644, "trading_costs_quote_units": 90.89141096115554, "borrowing_costs_quote_units": 1047.4808103877822, "price_pnl_quote_units": 20803.700867133197, "turnover_quote_units": 151485.68493525928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28807.943106299823, "return_pct": 188.07943106299825, "cagr_pct": 188.4277537048525, "max_drawdown_pct": 26.19894346857342, "mean_exposure_while_solvent": 1.2569606755348566, "realized_annual_volatility_pct": 54.5475226728515, "trading_costs_quote_units": 89.5557056087583, "borrowing_costs_quote_units": 1057.5023710605456, "price_pnl_quote_units": 19955.001182969143, "turnover_quote_units": 149259.50934793046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31007.763579981947, "return_pct": 210.0776357998195, "cagr_pct": 210.47864881056188, "max_drawdown_pct": 26.362776734335004, "mean_exposure_while_solvent": 1.2843090469298701, "realized_annual_volatility_pct": 55.51609842907924, "trading_costs_quote_units": 80.7812064874151, "borrowing_costs_quote_units": 1189.4363484514429, "price_pnl_quote_units": 22277.981134920763, "turnover_quote_units": 134635.34414569198, "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": 0, "trace": "reference-2023-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29448.596784235295, "return_pct": 194.48596784235295, "cagr_pct": 194.84944329468684, "max_drawdown_pct": 29.55416743180146, "mean_exposure_while_solvent": 1.2376151234535864, "realized_annual_volatility_pct": 52.48079312468473, "trading_costs_quote_units": 78.71091367781526, "borrowing_costs_quote_units": 805.9126935951723, "price_pnl_quote_units": 20333.220391508272, "turnover_quote_units": 131184.85612969208, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25468.477397629096, "return_pct": 154.68477397629096, "cagr_pct": 154.95683980898914, "max_drawdown_pct": 31.65716332129356, "mean_exposure_while_solvent": 1.2516808845386314, "realized_annual_volatility_pct": 54.063720956900454, "trading_costs_quote_units": 81.18429527516523, "borrowing_costs_quote_units": 911.7623837028866, "price_pnl_quote_units": 16461.42407660711, "turnover_quote_units": 135307.15879194197, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29090.341162465855, "return_pct": 190.90341162465853, "cagr_pct": 191.25839368639478, "max_drawdown_pct": 25.656724631617177, "mean_exposure_while_solvent": 1.2692614157745636, "realized_annual_volatility_pct": 54.904595955381374, "trading_costs_quote_units": 109.42157332155578, "borrowing_costs_quote_units": 279.81525876047243, "price_pnl_quote_units": 19479.577994547868, "turnover_quote_units": 182369.28886925997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29473.041956972273, "return_pct": 194.73041956972273, "cagr_pct": 195.0944763843705, "max_drawdown_pct": 26.403500296303374, "mean_exposure_while_solvent": 1.2898017141493083, "realized_annual_volatility_pct": 55.70098907566743, "trading_costs_quote_units": 99.3780269771139, "borrowing_costs_quote_units": 296.12505193668153, "price_pnl_quote_units": 19868.545035886043, "turnover_quote_units": 165630.04496185674, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32293.213389871285, "return_pct": 222.93213389871286, "cagr_pct": 223.36477189287027, "max_drawdown_pct": 27.455606898678077, "mean_exposure_while_solvent": 1.3170771973403954, "realized_annual_volatility_pct": 56.65894311194699, "trading_costs_quote_units": 90.75145778037619, "borrowing_costs_quote_units": 331.76383582494475, "price_pnl_quote_units": 22715.728683476707, "turnover_quote_units": 151252.42963396036, "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": 0, "trace": "reference-2023-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31123.809005356597, "return_pct": 211.23809005356597, "cagr_pct": 211.64193336246714, "max_drawdown_pct": 24.745147728054828, "mean_exposure_while_solvent": 1.2485722937676906, "realized_annual_volatility_pct": 54.14493134762155, "trading_costs_quote_units": 89.49180856016864, "borrowing_costs_quote_units": 272.40857987150287, "price_pnl_quote_units": 21485.709393788253, "turnover_quote_units": 149153.01426694784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30335.194365433374, "return_pct": 203.35194365433375, "cagr_pct": 203.7366514979147, "max_drawdown_pct": 25.907699498082547, "mean_exposure_while_solvent": 1.259579233344833, "realized_annual_volatility_pct": 54.661472142271585, "trading_costs_quote_units": 88.5448935955622, "borrowing_costs_quote_units": 275.59462846606635, "price_pnl_quote_units": 20699.333887495013, "turnover_quote_units": 147574.82265927037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33237.862121470695, "return_pct": 232.37862121470693, "cagr_pct": 232.8348745477564, "max_drawdown_pct": 25.907699498082547, "mean_exposure_while_solvent": 1.28685471653592, "realized_annual_volatility_pct": 55.63711060228845, "trading_costs_quote_units": 79.86092717452499, "borrowing_costs_quote_units": 312.9543686229375, "price_pnl_quote_units": 23630.677417268133, "turnover_quote_units": 133101.54529087502, "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": 0, "trace": "reference-2023-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30446.956038063865, "return_pct": 204.46956038063865, "cagr_pct": 204.85696594815238, "max_drawdown_pct": 24.745147728054818, "mean_exposure_while_solvent": 1.2445409681489181, "realized_annual_volatility_pct": 53.99286617902216, "trading_costs_quote_units": 88.28915322300624, "borrowing_costs_quote_units": 265.2011400087692, "price_pnl_quote_units": 20800.44633129565, "turnover_quote_units": 147148.5887050103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29675.49148921702, "return_pct": 196.7549148921702, "cagr_pct": 197.12379532445127, "max_drawdown_pct": 25.907699498082547, "mean_exposure_while_solvent": 1.2555479077260605, "realized_annual_volatility_pct": 54.510800585164546, "trading_costs_quote_units": 87.36628116769968, "borrowing_costs_quote_units": 268.47820195185926, "price_pnl_quote_units": 20031.335972336547, "turnover_quote_units": 145610.4686128327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32515.03460381334, "return_pct": 225.1503460381334, "cagr_pct": 225.5885012699748, "max_drawdown_pct": 25.907699498082547, "mean_exposure_while_solvent": 1.2828233909171476, "realized_annual_volatility_pct": 55.48925397290405, "trading_costs_quote_units": 78.87116735290057, "borrowing_costs_quote_units": 305.06478988091806, "price_pnl_quote_units": 22898.970561047212, "turnover_quote_units": 131451.9455881676, "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": 0, "trace": "reference-2023-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30954.438163745337, "return_pct": 209.54438163745337, "cagr_pct": 209.9440957303807, "max_drawdown_pct": 28.499154212982724, "mean_exposure_while_solvent": 1.2363624345930178, "realized_annual_volatility_pct": 52.50281715135284, "trading_costs_quote_units": 80.68644030340963, "borrowing_costs_quote_units": 205.9230352444207, "price_pnl_quote_units": 21241.047639293196, "turnover_quote_units": 134477.40050568263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26937.89636303361, "return_pct": 169.37896363033613, "cagr_pct": 169.6840023718365, "max_drawdown_pct": 30.554184090611635, "mean_exposure_while_solvent": 1.2501622103373942, "realized_annual_volatility_pct": 54.072704519035305, "trading_costs_quote_units": 80.6312215188418, "borrowing_costs_quote_units": 235.2804203548337, "price_pnl_quote_units": 17253.808004907292, "turnover_quote_units": 134385.36919806956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28700.46514234467, "return_pct": 187.0046514234467, "cagr_pct": 187.35044786354402, "max_drawdown_pct": 25.72922447912869, "mean_exposure_while_solvent": 1.269284529287622, "realized_annual_volatility_pct": 54.90606176632969, "trading_costs_quote_units": 108.78815170494488, "borrowing_costs_quote_units": 555.4832407628858, "price_pnl_quote_units": 19364.736534812582, "turnover_quote_units": 181313.58617490818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29048.267728304018, "return_pct": 190.48267728304018, "cagr_pct": 190.8366651856821, "max_drawdown_pct": 26.480462328123, "mean_exposure_while_solvent": 1.2898265846915824, "realized_annual_volatility_pct": 55.70255589985913, "trading_costs_quote_units": 98.77281737668972, "borrowing_costs_quote_units": 587.5085585911111, "price_pnl_quote_units": 19734.549104271875, "turnover_quote_units": 164621.362294483, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31784.83257278547, "return_pct": 217.84832572785473, "cagr_pct": 218.2683850461198, "max_drawdown_pct": 27.577542819101765, "mean_exposure_while_solvent": 1.31710438880782, "realized_annual_volatility_pct": 56.66028855786088, "trading_costs_quote_units": 90.19707684812795, "borrowing_costs_quote_units": 657.640179208454, "price_pnl_quote_units": 22532.669828842052, "turnover_quote_units": 150328.4614135466, "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": 0, "trace": "reference-2023-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30738.656550688385, "return_pct": 207.38656550688384, "cagr_pct": 207.7810342783395, "max_drawdown_pct": 24.791227038634467, "mean_exposure_while_solvent": 1.248593625351134, "realized_annual_volatility_pct": 54.14592399627478, "trading_costs_quote_units": 89.02148244589303, "borrowing_costs_quote_units": 541.0231686442407, "price_pnl_quote_units": 21368.701201778593, "turnover_quote_units": 148369.1374098217, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29943.234946979283, "return_pct": 199.43234946979285, "cagr_pct": 199.80763349569634, "max_drawdown_pct": 25.98878563963516, "mean_exposure_while_solvent": 1.2596015115141488, "realized_annual_volatility_pct": 54.66270717946304, "trading_costs_quote_units": 88.05102945737805, "borrowing_costs_quote_units": 547.1873192791913, "price_pnl_quote_units": 20578.473295715816, "turnover_quote_units": 146751.71576229675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32764.11242071958, "return_pct": 227.6411242071958, "cagr_pct": 228.08549525987192, "max_drawdown_pct": 25.98878563963516, "mean_exposure_while_solvent": 1.2868793156303864, "realized_annual_volatility_pct": 55.63811752197591, "trading_costs_quote_units": 79.40638590113595, "borrowing_costs_quote_units": 620.8260848031567, "price_pnl_quote_units": 23464.344891423876, "turnover_quote_units": 132343.97650189325, "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": 0, "trace": "reference-2023-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30076.21476743686, "return_pct": 200.7621476743686, "cagr_pct": 201.14062236751252, "max_drawdown_pct": 24.791227038634478, "mean_exposure_while_solvent": 1.2445619589793646, "realized_annual_volatility_pct": 53.99395176547556, "trading_costs_quote_units": 87.84299565593754, "borrowing_costs_quote_units": 526.7907365149784, "price_pnl_quote_units": 20690.848499607786, "turnover_quote_units": 146404.99275989606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29297.93511346537, "return_pct": 192.97935113465368, "cagr_pct": 193.33924864186645, "max_drawdown_pct": 25.988785639635214, "mean_exposure_while_solvent": 1.2555698451423793, "realized_annual_volatility_pct": 54.51212774218319, "trading_costs_quote_units": 86.89673841174299, "borrowing_costs_quote_units": 533.141210986764, "price_pnl_quote_units": 19917.973062863894, "turnover_quote_units": 144827.8973529051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32058.020499530816, "return_pct": 220.58020499530815, "cagr_pct": 221.0070122220794, "max_drawdown_pct": 25.988785639635214, "mean_exposure_while_solvent": 1.282847649258617, "realized_annual_volatility_pct": 55.490346779300346, "trading_costs_quote_units": 78.43839620343569, "borrowing_costs_quote_units": 605.2712144597477, "price_pnl_quote_units": 22741.730110193996, "turnover_quote_units": 130730.66033905941, "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": 0, "trace": "reference-2023-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30589.41538686849, "return_pct": 205.89415386868492, "cagr_pct": 206.2850049528563, "max_drawdown_pct": 28.770879701660036, "mean_exposure_while_solvent": 1.2363827312881945, "realized_annual_volatility_pct": 52.50354150604606, "trading_costs_quote_units": 80.32308803723262, "borrowing_costs_quote_units": 409.37985491774447, "price_pnl_quote_units": 21079.118329823443, "turnover_quote_units": 133871.81339538776, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26601.898377712096, "return_pct": 166.01898377712098, "cagr_pct": 166.31640014767987, "max_drawdown_pct": 30.631127791300074, "mean_exposure_while_solvent": 1.2501836979320073, "realized_annual_volatility_pct": 54.074448323685, "trading_costs_quote_units": 80.21406249649505, "borrowing_costs_quote_units": 467.2847874131409, "price_pnl_quote_units": 17149.39722762175, "turnover_quote_units": 133690.10416082508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27936.094988012614, "return_pct": 179.36094988012613, "cagr_pct": 179.68891421279523, "max_drawdown_pct": 25.87406756796369, "mean_exposure_while_solvent": 1.269330766324285, "realized_annual_volatility_pct": 54.9090329324391, "trading_costs_quote_units": 107.54755883828669, "borrowing_costs_quote_units": 1094.606112250449, "price_pnl_quote_units": 19138.248659101384, "turnover_quote_units": 179245.9313971444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28216.75515622898, "return_pct": 182.16755156228982, "cagr_pct": 182.50203598556715, "max_drawdown_pct": 26.634202764369174, "mean_exposure_while_solvent": 1.2898763365485717, "realized_annual_volatility_pct": 55.7057277800499, "trading_costs_quote_units": 97.58928488217683, "borrowing_costs_quote_units": 1156.3340100011255, "price_pnl_quote_units": 19470.67845111229, "turnover_quote_units": 162648.80813696148, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30791.668187265957, "return_pct": 207.91668187265958, "cagr_pct": 208.312437673844, "max_drawdown_pct": 28.075020832452136, "mean_exposure_while_solvent": 1.3171587835145542, "realized_annual_volatility_pct": 56.663015055264, "trading_costs_quote_units": 89.11548406850694, "borrowing_costs_quote_units": 1292.1195703553803, "price_pnl_quote_units": 22172.90324168982, "turnover_quote_units": 148525.8067808449, "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": 0, "trace": "reference-2023-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29982.374618776965, "return_pct": 199.82374618776964, "cagr_pct": 200.19996861529467, "max_drawdown_pct": 24.88332678531583, "mean_exposure_while_solvent": 1.2486362977496752, "realized_annual_volatility_pct": 54.147949310782806, "trading_costs_quote_units": 88.0994627316732, "borrowing_costs_quote_units": 1067.0645122165554, "price_pnl_quote_units": 21137.538593725247, "turnover_quote_units": 146832.43788612192, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29174.224445415264, "return_pct": 191.74224445415265, "cagr_pct": 192.09921068370784, "max_drawdown_pct": 26.150736690501574, "mean_exposure_while_solvent": 1.2596460774977656, "realized_annual_volatility_pct": 54.66521696492331, "trading_costs_quote_units": 87.08292248545305, "borrowing_costs_quote_units": 1078.5811044039428, "price_pnl_quote_units": 20339.888472304643, "turnover_quote_units": 145138.20414242183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31836.51110024032, "return_pct": 218.36511100240318, "cagr_pct": 218.78644475716422, "max_drawdown_pct": 26.150736690501574, "mean_exposure_while_solvent": 1.286928524463748, "realized_annual_volatility_pct": 55.640169354935, "trading_costs_quote_units": 78.51767439302391, "borrowing_costs_quote_units": 1221.625672516439, "price_pnl_quote_units": 23136.65444714986, "turnover_quote_units": 130862.79065503976, "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": 0, "trace": "reference-2023-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29348.0115223629, "return_pct": 193.480115223629, "cagr_pct": 193.84120097413177, "max_drawdown_pct": 24.883326785315884, "mean_exposure_while_solvent": 1.244603949726165, "realized_annual_volatility_pct": 53.99616304430307, "trading_costs_quote_units": 86.96845578762439, "borrowing_costs_quote_units": 1039.3167409048183, "price_pnl_quote_units": 20474.296719055354, "turnover_quote_units": 144947.42631270725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28556.960082936042, "return_pct": 185.5696008293604, "cagr_pct": 185.91203145956524, "max_drawdown_pct": 26.150736690501642, "mean_exposure_while_solvent": 1.2556137294742553, "realized_annual_volatility_pct": 54.514821906549514, "trading_costs_quote_units": 85.97637208164242, "borrowing_costs_quote_units": 1051.222299779686, "price_pnl_quote_units": 19694.158754797434, "turnover_quote_units": 143293.95346940396, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31162.918430635138, "return_pct": 211.62918430635136, "cagr_pct": 212.0339825943168, "max_drawdown_pct": 26.150736690501642, "mean_exposure_while_solvent": 1.2828961764402378, "realized_annual_volatility_pct": 55.4925706509381, "trading_costs_quote_units": 77.59235069887863, "borrowing_costs_quote_units": 1191.3951101125228, "price_pnl_quote_units": 22431.905891446477, "turnover_quote_units": 129320.58449813096, "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": 0, "trace": "reference-2023-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29872.02306226238, "return_pct": 198.7202306226238, "cagr_pct": 199.09380879543104, "max_drawdown_pct": 29.311391650191865, "mean_exposure_while_solvent": 1.2364233334634138, "realized_annual_volatility_pct": 52.50503159253316, "trading_costs_quote_units": 79.61474277166462, "borrowing_costs_quote_units": 809.0071863252983, "price_pnl_quote_units": 20760.644991359364, "turnover_quote_units": 132691.23795277427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25942.229470001104, "return_pct": 159.42229470001107, "cagr_pct": 159.70488787090224, "max_drawdown_pct": 30.78481548704636, "mean_exposure_while_solvent": 1.2502266824312418, "realized_annual_volatility_pct": 54.07797659142193, "trading_costs_quote_units": 79.39876724090372, "borrowing_costs_quote_units": 921.6349089772513, "price_pnl_quote_units": 16943.263146219313, "turnover_quote_units": 132331.27873483955, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29403.813334740316, "return_pct": 194.03813334740317, "cagr_pct": 194.40054434926762, "max_drawdown_pct": 25.597169720529823, "mean_exposure_while_solvent": 1.2705458022048857, "realized_annual_volatility_pct": 54.95720389685328, "trading_costs_quote_units": 565.8881821438778, "borrowing_costs_quote_units": 281.6419636105487, "price_pnl_quote_units": 20251.3434804947, "turnover_quote_units": 188629.39404795918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29707.930016274397, "return_pct": 197.07930016274395, "cagr_pct": 197.4489549566919, "max_drawdown_pct": 26.33773596811877, "mean_exposure_while_solvent": 1.2910718288539482, "realized_annual_volatility_pct": 55.75774163674999, "trading_costs_quote_units": 512.8350601859006, "borrowing_costs_quote_units": 297.3529462763247, "price_pnl_quote_units": 20518.118022736653, "turnover_quote_units": 170945.0200619668, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32165.14184298721, "return_pct": 221.65141842987208, "cagr_pct": 222.08087890649466, "max_drawdown_pct": 27.698894465720393, "mean_exposure_while_solvent": 1.3184131947091917, "realized_annual_volatility_pct": 56.70947300314302, "trading_costs_quote_units": 467.49029639326443, "borrowing_costs_quote_units": 331.0074679113149, "price_pnl_quote_units": 22963.639607291796, "turnover_quote_units": 155830.09879775485, "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": 0, "trace": "reference-2023-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31118.728689207033, "return_pct": 211.18728689207035, "cagr_pct": 211.5910061904217, "max_drawdown_pct": 24.75713687827691, "mean_exposure_while_solvent": 1.2499528636606811, "realized_annual_volatility_pct": 54.14609103371626, "trading_costs_quote_units": 464.3373024647534, "borrowing_costs_quote_units": 272.33406024051976, "price_pnl_quote_units": 21855.400051912366, "turnover_quote_units": 154779.1008215845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30264.092256253865, "return_pct": 202.64092256253866, "cagr_pct": 203.02391658259248, "max_drawdown_pct": 26.087904996084564, "mean_exposure_while_solvent": 1.2609404886940683, "realized_annual_volatility_pct": 54.67379676235118, "trading_costs_quote_units": 457.8587534897392, "borrowing_costs_quote_units": 274.97566159286333, "price_pnl_quote_units": 20996.92667133648, "turnover_quote_units": 152619.5844965797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32767.305552369027, "return_pct": 227.6730555236903, "cagr_pct": 228.11750640314094, "max_drawdown_pct": 26.087904996084564, "mean_exposure_while_solvent": 1.288281854549312, "realized_annual_volatility_pct": 55.64394971138596, "trading_costs_quote_units": 412.82787077838105, "borrowing_costs_quote_units": 310.14596181081413, "price_pnl_quote_units": 23490.279384958198, "turnover_quote_units": 137609.29025946054, "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": 0, "trace": "reference-2023-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30141.526751193298, "return_pct": 201.415267511933, "cagr_pct": 201.79531174262357, "max_drawdown_pct": 24.75713687827692, "mean_exposure_while_solvent": 1.2459070255927018, "realized_annual_volatility_pct": 54.00265707448801, "trading_costs_quote_units": 455.6549003131344, "borrowing_costs_quote_units": 263.33817576119156, "price_pnl_quote_units": 20860.51982726761, "turnover_quote_units": 151884.96677104486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29313.727930628418, "return_pct": 193.13727930628417, "cagr_pct": 193.49755144930518, "max_drawdown_pct": 26.087904996084575, "mean_exposure_while_solvent": 1.256894650626089, "realized_annual_volatility_pct": 54.531676283563144, "trading_costs_quote_units": 449.38164198067307, "borrowing_costs_quote_units": 266.12632449067513, "price_pnl_quote_units": 20029.23589709983, "turnover_quote_units": 149793.8806602245, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31738.334388120595, "return_pct": 217.38334388120592, "cagr_pct": 217.80225733675894, "max_drawdown_pct": 26.087904996084575, "mean_exposure_while_solvent": 1.2842360164813325, "realized_annual_volatility_pct": 55.50452241653788, "trading_costs_quote_units": 405.76486422439655, "borrowing_costs_quote_units": 300.24803927333534, "price_pnl_quote_units": 22444.34729161835, "turnover_quote_units": 135254.95474146554, "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": 0, "trace": "reference-2023-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29911.23801475541, "return_pct": 199.1123801475541, "cagr_pct": 199.48689745920856, "max_drawdown_pct": 28.89024045888484, "mean_exposure_while_solvent": 1.2375541281122382, "realized_annual_volatility_pct": 52.46342195020854, "trading_costs_quote_units": 394.371922952233, "borrowing_costs_quote_units": 202.3491945524987, "price_pnl_quote_units": 20507.95913226013, "turnover_quote_units": 131457.30765074436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25905.234093645427, "return_pct": 159.05234093645427, "cagr_pct": 159.334108437597, "max_drawdown_pct": 31.631268395551693, "mean_exposure_while_solvent": 1.251616161904395, "realized_annual_volatility_pct": 54.05309007158658, "trading_costs_quote_units": 407.37602147246054, "borrowing_costs_quote_units": 229.47100316315715, "price_pnl_quote_units": 16542.081118281083, "turnover_quote_units": 135792.00715748683, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29009.202559998645, "return_pct": 190.09202559998647, "cagr_pct": 190.44509105082673, "max_drawdown_pct": 25.668115378038426, "mean_exposure_while_solvent": 1.270568972978565, "realized_annual_volatility_pct": 54.95895398120556, "trading_costs_quote_units": 562.6271760837425, "borrowing_costs_quote_units": 559.0901737293817, "price_pnl_quote_units": 20130.919909811753, "turnover_quote_units": 187542.3920279142, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29279.20687969464, "return_pct": 192.79206879694638, "cagr_pct": 193.15152216097243, "max_drawdown_pct": 26.41318766848154, "mean_exposure_while_solvent": 1.2910967539043956, "realized_annual_volatility_pct": 55.75965585563078, "trading_costs_quote_units": 509.7212167445784, "borrowing_costs_quote_units": 589.9244159497565, "price_pnl_quote_units": 20378.85251238892, "turnover_quote_units": 169907.07224819282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31658.05817877833, "return_pct": 216.58058178778333, "cagr_pct": 216.99751881919426, "max_drawdown_pct": 27.829817682788228, "mean_exposure_while_solvent": 1.3184404546029906, "realized_annual_volatility_pct": 56.71125788979855, "trading_costs_quote_units": 464.65617932080085, "borrowing_costs_quote_units": 656.1300983707786, "price_pnl_quote_units": 22778.844456469902, "turnover_quote_units": 154885.39310693383, "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": 0, "trace": "reference-2023-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30733.014018441412, "return_pct": 207.33014018441415, "cagr_pct": 207.72447202666538, "max_drawdown_pct": 24.80157862311487, "mean_exposure_while_solvent": 1.249974267070883, "realized_annual_volatility_pct": 54.14740995047039, "trading_costs_quote_units": 461.9145728539719, "borrowing_costs_quote_units": 540.8640315847351, "price_pnl_quote_units": 21735.79262288014, "turnover_quote_units": 153971.52428465712, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29872.41504159155, "return_pct": 198.7241504159155, "cagr_pct": 199.09773797312047, "max_drawdown_pct": 26.167247724003683, "mean_exposure_while_solvent": 1.2609628345188448, "realized_annual_volatility_pct": 54.67540081776517, "trading_costs_quote_units": 455.3204194305546, "borrowing_costs_quote_units": 545.9478518140955, "price_pnl_quote_units": 20873.683312836147, "turnover_quote_units": 151773.47314351817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32299.46279669116, "return_pct": 222.99462796691162, "cagr_pct": 223.4274211608905, "max_drawdown_pct": 26.167247724003683, "mean_exposure_while_solvent": 1.2883065352174399, "realized_annual_volatility_pct": 55.64541909771661, "trading_costs_quote_units": 410.50800847541745, "borrowing_costs_quote_units": 615.2534143230773, "price_pnl_quote_units": 23325.22421948958, "turnover_quote_units": 136836.00282513935, "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": 0, "trace": "reference-2023-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29773.817929112454, "return_pct": 197.73817929112454, "cagr_pct": 198.10940818707664, "max_drawdown_pct": 24.801578623114896, "mean_exposure_while_solvent": 1.2459280883025519, "realized_annual_volatility_pct": 54.00411120497007, "trading_costs_quote_units": 453.3742648361522, "borrowing_costs_quote_units": 523.0852611546619, "price_pnl_quote_units": 20750.277455103274, "turnover_quote_units": 151124.7549453841, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28940.07877058635, "return_pct": 189.40078770586354, "cagr_pct": 189.75222240216922, "max_drawdown_pct": 26.167247724003705, "mean_exposure_while_solvent": 1.2569166557505136, "realized_annual_volatility_pct": 54.533413940151746, "trading_costs_quote_units": 446.98665066212567, "borrowing_costs_quote_units": 528.4671627850751, "price_pnl_quote_units": 19915.532584033477, "turnover_quote_units": 148995.55022070857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31291.376886750055, "return_pct": 212.91376886750055, "cagr_pct": 213.32170782111368, "max_drawdown_pct": 26.2800773195343, "mean_exposure_while_solvent": 1.2842603564491089, "realized_annual_volatility_pct": 55.50611781020914, "trading_costs_quote_units": 403.57291774526436, "borrowing_costs_quote_units": 595.7207484960788, "price_pnl_quote_units": 22290.67055299136, "turnover_quote_units": 134524.3059150882, "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": 0, "trace": "reference-2023-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29558.32202523372, "return_pct": 195.58322025233718, "cagr_pct": 195.94930703878904, "max_drawdown_pct": 29.162560276806083, "mean_exposure_while_solvent": 1.2375744569596334, "realized_annual_volatility_pct": 52.46472714880428, "trading_costs_quote_units": 392.60667706578266, "borrowing_costs_quote_units": 402.28438033910334, "price_pnl_quote_units": 20353.21308263858, "turnover_quote_units": 130868.89235526092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25581.31206349027, "return_pct": 155.8131206349027, "cagr_pct": 156.0876847074026, "max_drawdown_pct": 31.707273931982005, "mean_exposure_while_solvent": 1.251637732996898, "realized_annual_volatility_pct": 54.0554183599248, "trading_costs_quote_units": 405.27239790593916, "borrowing_costs_quote_units": 455.75546742725663, "price_pnl_quote_units": 16442.33992882345, "turnover_quote_units": 135090.7993019796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28235.507429661055, "return_pct": 182.35507429661055, "cagr_pct": 182.68999550136442, "max_drawdown_pct": 25.8098435653225, "mean_exposure_while_solvent": 1.270615324566494, "realized_annual_volatility_pct": 54.96249321494232, "trading_costs_quote_units": 556.2300303701817, "borrowing_costs_quote_units": 1101.6357604347152, "price_pnl_quote_units": 19893.3732204659, "turnover_quote_units": 185410.0101233939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28439.924307344958, "return_pct": 184.39924307344958, "cagr_pct": 184.73893482198145, "max_drawdown_pct": 26.563901531404543, "mean_exposure_while_solvent": 1.2911466148052897, "realized_annual_volatility_pct": 55.763522140432876, "trading_costs_quote_units": 503.6220426547599, "borrowing_costs_quote_units": 1161.0075656388178, "price_pnl_quote_units": 20104.553915638477, "turnover_quote_units": 167874.01421825332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30667.380793046974, "return_pct": 206.67380793046974, "cagr_pct": 207.0665479013245, "max_drawdown_pct": 28.322812905558447, "mean_exposure_while_solvent": 1.3184949862003033, "realized_annual_volatility_pct": 56.71486294299876, "trading_costs_quote_units": 459.12455329468975, "borrowing_costs_quote_units": 1289.108429358212, "price_pnl_quote_units": 22415.613775699898, "turnover_quote_units": 153041.51776489653, "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": 0, "trace": "reference-2023-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29975.577401832386, "return_pct": 199.75577401832388, "cagr_pct": 200.13183343571993, "max_drawdown_pct": 24.890408611302682, "mean_exposure_while_solvent": 1.2500170831618924, "realized_annual_volatility_pct": 54.15008737284539, "trading_costs_quote_units": 457.17400129452966, "borrowing_costs_quote_units": 1066.705131162194, "price_pnl_quote_units": 21499.45653428906, "turnover_quote_units": 152391.33376484324, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29103.91107967407, "return_pct": 191.03911079674072, "cagr_pct": 191.39441365257818, "max_drawdown_pct": 26.325722071634328, "mean_exposure_while_solvent": 1.2610075358488357, "realized_annual_volatility_pct": 54.678648284502316, "trading_costs_quote_units": 450.3534187534658, "borrowing_costs_quote_units": 1076.0949336828426, "price_pnl_quote_units": 20630.359432110403, "turnover_quote_units": 150117.80625115533, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31383.371980945594, "return_pct": 213.83371980945594, "cagr_pct": 214.24391165180475, "max_drawdown_pct": 26.325722071634328, "mean_exposure_while_solvent": 1.2883559072438493, "realized_annual_volatility_pct": 55.648395573402965, "trading_costs_quote_units": 405.9883338245844, "borrowing_costs_quote_units": 1210.652478045908, "price_pnl_quote_units": 23000.01279281607, "turnover_quote_units": 135329.44460819472, "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": 0, "trace": "reference-2023-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29051.539948709782, "return_pct": 190.51539948709782, "cagr_pct": 190.86946468449085, "max_drawdown_pct": 24.89040861130267, "mean_exposure_while_solvent": 1.2459702228479133, "realized_annual_volatility_pct": 54.007059391885335, "trading_costs_quote_units": 448.9073659449384, "borrowing_costs_quote_units": 1031.9858335558142, "price_pnl_quote_units": 20532.433148210577, "turnover_quote_units": 149635.78864831265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28206.74391223453, "return_pct": 182.06743912234532, "cagr_pct": 182.40169042025167, "max_drawdown_pct": 26.32572207163434, "mean_exposure_while_solvent": 1.2569606755348566, "realized_annual_volatility_pct": 54.53692899356345, "trading_costs_quote_units": 442.2955601739621, "borrowing_costs_quote_units": 1041.9907541448188, "price_pnl_quote_units": 19691.030226553314, "turnover_quote_units": 147431.8533913207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30415.937368196588, "return_pct": 204.1593736819659, "cagr_pct": 204.5460300434855, "max_drawdown_pct": 26.69267302778302, "mean_exposure_while_solvent": 1.2843090469298701, "realized_annual_volatility_pct": 55.50934680108931, "trading_costs_quote_units": 399.2981941490631, "borrowing_costs_quote_units": 1172.620188170594, "price_pnl_quote_units": 21987.85575051621, "turnover_quote_units": 133099.3980496877, "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": 0, "trace": "reference-2023-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28864.709643722796, "return_pct": 188.64709643722796, "cagr_pct": 188.99675519432034, "max_drawdown_pct": 29.704249561672004, "mean_exposure_while_solvent": 1.2376151234535864, "realized_annual_volatility_pct": 52.46737869059416, "trading_costs_quote_units": 389.1360046933074, "borrowing_costs_quote_units": 795.0218882668905, "price_pnl_quote_units": 20048.867536683, "turnover_quote_units": 129712.00156443579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24945.328607225005, "return_pct": 149.45328607225002, "cagr_pct": 149.7138441877402, "max_drawdown_pct": 31.85907360194824, "mean_exposure_while_solvent": 1.2516808845386314, "realized_annual_volatility_pct": 54.060115443628256, "trading_costs_quote_units": 401.1589731653337, "borrowing_costs_quote_units": 898.9287213567391, "price_pnl_quote_units": 16245.41630174705, "turnover_quote_units": 133719.6577217779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28360.35709956753, "return_pct": 183.60357099567528, "cagr_pct": 183.9414038522163, "max_drawdown_pct": 25.957550342151237, "mean_exposure_while_solvent": 1.2692614157745636, "realized_annual_volatility_pct": 54.9093447444012, "trading_costs_quote_units": 539.2901920428737, "borrowing_costs_quote_units": 275.0385749381198, "price_pnl_quote_units": 19174.68586654843, "turnover_quote_units": 179763.39734762447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28791.178693417634, "return_pct": 187.91178693417635, "cagr_pct": 188.25971523648707, "max_drawdown_pct": 26.703993840086493, "mean_exposure_while_solvent": 1.2898017141493083, "realized_annual_volatility_pct": 55.699089663656096, "trading_costs_quote_units": 490.24342280638575, "borrowing_costs_quote_units": 291.35994143436096, "price_pnl_quote_units": 19572.782057658358, "turnover_quote_units": 163414.47426879508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31602.807584946415, "return_pct": 216.02807584946416, "cagr_pct": 216.4436539484435, "max_drawdown_pct": 27.84934115897303, "mean_exposure_while_solvent": 1.3170771973403954, "realized_annual_volatility_pct": 56.65738089023738, "trading_costs_quote_units": 448.0587766989706, "borrowing_costs_quote_units": 326.5367943968716, "price_pnl_quote_units": 22377.403156042223, "turnover_quote_units": 149352.92556632345, "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": 0, "trace": "reference-2023-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30497.90266191455, "return_pct": 204.97902661914554, "cagr_pct": 205.36766350518337, "max_drawdown_pct": 24.858629424519453, "mean_exposure_while_solvent": 1.2485722937676906, "realized_annual_volatility_pct": 54.15494938732005, "trading_costs_quote_units": 442.0880849230676, "borrowing_costs_quote_units": 268.47338344147124, "price_pnl_quote_units": 21208.46413027905, "turnover_quote_units": 147362.69497435587, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29718.821095646294, "return_pct": 197.18821095646294, "cagr_pct": 197.55812582956148, "max_drawdown_pct": 26.032458559004358, "mean_exposure_while_solvent": 1.259579233344833, "realized_annual_volatility_pct": 54.66764332790491, "trading_costs_quote_units": 437.3844256876452, "borrowing_costs_quote_units": 271.6364376318628, "price_pnl_quote_units": 20427.841958965757, "turnover_quote_units": 145794.80856254837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32621.039754509227, "return_pct": 226.2103975450923, "cagr_pct": 226.65119551064686, "max_drawdown_pct": 26.032458559004358, "mean_exposure_while_solvent": 1.28685471653592, "realized_annual_volatility_pct": 55.64345790116988, "trading_costs_quote_units": 394.80807931099645, "borrowing_costs_quote_units": 308.611984127522, "price_pnl_quote_units": 23324.459817947714, "turnover_quote_units": 131602.69310366546, "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": 0, "trace": "reference-2023-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29836.99660657706, "return_pct": 198.3699660657706, "cagr_pct": 198.742705906164, "max_drawdown_pct": 24.858629424519407, "mean_exposure_while_solvent": 1.2445409681489181, "realized_annual_volatility_pct": 54.005193899064274, "trading_costs_quote_units": 436.1877005730057, "borrowing_costs_quote_units": 261.3780765954203, "price_pnl_quote_units": 20534.562383745473, "turnover_quote_units": 145395.9001910019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29074.79815946803, "return_pct": 190.74798159468028, "cagr_pct": 191.1025963074215, "max_drawdown_pct": 26.032458559004322, "mean_exposure_while_solvent": 1.2555479077260605, "realized_annual_volatility_pct": 54.51924856192257, "trading_costs_quote_units": 431.6028328042623, "borrowing_costs_quote_units": 264.6311769035683, "price_pnl_quote_units": 19771.032169175833, "turnover_quote_units": 143867.61093475416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31914.12416938985, "return_pct": 219.14124169389848, "cagr_pct": 219.56449125687314, "max_drawdown_pct": 26.032458559004322, "mean_exposure_while_solvent": 1.2828233909171474, "realized_annual_volatility_pct": 55.49784072510722, "trading_costs_quote_units": 389.9491458794847, "borrowing_costs_quote_units": 300.8442796452781, "price_pnl_quote_units": 22604.917594914637, "turnover_quote_units": 129983.04862649484, "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": 0, "trace": "reference-2023-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30335.256410436272, "return_pct": 203.3525641043627, "cagr_pct": 203.7372734442913, "max_drawdown_pct": 28.653715904029042, "mean_exposure_while_solvent": 1.2363624345930178, "realized_annual_volatility_pct": 52.508427991457815, "trading_costs_quote_units": 398.81692297937803, "borrowing_costs_quote_units": 203.09810046796838, "price_pnl_quote_units": 20937.17143388357, "turnover_quote_units": 132938.97432645937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26396.78843401905, "return_pct": 163.96788434019052, "cagr_pct": 164.26067147466145, "max_drawdown_pct": 30.759852202545034, "mean_exposure_while_solvent": 1.2501622103373942, "realized_annual_volatility_pct": 54.08108987049918, "trading_costs_quote_units": 398.47308291131503, "borrowing_costs_quote_units": 232.0050296355906, "price_pnl_quote_units": 17027.266546565945, "turnover_quote_units": 132824.36097043855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27980.267084667637, "return_pct": 179.80267084667636, "cagr_pct": 180.13165922101777, "max_drawdown_pct": 26.029840299481155, "mean_exposure_while_solvent": 1.269284529287622, "realized_annual_volatility_pct": 54.9108430188193, "trading_costs_quote_units": 536.1848266721141, "borrowing_costs_quote_units": 546.0166577058257, "price_pnl_quote_units": 19062.46856904561, "turnover_quote_units": 178728.27555737132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28376.23766168175, "return_pct": 183.7623766168175, "cagr_pct": 184.10058027972073, "max_drawdown_pct": 26.780743149536555, "mean_exposure_while_solvent": 1.2898265846915824, "realized_annual_volatility_pct": 55.70068741856391, "trading_costs_quote_units": 487.2740296765607, "borrowing_costs_quote_units": 578.0707103138901, "price_pnl_quote_units": 19441.58240167223, "turnover_quote_units": 162424.6765588535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31105.311582777274, "return_pct": 211.05311582777273, "cagr_pct": 211.45650766012741, "max_drawdown_pct": 28.097562073511618, "mean_exposure_while_solvent": 1.31710438880782, "realized_annual_volatility_pct": 56.65875910620463, "trading_costs_quote_units": 445.33789077939286, "borrowing_costs_quote_units": 647.2957910284691, "price_pnl_quote_units": 22197.945264585098, "turnover_quote_units": 148445.9635931309, "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": 0, "trace": "reference-2023-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30120.538681661466, "return_pct": 201.2053868166147, "cagr_pct": 201.58492649805288, "max_drawdown_pct": 24.90466493827356, "mean_exposure_while_solvent": 1.248593625351134, "realized_annual_volatility_pct": 54.155973257193324, "trading_costs_quote_units": 439.77685687748624, "borrowing_costs_quote_units": 533.2184271860726, "price_pnl_quote_units": 21093.533965725022, "turnover_quote_units": 146592.28562582866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29334.85116364182, "return_pct": 193.3485116364182, "cagr_pct": 193.7092850151546, "max_drawdown_pct": 26.11345593383312, "mean_exposure_while_solvent": 1.2596015115141488, "realized_annual_volatility_pct": 54.668908455382784, "trading_costs_quote_units": 434.95748809850994, "borrowing_costs_quote_units": 539.3399502328568, "price_pnl_quote_units": 20309.148601973207, "turnover_quote_units": 144985.82936617004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32156.1193756014, "return_pct": 221.561193756014, "cagr_pct": 221.99043060068936, "max_drawdown_pct": 26.11345593383312, "mean_exposure_while_solvent": 1.2868793156303864, "realized_annual_volatility_pct": 55.64449691754406, "trading_costs_quote_units": 392.57392560746, "borrowing_costs_quote_units": 612.2239105580477, "price_pnl_quote_units": 23160.9172117669, "turnover_quote_units": 130857.9752024868, "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": 0, "trace": "reference-2023-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29473.70359180654, "return_pct": 194.7370359180654, "cagr_pct": 195.10110847113506, "max_drawdown_pct": 24.904664938273548, "mean_exposure_while_solvent": 1.2445619589793646, "realized_annual_volatility_pct": 54.00631125856867, "trading_costs_quote_units": 433.9951088435995, "borrowing_costs_quote_units": 519.2067081864708, "price_pnl_quote_units": 20426.90540883658, "turnover_quote_units": 144665.0362811998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28704.88862250484, "return_pct": 187.04888622504842, "cagr_pct": 187.394786545462, "max_drawdown_pct": 26.113455933833094, "mean_exposure_while_solvent": 1.2555698451423793, "realized_annual_volatility_pct": 54.520606353824355, "trading_costs_quote_units": 429.29526646388354, "borrowing_costs_quote_units": 525.5125354266854, "price_pnl_quote_units": 19659.696424395384, "turnover_quote_units": 143098.4221546279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31465.570425413847, "return_pct": 214.65570425413847, "cagr_pct": 215.0679116848196, "max_drawdown_pct": 26.113455933833094, "mean_exposure_while_solvent": 1.282847649258617, "realized_annual_volatility_pct": 55.49896616266794, "trading_costs_quote_units": 387.82189894846033, "borrowing_costs_quote_units": 596.9085813640492, "price_pnl_quote_units": 22450.300905726428, "turnover_quote_units": 129273.96631615331, "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": 0, "trace": "reference-2023-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29977.41417923442, "return_pct": 199.7741417923442, "cagr_pct": 200.15024525739955, "max_drawdown_pct": 28.925089955007223, "mean_exposure_while_solvent": 1.2363827312881945, "realized_annual_volatility_pct": 52.509170506534964, "trading_costs_quote_units": 397.0312417904197, "borrowing_costs_quote_units": 403.7669876383805, "price_pnl_quote_units": 20778.21240866323, "turnover_quote_units": 132343.74726347334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26067.454882143244, "return_pct": 160.6745488214324, "cagr_pct": 160.95994127300946, "max_drawdown_pct": 30.83664861248624, "mean_exposure_while_solvent": 1.2501836979320073, "realized_annual_volatility_pct": 54.08286085344647, "trading_costs_quote_units": 396.42191542199214, "borrowing_costs_quote_units": 460.78803123879425, "price_pnl_quote_units": 16924.664828804034, "turnover_quote_units": 132140.6384739973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27235.013857975093, "return_pct": 172.35013857975093, "cagr_pct": 172.66195764546822, "max_drawdown_pct": 26.174325727260605, "mean_exposure_while_solvent": 1.269330766324285, "realized_annual_volatility_pct": 54.9138804424813, "trading_costs_quote_units": 530.1021529207407, "borrowing_costs_quote_units": 1076.0133012170536, "price_pnl_quote_units": 18841.129312112927, "turnover_quote_units": 176700.71764024708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27563.903987802172, "return_pct": 175.63903987802175, "cagr_pct": 175.9584075819455, "max_drawdown_pct": 26.934119604441797, "mean_exposure_while_solvent": 1.2898763365485717, "realized_annual_volatility_pct": 55.70392247892557, "trading_costs_quote_units": 481.4665854732984, "borrowing_costs_quote_units": 1137.8201985608448, "price_pnl_quote_units": 19183.190771836344, "turnover_quote_units": 160488.8618244328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 220, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30133.334622476832, "return_pct": 201.33334622476832, "cagr_pct": 201.71319349830839, "max_drawdown_pct": 28.59165498856704, "mean_exposure_while_solvent": 1.3171587835145542, "realized_annual_volatility_pct": 56.66155246248954, "trading_costs_quote_units": 440.02893596310275, "borrowing_costs_quote_units": 1271.8599714750997, "price_pnl_quote_units": 21845.22352991505, "turnover_quote_units": 146676.31198770093, "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": 0, "trace": "reference-2023-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29379.498875959995, "return_pct": 193.79498875959996, "cagr_pct": 194.15682216205883, "max_drawdown_pct": 24.996677107178165, "mean_exposure_while_solvent": 1.2486362977496752, "realized_annual_volatility_pct": 54.15806197908123, "trading_costs_quote_units": 435.2456123539687, "borrowing_costs_quote_units": 1051.7129966073787, "price_pnl_quote_units": 20866.457484921375, "turnover_quote_units": 145081.87078465632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28581.466452582667, "return_pct": 185.81466452582666, "cagr_pct": 186.1576693522719, "max_drawdown_pct": 26.275229549419688, "mean_exposure_while_solvent": 1.2596460774977656, "realized_annual_volatility_pct": 54.67147938002667, "trading_costs_quote_units": 430.19967708980386, "borrowing_costs_quote_units": 1063.1574192121222, "price_pnl_quote_units": 20074.823548884633, "turnover_quote_units": 143399.8923632679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31245.751436295162, "return_pct": 212.45751436295163, "cagr_pct": 212.86433713265072, "max_drawdown_pct": 26.275229549419688, "mean_exposure_while_solvent": 1.286928524463748, "realized_annual_volatility_pct": 55.646613902924436, "trading_costs_quote_units": 388.20542310359843, "borrowing_costs_quote_units": 1204.7453014683795, "price_pnl_quote_units": 22838.7021608671, "turnover_quote_units": 129401.80770119945, "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": 0, "trace": "reference-2023-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28760.08068760152, "return_pct": 187.60080687601518, "cagr_pct": 187.94800397395818, "max_drawdown_pct": 24.99667710717819, "mean_exposure_while_solvent": 1.244603949726165, "realized_annual_volatility_pct": 54.008587050392556, "trading_costs_quote_units": 429.6969485522174, "borrowing_costs_quote_units": 1024.3927315368126, "price_pnl_quote_units": 20214.170367690596, "turnover_quote_units": 143232.31618407238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27978.87345923609, "return_pct": 179.78873459236092, "cagr_pct": 180.11769064608353, "max_drawdown_pct": 26.275229549419667, "mean_exposure_while_solvent": 1.2556137294742553, "realized_annual_volatility_pct": 54.52336274835835, "trading_costs_quote_units": 424.77178996514823, "borrowing_costs_quote_units": 1036.2217584398088, "price_pnl_quote_units": 19439.867007641056, "turnover_quote_units": 141590.59665504927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30586.98639641873, "return_pct": 205.8698639641873, "cagr_pct": 206.26065623713396, "max_drawdown_pct": 26.275229549419667, "mean_exposure_while_solvent": 1.2828961764402378, "realized_annual_volatility_pct": 55.501256256972944, "trading_costs_quote_units": 383.66293682040117, "borrowing_costs_quote_units": 1174.9773773265933, "price_pnl_quote_units": 22145.6267105657, "turnover_quote_units": 127887.64560680036, "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": 0, "trace": "reference-2023-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29274.07722670616, "return_pct": 192.7407722670616, "cagr_pct": 193.10010400443304, "max_drawdown_pct": 29.46493183760779, "mean_exposure_while_solvent": 1.2364233334634136, "realized_annual_volatility_pct": 52.51069824525625, "trading_costs_quote_units": 393.5498817158294, "borrowing_costs_quote_units": 797.9268483508888, "price_pnl_quote_units": 20465.553956772907, "turnover_quote_units": 131183.29390527649, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25420.813284373173, "return_pct": 154.20813284373173, "cagr_pct": 154.47914507661343, "max_drawdown_pct": 30.99009429438383, "mean_exposure_while_solvent": 1.2502266824312418, "realized_annual_volatility_pct": 54.08644469070802, "trading_costs_quote_units": 392.4127377155448, "borrowing_costs_quote_units": 908.8531097450034, "price_pnl_quote_units": 16722.079131833707, "turnover_quote_units": 130804.24590518155, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2023-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2023-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30033.858541108195, "return_pct": 200.33858541108197, "cagr_pct": 200.7160430930821, "max_drawdown_pct": 25.07225937326393, "mean_exposure_while_solvent": 1.2691919324777254, "realized_annual_volatility_pct": 54.236077476259446, "trading_costs_quote_units": 114.26213881179471, "borrowing_costs_quote_units": 284.249370607847, "price_pnl_quote_units": 20432.370050527905, "turnover_quote_units": 190436.89801965767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30281.05478514335, "return_pct": 202.81054785143354, "cagr_pct": 203.193950557577, "max_drawdown_pct": 25.94390457594027, "mean_exposure_while_solvent": 1.2897169814017544, "realized_annual_volatility_pct": 55.04472869307423, "trading_costs_quote_units": 103.44087165167703, "borrowing_costs_quote_units": 299.90572104613807, "price_pnl_quote_units": 20684.40137784122, "turnover_quote_units": 172401.4527527949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32739.57616293383, "return_pct": 227.39576162933832, "cagr_pct": 227.83951940612747, "max_drawdown_pct": 27.157379079730603, "mean_exposure_while_solvent": 1.3170573267746422, "realized_annual_volatility_pct": 56.01026686238924, "trading_costs_quote_units": 94.19736355489914, "borrowing_costs_quote_units": 333.8850553989187, "price_pnl_quote_units": 23167.65858188775, "turnover_quote_units": 156995.605924832, "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": 0, "trace": "binance-2023-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31814.15270910507, "return_pct": 218.14152709105073, "cagr_pct": 218.56230935088158, "max_drawdown_pct": 24.619038691972595, "mean_exposure_while_solvent": 1.2499345141982225, "realized_annual_volatility_pct": 53.83293613888769, "trading_costs_quote_units": 93.92673433947247, "borrowing_costs_quote_units": 276.5721583957176, "price_pnl_quote_units": 22184.65160184023, "turnover_quote_units": 156544.5572324541, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30953.968921045176, "return_pct": 209.53968921045174, "cagr_pct": 209.9393918780783, "max_drawdown_pct": 25.94390457594027, "mean_exposure_while_solvent": 1.2609212498220757, "realized_annual_volatility_pct": 54.36580391717792, "trading_costs_quote_units": 92.63032005137796, "borrowing_costs_quote_units": 279.25760688554345, "price_pnl_quote_units": 21325.856847982108, "turnover_quote_units": 154383.86675229677, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 33467.12425396948, "return_pct": 234.6712425396948, "cagr_pct": 235.1332739042927, "max_drawdown_pct": 25.94390457594027, "mean_exposure_while_solvent": 1.2882615951949636, "realized_annual_volatility_pct": 55.34304628101313, "trading_costs_quote_units": 83.41503220161245, "borrowing_costs_quote_units": 314.89392805596964, "price_pnl_quote_units": 23865.433214227058, "turnover_quote_units": 139025.05366935406, "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": 0, "trace": "binance-2023-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30816.254078410937, "return_pct": 208.16254078410935, "cagr_pct": 208.5588938424626, "max_drawdown_pct": 24.61903869197264, "mean_exposure_while_solvent": 1.2458879335385205, "realized_annual_volatility_pct": 53.68804716194771, "trading_costs_quote_units": 92.16514342872837, "borrowing_costs_quote_units": 267.44131918084264, "price_pnl_quote_units": 21175.860541020505, "turnover_quote_units": 153608.57238121418, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29983.05124540266, "return_pct": 199.83051245402663, "cagr_pct": 200.20675110930446, "max_drawdown_pct": 25.94390457594029, "mean_exposure_while_solvent": 1.2568746691623736, "realized_annual_volatility_pct": 54.222265135712355, "trading_costs_quote_units": 90.9097697608219, "borrowing_costs_quote_units": 270.27322327085824, "price_pnl_quote_units": 20344.23423843437, "turnover_quote_units": 151516.2829347033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32417.377690807018, "return_pct": 224.17377690807018, "cagr_pct": 224.6095010311214, "max_drawdown_pct": 25.94390457594029, "mean_exposure_while_solvent": 1.2842150145352615, "realized_annual_volatility_pct": 55.20225483272525, "trading_costs_quote_units": 81.98353890877054, "borrowing_costs_quote_units": 304.8482017167227, "price_pnl_quote_units": 22804.209431432486, "turnover_quote_units": 136639.23151461774, "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": 0, "trace": "binance-2023-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30425.44626155567, "return_pct": 204.2544626155567, "cagr_pct": 204.64134861059944, "max_drawdown_pct": 28.54987387107307, "mean_exposure_while_solvent": 1.2375532946948857, "realized_annual_volatility_pct": 52.2478877491138, "trading_costs_quote_units": 79.42162807409588, "borrowing_costs_quote_units": 204.50777655245682, "price_pnl_quote_units": 20709.375666182204, "turnover_quote_units": 132369.38012349312, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26367.26917717237, "return_pct": 163.6726917717237, "cagr_pct": 163.96481416865765, "max_drawdown_pct": 31.40496274688904, "mean_exposure_while_solvent": 1.2515944670534087, "realized_annual_volatility_pct": 53.726306256747456, "trading_costs_quote_units": 82.0945099984204, "borrowing_costs_quote_units": 232.04984446933688, "price_pnl_quote_units": 16681.413531640137, "turnover_quote_units": 136824.1833307007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29632.841063400123, "return_pct": 196.32841063400122, "cagr_pct": 196.69627354738824, "max_drawdown_pct": 25.14354402076008, "mean_exposure_while_solvent": 1.2692149891917799, "realized_annual_volatility_pct": 54.237777782718, "trading_costs_quote_units": 113.60883067417389, "borrowing_costs_quote_units": 564.2736302039325, "price_pnl_quote_units": 20310.723524278248, "turnover_quote_units": 189348.05112362286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29846.120074023307, "return_pct": 198.46120074023307, "cagr_pct": 198.83415889878358, "max_drawdown_pct": 26.02335294912823, "mean_exposure_while_solvent": 1.289741792285449, "realized_annual_volatility_pct": 55.04659429402506, "trading_costs_quote_units": 102.8174011212045, "borrowing_costs_quote_units": 594.9979804844913, "price_pnl_quote_units": 20543.935455628944, "turnover_quote_units": 171362.33520200767, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32225.67994830162, "return_pct": 222.2567994830162, "cagr_pct": 222.6877612133565, "max_drawdown_pct": 27.237076228217482, "mean_exposure_while_solvent": 1.3170844723889275, "realized_annual_volatility_pct": 56.01199862786399, "trading_costs_quote_units": 93.63027253117417, "borrowing_costs_quote_units": 661.8453329749484, "price_pnl_quote_units": 22981.155553807734, "turnover_quote_units": 156050.45421862375, "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": 0, "trace": "binance-2023-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31419.83847486144, "return_pct": 214.19838474861442, "cagr_pct": 214.6094704821776, "max_drawdown_pct": 24.663533942568037, "mean_exposure_while_solvent": 1.2499559154724482, "realized_annual_volatility_pct": 53.83421209106166, "trading_costs_quote_units": 93.43569645046128, "borrowing_costs_quote_units": 549.2690052955788, "price_pnl_quote_units": 22062.54317660751, "turnover_quote_units": 155726.16075076873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30553.401492880224, "return_pct": 205.53401492880226, "cagr_pct": 205.92399426347367, "max_drawdown_pct": 26.02335294912823, "mean_exposure_while_solvent": 1.2609435933735267, "realized_annual_volatility_pct": 54.367364478429096, "trading_costs_quote_units": 92.11569633019728, "borrowing_costs_quote_units": 554.4363196809106, "price_pnl_quote_units": 21199.953508891303, "turnover_quote_units": 153526.16055032902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32989.35122553748, "return_pct": 229.89351225537482, "cagr_pct": 230.343522889444, "max_drawdown_pct": 26.02335294912823, "mean_exposure_while_solvent": 1.288286273477005, "realized_annual_volatility_pct": 55.34446969750575, "trading_costs_quote_units": 82.94506478262147, "borrowing_costs_quote_units": 624.6583936705435, "price_pnl_quote_units": 23696.954683990592, "turnover_quote_units": 138241.77463770245, "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": 0, "trace": "binance-2023-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30440.355896237877, "return_pct": 204.40355896237875, "cagr_pct": 204.79080508378837, "max_drawdown_pct": 24.663533942568037, "mean_exposure_while_solvent": 1.2459089939902777, "realized_annual_volatility_pct": 53.689458690715874, "trading_costs_quote_units": 91.7029779039624, "borrowing_costs_quote_units": 531.2244079549558, "price_pnl_quote_units": 21063.28328209677, "turnover_quote_units": 152838.2965066041, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29600.929235458756, "return_pct": 196.00929235458756, "cagr_pct": 196.37639440130695, "max_drawdown_pct": 26.02335294912822, "mean_exposure_while_solvent": 1.2568966718913561, "realized_annual_volatility_pct": 54.22395963926777, "trading_costs_quote_units": 90.4242789634776, "borrowing_costs_quote_units": 536.6897561901145, "price_pnl_quote_units": 20228.043270612365, "turnover_quote_units": 150707.13160579622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31960.940629749148, "return_pct": 219.60940629749146, "cagr_pct": 220.03381252756182, "max_drawdown_pct": 26.02335294912822, "mean_exposure_while_solvent": 1.2842393519948345, "realized_annual_volatility_pct": 55.20380454790307, "trading_costs_quote_units": 81.53954390789741, "borrowing_costs_quote_units": 604.835008024446, "price_pnl_quote_units": 22647.315181681446, "turnover_quote_units": 135899.2398464958, "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": 0, "trace": "binance-2023-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30066.5594970831, "return_pct": 200.665594970831, "cagr_pct": 201.04383777211194, "max_drawdown_pct": 28.823147234414435, "mean_exposure_while_solvent": 1.2375736244486713, "realized_annual_volatility_pct": 52.24918645036959, "trading_costs_quote_units": 79.06375301471444, "borrowing_costs_quote_units": 406.5720546886531, "price_pnl_quote_units": 20552.19530478653, "turnover_quote_units": 131772.92169119074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26037.655360113793, "return_pct": 160.37655360113794, "cagr_pct": 160.66127929057913, "max_drawdown_pct": 31.481138696232147, "mean_exposure_while_solvent": 1.25161603571886, "realized_annual_volatility_pct": 53.72862109179374, "trading_costs_quote_units": 81.67016722075772, "borrowing_costs_quote_units": 460.8696465266237, "price_pnl_quote_units": 16580.195173861215, "turnover_quote_units": 136116.94536792958, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28846.577890353696, "return_pct": 188.46577890353697, "cagr_pct": 188.8150107541209, "max_drawdown_pct": 25.28594983536785, "mean_exposure_while_solvent": 1.269261112611711, "realized_annual_volatility_pct": 54.24121831119487, "trading_costs_quote_units": 112.32229998235806, "borrowing_costs_quote_units": 1111.879976210173, "price_pnl_quote_units": 20070.78016654621, "turnover_quote_units": 187203.83330393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28994.664662206804, "return_pct": 189.94664662206802, "cagr_pct": 190.29936894101823, "max_drawdown_pct": 26.18203845039101, "mean_exposure_while_solvent": 1.2897914248040325, "realized_annual_volatility_pct": 55.050364193719226, "trading_costs_quote_units": 101.59118844132692, "borrowing_costs_quote_units": 1171.0295912334477, "price_pnl_quote_units": 20267.285441881606, "turnover_quote_units": 169318.6474022116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31221.677998208565, "return_pct": 212.21677998208563, "cagr_pct": 212.62301412499366, "max_drawdown_pct": 27.682077863689024, "mean_exposure_while_solvent": 1.31713877537837, "realized_annual_volatility_pct": 56.015498218269045, "trading_costs_quote_units": 92.51868717566276, "borrowing_costs_quote_units": 1300.3827916871735, "price_pnl_quote_units": 22614.57947707142, "turnover_quote_units": 154197.81195943776, "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": 0, "trace": "binance-2023-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30645.593726250096, "return_pct": 206.45593726250095, "cagr_pct": 206.84814916413225, "max_drawdown_pct": 24.752470919563407, "mean_exposure_while_solvent": 1.2499987272904616, "realized_annual_volatility_pct": 53.83680415669502, "trading_costs_quote_units": 92.4697789616496, "borrowing_costs_quote_units": 1083.2359085873613, "price_pnl_quote_units": 21821.299413799137, "turnover_quote_units": 154116.29826941583, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29767.530192015085, "return_pct": 197.67530192015084, "cagr_pct": 198.0463805261647, "max_drawdown_pct": 26.18203845039101, "mean_exposure_while_solvent": 1.2609882901557339, "realized_annual_volatility_pct": 54.37052552018399, "trading_costs_quote_units": 91.1036294878378, "borrowing_costs_quote_units": 1092.7763275541843, "price_pnl_quote_units": 20951.410149057123, "turnover_quote_units": 151839.38247972942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 32053.90554726652, "return_pct": 220.5390554726652, "cagr_pct": 220.96576085931915, "max_drawdown_pct": 26.18203845039101, "mean_exposure_while_solvent": 1.2883356407300715, "realized_annual_volatility_pct": 55.34735471119628, "trading_costs_quote_units": 82.02464607430524, "borrowing_costs_quote_units": 1229.1065900005656, "price_pnl_quote_units": 23365.036783341366, "turnover_quote_units": 136707.74345717544, "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": 0, "trace": "binance-2023-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29702.0527938528, "return_pct": 197.02052793852798, "cagr_pct": 197.39004240329731, "max_drawdown_pct": 24.752470919563397, "mean_exposure_while_solvent": 1.2459511240183299, "realized_annual_volatility_pct": 53.692322092341406, "trading_costs_quote_units": 90.79344385593697, "borrowing_costs_quote_units": 1048.0004138777351, "price_pnl_quote_units": 20840.846651586493, "turnover_quote_units": 151322.4064265615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28851.023778615723, "return_pct": 188.51023778615726, "cagr_pct": 188.85957430173113, "max_drawdown_pct": 26.18203845039102, "mean_exposure_while_solvent": 1.2569406868836022, "realized_annual_volatility_pct": 54.22738879625732, "trading_costs_quote_units": 89.4690626594552, "borrowing_costs_quote_units": 1058.1563725906003, "price_pnl_quote_units": 19998.64921386575, "turnover_quote_units": 149115.10443242532, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31067.00438955989, "return_pct": 210.6700438955989, "cagr_pct": 211.07250114421387, "max_drawdown_pct": 26.223935009121814, "mean_exposure_while_solvent": 1.2842880374579397, "realized_annual_volatility_pct": 55.206942513074864, "trading_costs_quote_units": 80.66963129049137, "borrowing_costs_quote_units": 1190.511349391596, "price_pnl_quote_units": 22338.18537024195, "turnover_quote_units": 134449.38548415218, "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": 0, "trace": "binance-2023-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29361.237091243485, "return_pct": 193.61237091243484, "cagr_pct": 193.9737706505814, "max_drawdown_pct": 29.36671752337272, "mean_exposure_while_solvent": 1.2376142927564748, "realized_annual_volatility_pct": 52.251825034390954, "trading_costs_quote_units": 78.36076606780364, "borrowing_costs_quote_units": 803.4813067524032, "price_pnl_quote_units": 20243.07916406365, "turnover_quote_units": 130601.27677967265, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25390.55405451765, "return_pct": 153.90554054517648, "cagr_pct": 154.17588443827648, "max_drawdown_pct": 31.63327896843423, "mean_exposure_while_solvent": 1.251659182405367, "realized_annual_volatility_pct": 53.73329170637974, "trading_costs_quote_units": 80.83697747113273, "borrowing_costs_quote_units": 908.9866994890368, "price_pnl_quote_units": 16380.377731477847, "turnover_quote_units": 134728.29578522113, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29150.699760440344, "return_pct": 191.50699760440344, "cagr_pct": 191.86340710419807, "max_drawdown_pct": 25.421957433348553, "mean_exposure_while_solvent": 1.267940189673843, "realized_annual_volatility_pct": 54.20330159391244, "trading_costs_quote_units": 109.63884852602636, "borrowing_costs_quote_units": 279.0106376128365, "price_pnl_quote_units": 19539.349246579197, "turnover_quote_units": 182731.414210044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29532.55531450493, "return_pct": 195.3255531450493, "cagr_pct": 195.69102629394868, "max_drawdown_pct": 26.146483993969415, "mean_exposure_while_solvent": 1.2884807804549552, "realized_annual_volatility_pct": 55.00621353202744, "trading_costs_quote_units": 99.58116506616315, "borrowing_costs_quote_units": 295.3602305187004, "price_pnl_quote_units": 19927.49671008981, "turnover_quote_units": 165968.6084436053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32350.975507944462, "return_pct": 223.50975507944463, "cagr_pct": 223.9438280841232, "max_drawdown_pct": 27.20760968350676, "mean_exposure_while_solvent": 1.3157564688211478, "realized_annual_volatility_pct": 55.98274217912992, "trading_costs_quote_units": 90.91102395109165, "borrowing_costs_quote_units": 331.0196697381127, "price_pnl_quote_units": 22772.906201633676, "turnover_quote_units": 151518.37325181943, "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": 0, "trace": "binance-2023-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31174.016926188924, "return_pct": 211.74016926188926, "cagr_pct": 212.1452386567602, "max_drawdown_pct": 24.725259489200646, "mean_exposure_while_solvent": 1.248604206234534, "realized_annual_volatility_pct": 53.82183412109403, "trading_costs_quote_units": 89.6742049643669, "borrowing_costs_quote_units": 272.6295586575942, "price_pnl_quote_units": 21536.320689810917, "turnover_quote_units": 149457.0082739449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30393.43845681174, "return_pct": 203.93438456811737, "cagr_pct": 204.3204977312656, "max_drawdown_pct": 25.890114914373484, "mean_exposure_while_solvent": 1.259610560285556, "realized_annual_volatility_pct": 54.34309736382521, "trading_costs_quote_units": 88.73977069150969, "borrowing_costs_quote_units": 275.85923904667976, "price_pnl_quote_units": 20758.03746654989, "turnover_quote_units": 147899.61781918284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 33294.01647258088, "return_pct": 232.94016472580878, "cagr_pct": 233.39783163229964, "max_drawdown_pct": 25.890114914373484, "mean_exposure_while_solvent": 1.286886248651749, "realized_annual_volatility_pct": 55.331113833394916, "trading_costs_quote_units": 80.01253264492105, "borrowing_costs_quote_units": 313.23794830816064, "price_pnl_quote_units": 23687.2669535339, "turnover_quote_units": 133354.22107486858, "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": 0, "trace": "binance-2023-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30495.48132052196, "return_pct": 204.9548132052196, "cagr_pct": 205.3433915482871, "max_drawdown_pct": 24.725259489200635, "mean_exposure_while_solvent": 1.2445726957857277, "realized_annual_volatility_pct": 53.67023671094031, "trading_costs_quote_units": 88.47049346123407, "borrowing_costs_quote_units": 265.4114873710855, "price_pnl_quote_units": 20849.363301354235, "turnover_quote_units": 147450.8224353901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29731.89297101736, "return_pct": 197.31892971017362, "cagr_pct": 197.68915680019668, "max_drawdown_pct": 25.890114914373452, "mean_exposure_while_solvent": 1.2555790498367498, "realized_annual_volatility_pct": 54.19291101950912, "trading_costs_quote_units": 87.55979564492274, "borrowing_costs_quote_units": 268.7307654206324, "price_pnl_quote_units": 20088.183532082952, "turnover_quote_units": 145932.99274153804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32569.336823955495, "return_pct": 225.69336823955496, "cagr_pct": 226.1328767452147, "max_drawdown_pct": 25.890114914373452, "mean_exposure_while_solvent": 1.2828547382029427, "realized_annual_volatility_pct": 55.183782836950044, "trading_costs_quote_units": 79.02251657381818, "borrowing_costs_quote_units": 305.3353606421307, "price_pnl_quote_units": 22953.694701171447, "turnover_quote_units": 131704.19428969716, "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": 0, "trace": "binance-2023-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30856.196247834567, "return_pct": 208.5619624783457, "cagr_pct": 208.95928631769252, "max_drawdown_pct": 28.30845739527643, "mean_exposure_while_solvent": 1.2363901024970632, "realized_annual_volatility_pct": 52.28507793018411, "trading_costs_quote_units": 80.3400948213352, "borrowing_costs_quote_units": 205.38799548399712, "price_pnl_quote_units": 21141.924338139914, "turnover_quote_units": 133900.15803555868, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26887.120495640418, "return_pct": 168.8712049564042, "cagr_pct": 169.1750887167588, "max_drawdown_pct": 30.52806184038812, "mean_exposure_while_solvent": 1.2502007981344287, "realized_annual_volatility_pct": 53.7329232695934, "trading_costs_quote_units": 80.61183048663277, "borrowing_costs_quote_units": 234.8543137921283, "price_pnl_quote_units": 17202.586639919162, "turnover_quote_units": 134353.05081105462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28762.001146058436, "return_pct": 187.62001146058432, "cagr_pct": 187.96725370293152, "max_drawdown_pct": 25.49469017633167, "mean_exposure_while_solvent": 1.2679631914191514, "realized_annual_volatility_pct": 54.20473247174103, "trading_costs_quote_units": 109.00941724187005, "borrowing_costs_quote_units": 553.9060157274674, "price_pnl_quote_units": 19424.916579027784, "turnover_quote_units": 181682.3620697835, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29108.933357271646, "return_pct": 191.08933357271644, "cagr_pct": 191.44475517402788, "max_drawdown_pct": 26.22371360543533, "mean_exposure_while_solvent": 1.2885055392859304, "realized_annual_volatility_pct": 55.00774743886648, "trading_costs_quote_units": 98.97927444713781, "borrowing_costs_quote_units": 586.0121434042946, "price_pnl_quote_units": 19793.92477512319, "turnover_quote_units": 164965.45741189632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31843.882750219535, "return_pct": 218.43882750219535, "cagr_pct": 218.8603431264287, "max_drawdown_pct": 27.432424822585478, "mean_exposure_while_solvent": 1.3157835486986116, "realized_annual_volatility_pct": 55.984054339063064, "trading_costs_quote_units": 90.3599059004599, "borrowing_costs_quote_units": 656.1888944508344, "price_pnl_quote_units": 22590.431550570866, "turnover_quote_units": 150599.8431674333, "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": 0, "trace": "binance-2023-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30788.260957708902, "return_pct": 207.88260957708903, "cagr_pct": 208.27828262526563, "max_drawdown_pct": 24.771350698597626, "mean_exposure_while_solvent": 1.2486255423916006, "realized_annual_volatility_pct": 53.82280373164433, "trading_costs_quote_units": 89.20160743315927, "borrowing_costs_quote_units": 541.4607942877676, "price_pnl_quote_units": 21418.92335942982, "turnover_quote_units": 148669.3457219322, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30000.74571278203, "return_pct": 200.00745712782032, "cagr_pct": 200.38412021721626, "max_drawdown_pct": 25.97122046348288, "mean_exposure_while_solvent": 1.25963284296295, "realized_annual_volatility_pct": 54.34430967564442, "trading_costs_quote_units": 88.24345705074316, "borrowing_costs_quote_units": 547.7110584403263, "price_pnl_quote_units": 20636.700228273137, "turnover_quote_units": 147072.42841790526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32819.48593483345, "return_pct": 228.1948593483345, "cagr_pct": 228.6406152171076, "max_drawdown_pct": 25.97122046348288, "mean_exposure_while_solvent": 1.2869108523756312, "realized_annual_volatility_pct": 55.33209969903775, "trading_costs_quote_units": 79.55605355987902, "borrowing_costs_quote_units": 621.3869162186404, "price_pnl_quote_units": 23520.42890461202, "turnover_quote_units": 132593.42259979836, "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": 0, "trace": "binance-2023-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30124.166475048645, "return_pct": 201.24166475048645, "cagr_pct": 201.62129163143146, "max_drawdown_pct": 24.771350698597615, "mean_exposure_while_solvent": 1.2445936911829756, "realized_annual_volatility_pct": 53.6712999385505, "trading_costs_quote_units": 88.02208940996405, "borrowing_costs_quote_units": 527.2073610178497, "price_pnl_quote_units": 20739.395925476372, "turnover_quote_units": 146703.48234993994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29353.637721495397, "return_pct": 193.53637721495397, "cagr_pct": 193.89759652846354, "max_drawdown_pct": 25.97122046348288, "mean_exposure_while_solvent": 1.255600991754325, "realized_annual_volatility_pct": 54.1942161039236, "trading_costs_quote_units": 87.08783405882254, "borrowing_costs_quote_units": 533.6411694328237, "price_pnl_quote_units": 19974.36672498708, "turnover_quote_units": 145146.39009803746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32111.578477409756, "return_pct": 221.11578477409756, "cagr_pct": 221.5439180476615, "max_drawdown_pct": 25.97122046348288, "mean_exposure_while_solvent": 1.2828790011670061, "realized_annual_volatility_pct": 55.184855183626006, "trading_costs_quote_units": 78.5878180249891, "borrowing_costs_quote_units": 605.8063854521167, "price_pnl_quote_units": 22795.972680886865, "turnover_quote_units": 130979.69670831512, "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": 0, "trace": "binance-2023-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30492.3151080206, "return_pct": 204.923151080206, "cagr_pct": 205.31165287419844, "max_drawdown_pct": 28.58089013444073, "mean_exposure_while_solvent": 1.2364104028640026, "realized_annual_volatility_pct": 52.28581855084031, "trading_costs_quote_units": 79.97881537419029, "borrowing_costs_quote_units": 408.31588250108064, "price_pnl_quote_units": 20980.609805895896, "turnover_quote_units": 133298.02562365058, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26551.752229940208, "return_pct": 165.5175222994021, "cagr_pct": 165.8138052174902, "max_drawdown_pct": 30.60503274912456, "mean_exposure_while_solvent": 1.2502222916023573, "realized_annual_volatility_pct": 53.73466066685126, "trading_costs_quote_units": 80.19404011378133, "borrowing_costs_quote_units": 466.4391694093606, "price_pnl_quote_units": 17098.385439463294, "turnover_quote_units": 133656.73352296875, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27999.87575296008, "return_pct": 179.9987575296008, "cagr_pct": 180.32820074758723, "max_drawdown_pct": 25.639982952639762, "mean_exposure_while_solvent": 1.2680092048724887, "realized_annual_volatility_pct": 54.207633773451256, "trading_costs_quote_units": 107.76585781058219, "borrowing_costs_quote_units": 1091.5771619869001, "price_pnl_quote_units": 19199.218772757646, "turnover_quote_units": 179609.76301763701, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28279.606043850094, "return_pct": 182.79606043850092, "cagr_pct": 183.1320093581392, "max_drawdown_pct": 26.37797313213399, "mean_exposure_while_solvent": 1.2885550676725277, "realized_annual_volatility_pct": 55.01085349969994, "trading_costs_quote_units": 97.7914997332846, "borrowing_costs_quote_units": 1153.4711523238066, "price_pnl_quote_units": 19530.868695907153, "turnover_quote_units": 162985.8328888076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30853.149152698552, "return_pct": 208.53149152698555, "cagr_pct": 208.9287412868443, "max_drawdown_pct": 27.93088153198735, "mean_exposure_while_solvent": 1.3158377201777318, "realized_annual_volatility_pct": 55.986714277975004, "trading_costs_quote_units": 89.27348726338441, "borrowing_costs_quote_units": 1289.361500082171, "price_pnl_quote_units": 22231.784140044118, "turnover_quote_units": 148789.14543897408, "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": 0, "trace": "binance-2023-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30030.803407444153, "return_pct": 200.3080340744415, "cagr_pct": 200.6854184263608, "max_drawdown_pct": 24.86347422817262, "mean_exposure_while_solvent": 1.2486682239401894, "realized_annual_volatility_pct": 53.82478279528331, "trading_costs_quote_units": 88.2678396959571, "borrowing_costs_quote_units": 1067.9228927368545, "price_pnl_quote_units": 21186.994139877013, "turnover_quote_units": 147113.0661599283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29230.305535647753, "return_pct": 192.3030553564775, "cagr_pct": 192.66134966373087, "max_drawdown_pct": 26.133210276047226, "mean_exposure_while_solvent": 1.259677417965488, "realized_annual_volatility_pct": 54.346773832619256, "trading_costs_quote_units": 87.26337485357843, "borrowing_costs_quote_units": 1079.6071939140547, "price_pnl_quote_units": 20397.176104415386, "turnover_quote_units": 145438.95808929732, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31890.365625033646, "return_pct": 218.90365625033644, "cagr_pct": 219.32631912544426, "max_drawdown_pct": 26.133210276047226, "mean_exposure_while_solvent": 1.286960070470692, "realized_annual_volatility_pct": 55.33410923021819, "trading_costs_quote_units": 78.65583282715723, "borrowing_costs_quote_units": 1222.7226736114396, "price_pnl_quote_units": 23191.744131472307, "turnover_quote_units": 131093.05471192862, "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": 0, "trace": "binance-2023-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29394.84587559587, "return_pct": 193.9484587559587, "cagr_pct": 194.31065670554977, "max_drawdown_pct": 24.863474228172645, "mean_exposure_while_solvent": 1.2446356910661853, "realized_annual_volatility_pct": 53.673466325957065, "trading_costs_quote_units": 87.13595812171565, "borrowing_costs_quote_units": 1040.1341425265714, "price_pnl_quote_units": 20522.11597624413, "turnover_quote_units": 145226.59686952605, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28611.300019497812, "return_pct": 186.11300019497813, "cagr_pct": 186.45670436113798, "max_drawdown_pct": 26.13321027604727, "mean_exposure_while_solvent": 1.2556448850914839, "realized_annual_volatility_pct": 54.19686594650448, "trading_costs_quote_units": 86.15565778857064, "borrowing_costs_quote_units": 1052.2020535763454, "price_pnl_quote_units": 19749.65773086268, "turnover_quote_units": 143592.76298095114, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31215.02844082741, "return_pct": 212.1502844082741, "cagr_pct": 212.55635599832723, "max_drawdown_pct": 26.13321027604727, "mean_exposure_while_solvent": 1.282927537596688, "realized_annual_volatility_pct": 55.18703794389209, "trading_costs_quote_units": 77.73040044227822, "borrowing_costs_quote_units": 1192.4421858891887, "price_pnl_quote_units": 22485.201027158877, "turnover_quote_units": 129550.66740379711, "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": 0, "trace": "binance-2023-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29777.180062718853, "return_pct": 197.7718006271885, "cagr_pct": 198.14310989133418, "max_drawdown_pct": 29.122806652559696, "mean_exposure_while_solvent": 1.2364510123847894, "realized_annual_volatility_pct": 52.287341000914324, "trading_costs_quote_units": 79.26692302663092, "borrowing_costs_quote_units": 806.903592661254, "price_pnl_quote_units": 20663.350578406706, "turnover_quote_units": 132111.53837771816, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25893.32917468725, "return_pct": 158.93329174687247, "cagr_pct": 159.21479368037183, "max_drawdown_pct": 30.758777528017056, "mean_exposure_while_solvent": 1.250265287851984, "realized_annual_volatility_pct": 53.73817605559423, "trading_costs_quote_units": 79.37055990977849, "borrowing_costs_quote_units": 919.9699019969063, "price_pnl_quote_units": 16892.66963659395, "turnover_quote_units": 132284.26651629747, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29260.382375678957, "return_pct": 192.60382375678958, "cagr_pct": 192.9628308327611, "max_drawdown_pct": 25.372765384084197, "mean_exposure_while_solvent": 1.2691919324777254, "realized_annual_volatility_pct": 54.22629826657288, "trading_costs_quote_units": 562.8914864752633, "borrowing_costs_quote_units": 279.2414704194425, "price_pnl_quote_units": 20102.51533257371, "turnover_quote_units": 187630.49549175444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29562.6000365673, "return_pct": 195.62600036567298, "cagr_pct": 195.99218905841497, "max_drawdown_pct": 26.09413285823322, "mean_exposure_while_solvent": 1.2897169814017544, "realized_annual_volatility_pct": 55.03401932636272, "trading_costs_quote_units": 510.08217837325634, "borrowing_costs_quote_units": 294.9406264593754, "price_pnl_quote_units": 20367.62284139996, "turnover_quote_units": 170027.3927910855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32021.073570549546, "return_pct": 220.21073570549547, "cagr_pct": 220.63662875693137, "max_drawdown_pct": 27.45790729045272, "mean_exposure_while_solvent": 1.3170573267746422, "realized_annual_volatility_pct": 56.003811441590415, "trading_costs_quote_units": 464.90438397966255, "borrowing_costs_quote_units": 328.48913668885484, "price_pnl_quote_units": 22814.467091218048, "turnover_quote_units": 154968.12799322102, "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": 0, "trace": "binance-2023-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31153.208580831222, "return_pct": 211.53208580831225, "cagr_pct": 211.93664694743, "max_drawdown_pct": 24.73750425608099, "mean_exposure_while_solvent": 1.2499345141982225, "realized_annual_volatility_pct": 53.81999181214599, "trading_costs_quote_units": 463.8011421115474, "borrowing_costs_quote_units": 272.4465433117646, "price_pnl_quote_units": 21889.456266254572, "turnover_quote_units": 154600.38070384922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30305.450263768464, "return_pct": 203.05450263768466, "cagr_pct": 203.4384933061387, "max_drawdown_pct": 26.07097042464742, "mean_exposure_while_solvent": 1.2609212498220757, "realized_annual_volatility_pct": 54.35264227890846, "trading_costs_quote_units": 457.3822061610886, "borrowing_costs_quote_units": 275.12473847023114, "price_pnl_quote_units": 21037.957208399697, "turnover_quote_units": 152460.7353870296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 32825.70042162771, "return_pct": 228.25700421627712, "cagr_pct": 228.70291556768643, "max_drawdown_pct": 26.07097042464742, "mean_exposure_while_solvent": 1.2882615951949636, "realized_annual_volatility_pct": 55.33421358390191, "trading_costs_quote_units": 412.2287329645769, "borrowing_costs_quote_units": 310.40142644871935, "price_pnl_quote_units": 23548.330581040922, "turnover_quote_units": 137409.57765485896, "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": 0, "trace": "binance-2023-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 30179.45089771321, "return_pct": 201.79450897713212, "cagr_pct": 202.17546532139804, "max_drawdown_pct": 24.73750425608101, "mean_exposure_while_solvent": 1.2458879335385205, "realized_annual_volatility_pct": 53.677370531217115, "trading_costs_quote_units": 455.1654383441484, "borrowing_costs_quote_units": 263.47166395933334, "price_pnl_quote_units": 20898.088000016658, "turnover_quote_units": 151721.8127813828, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29358.191012506046, "return_pct": 193.58191012506046, "cagr_pct": 193.94323754034093, "max_drawdown_pct": 26.070970424647445, "mean_exposure_while_solvent": 1.2568746691623736, "realized_annual_volatility_pct": 54.211348382715194, "trading_costs_quote_units": 448.94877771749225, "borrowing_costs_quote_units": 266.29421167633063, "price_pnl_quote_units": 20073.434001899834, "turnover_quote_units": 149649.5925724974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 31799.66556212483, "return_pct": 217.9966556212483, "cagr_pct": 218.41708063530075, "max_drawdown_pct": 26.070970424647445, "mean_exposure_while_solvent": 1.2842150145352615, "realized_annual_volatility_pct": 55.19564274934836, "trading_costs_quote_units": 405.2066972969138, "borrowing_costs_quote_units": 300.5239805464412, "price_pnl_quote_units": 22505.39623996819, "turnover_quote_units": 135068.89909897136, "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": 0, "trace": "binance-2023-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 29823.546080237687, "return_pct": 198.23546080237685, "cagr_pct": 198.60787883939062, "max_drawdown_pct": 28.700362590458106, "mean_exposure_while_solvent": 1.2375532946948857, "realized_annual_volatility_pct": 52.23394558148574, "trading_costs_quote_units": 392.6278555307363, "borrowing_costs_quote_units": 201.74283760939207, "price_pnl_quote_units": 20417.91677337779, "turnover_quote_units": 130875.95184357878, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25826.176064980864, "return_pct": 158.26176064980865, "cagr_pct": 158.54176574711266, "max_drawdown_pct": 31.60740719681957, "mean_exposure_while_solvent": 1.2515944670534087, "realized_annual_volatility_pct": 53.724259322292625, "trading_costs_quote_units": 405.6284083730453, "borrowing_costs_quote_units": 228.77091830147737, "price_pnl_quote_units": 16460.57539165545, "turnover_quote_units": 135209.46945768184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28869.62759526469, "return_pct": 188.6962759526469, "cagr_pct": 189.04605052386475, "max_drawdown_pct": 25.44392103206744, "mean_exposure_while_solvent": 1.2692149891917799, "realized_annual_volatility_pct": 54.22802326984646, "trading_costs_quote_units": 559.6901154979172, "borrowing_costs_quote_units": 554.347990676729, "price_pnl_quote_units": 19983.665701439364, "turnover_quote_units": 186563.37183263912, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29137.923209104018, "return_pct": 191.37923209104017, "cagr_pct": 191.73533931498133, "max_drawdown_pct": 26.16982568371138, "mean_exposure_while_solvent": 1.289741792285449, "realized_annual_volatility_pct": 55.03591018292927, "trading_costs_quote_units": 507.02443151877713, "borrowing_costs_quote_units": 585.16323563695, "price_pnl_quote_units": 20230.110876259758, "turnover_quote_units": 169008.14383959243, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31518.373967147876, "return_pct": 215.18373967147878, "cagr_pct": 215.59724319525725, "max_drawdown_pct": 27.70599981178733, "mean_exposure_while_solvent": 1.3170844723889275, "realized_annual_volatility_pct": 56.005570305956724, "trading_costs_quote_units": 462.12208016354924, "borrowing_costs_quote_units": 651.1653361908509, "price_pnl_quote_units": 22631.661383502204, "turnover_quote_units": 154040.6933878499, "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": 0, "trace": "binance-2023-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 30767.065717058795, "return_pct": 207.67065717058796, "cagr_pct": 208.06581553682446, "max_drawdown_pct": 24.781956630809464, "mean_exposure_while_solvent": 1.2499559154724482, "realized_annual_volatility_pct": 53.821291583772094, "trading_costs_quote_units": 461.3890748702119, "borrowing_costs_quote_units": 541.0862326478828, "price_pnl_quote_units": 21769.541024576927, "turnover_quote_units": 153796.3582900707, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29913.238598229735, "return_pct": 199.13238598229736, "cagr_pct": 199.5069512206884, "max_drawdown_pct": 26.150330887227025, "mean_exposure_while_solvent": 1.2609435933735267, "realized_annual_volatility_pct": 54.35422813602698, "trading_costs_quote_units": 454.8541916698261, "borrowing_costs_quote_units": 546.2423190683282, "price_pnl_quote_units": 20914.335108967844, "turnover_quote_units": 151618.063889942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 32357.02949525749, "return_pct": 223.5702949525749, "cagr_pct": 224.00451842760876, "max_drawdown_pct": 26.150330887227025, "mean_exposure_while_solvent": 1.288286273477005, "realized_annual_volatility_pct": 55.33566426652528, "trading_costs_quote_units": 409.91945361840965, "borrowing_costs_quote_units": 615.7580430509556, "price_pnl_quote_units": 23382.70699192682, "turnover_quote_units": 136639.81787280334, "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": 0, "trace": "binance-2023-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29811.279525277045, "return_pct": 198.11279525277047, "cagr_pct": 198.48491987342447, "max_drawdown_pct": 24.781956630809454, "mean_exposure_while_solvent": 1.2459089939902777, "realized_annual_volatility_pct": 53.678805630553114, "trading_costs_quote_units": 452.8949665380692, "borrowing_costs_quote_units": 523.3491685402715, "price_pnl_quote_units": 20787.523660355397, "turnover_quote_units": 150964.98884602284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28983.976748348152, "return_pct": 189.83976748348152, "cagr_pct": 190.19223759331564, "max_drawdown_pct": 26.150330887227014, "mean_exposure_while_solvent": 1.2568966718913561, "realized_annual_volatility_pct": 54.21306793313325, "trading_costs_quote_units": 446.56362125826115, "borrowing_costs_quote_units": 528.7989797208011, "price_pnl_quote_units": 19959.3393493272, "turnover_quote_units": 148854.54041942037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 31351.850701704352, "return_pct": 213.5185070170435, "cagr_pct": 213.92792657948112, "max_drawdown_pct": 26.150330887227014, "mean_exposure_while_solvent": 1.2842393519948345, "realized_annual_volatility_pct": 55.19721947065639, "trading_costs_quote_units": 403.02484615874266, "borrowing_costs_quote_units": 596.2660365266945, "price_pnl_quote_units": 22351.141584389778, "turnover_quote_units": 134341.6153862474, "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": 0, "trace": "binance-2023-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 29471.658626810935, "return_pct": 194.71658626810938, "cagr_pct": 195.0806101777934, "max_drawdown_pct": 28.97340153869927, "mean_exposure_while_solvent": 1.2375736244486713, "realized_annual_volatility_pct": 52.2352681825082, "trading_costs_quote_units": 390.86886997261723, "borrowing_costs_quote_units": 401.07857631673903, "price_pnl_quote_units": 20263.606073100284, "turnover_quote_units": 130289.62332420563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25503.221930834432, "return_pct": 155.0322193083443, "cagr_pct": 155.30505380122543, "max_drawdown_pct": 31.683437718977313, "mean_exposure_while_solvent": 1.25161603571886, "realized_annual_volatility_pct": 53.726595886366646, "trading_costs_quote_units": 403.5423976339545, "borrowing_costs_quote_units": 454.3657538336414, "price_pnl_quote_units": 16361.130082302006, "turnover_quote_units": 134514.1325446515, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28103.457594214487, "return_pct": 181.03457594214487, "cagr_pct": 181.36642445548077, "max_drawdown_pct": 25.586068727848843, "mean_exposure_while_solvent": 1.269261112611711, "realized_annual_volatility_pct": 54.23151312328531, "trading_costs_quote_units": 553.3853604974355, "borrowing_costs_quote_units": 1092.3833874844065, "price_pnl_quote_units": 19749.22634219631, "turnover_quote_units": 184461.78683247857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28306.520497096026, "return_pct": 183.06520497096022, "cagr_pct": 183.40178151681928, "max_drawdown_pct": 26.321021215017172, "mean_exposure_while_solvent": 1.2897914248040325, "realized_annual_volatility_pct": 55.03973052747043, "trading_costs_quote_units": 501.0101817173307, "borrowing_costs_quote_units": 1151.7351602912822, "price_pnl_quote_units": 19959.265839104657, "turnover_quote_units": 167003.3939057769, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30536.204333966205, "return_pct": 205.36204333966202, "cagr_pct": 205.7516065726555, "max_drawdown_pct": 28.199851346002003, "mean_exposure_while_solvent": 1.31713877537837, "realized_annual_volatility_pct": 56.009124072614405, "trading_costs_quote_units": 456.66788858346075, "borrowing_costs_quote_units": 1279.4613970246362, "price_pnl_quote_units": 22272.33361957432, "turnover_quote_units": 152222.6295278202, "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": 0, "trace": "binance-2023-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30008.833116072772, "return_pct": 200.08833116072773, "cagr_pct": 200.46518828104993, "max_drawdown_pct": 24.87080786729682, "mean_exposure_while_solvent": 1.2499987272904616, "realized_annual_volatility_pct": 53.82393121350898, "trading_costs_quote_units": 456.644005969079, "borrowing_costs_quote_units": 1067.1398239102382, "price_pnl_quote_units": 21532.616945952133, "turnover_quote_units": 152214.6686563596, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29143.72951249966, "return_pct": 191.4372951249966, "cagr_pct": 191.79353971024238, "max_drawdown_pct": 26.308840658150125, "mean_exposure_while_solvent": 1.2609882901557339, "realized_annual_volatility_pct": 54.35743969837679, "trading_costs_quote_units": 449.882244083966, "borrowing_costs_quote_units": 1076.670550784951, "price_pnl_quote_units": 20670.282307368594, "turnover_quote_units": 149960.74802798862, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 31439.35968883319, "return_pct": 214.39359688833187, "cagr_pct": 214.8051613381753, "max_drawdown_pct": 26.308840658150125, "mean_exposure_while_solvent": 1.2883356407300715, "realized_annual_volatility_pct": 55.33860378875903, "trading_costs_quote_units": 405.39646358016097, "borrowing_costs_quote_units": 1211.6382018277907, "price_pnl_quote_units": 23056.39435424114, "turnover_quote_units": 135132.15452672046, "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": 0, "trace": "binance-2023-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 29088.126158999894, "return_pct": 190.88126158999893, "cagr_pct": 191.23619129572646, "max_drawdown_pct": 24.87080786729683, "mean_exposure_while_solvent": 1.2459511240183299, "realized_annual_volatility_pct": 53.681716147967315, "trading_costs_quote_units": 448.4264618404862, "borrowing_costs_quote_units": 1032.5023366841033, "price_pnl_quote_units": 20569.054957524502, "turnover_quote_units": 149475.4872801619, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28249.56497056556, "return_pct": 182.4956497056556, "cagr_pct": 182.83089843479493, "max_drawdown_pct": 26.30884065815008, "mean_exposure_while_solvent": 1.2569406868836022, "realized_annual_volatility_pct": 54.21654716193445, "trading_costs_quote_units": 441.8704978315249, "borrowing_costs_quote_units": 1042.6395955600674, "price_pnl_quote_units": 19734.075063957196, "turnover_quote_units": 147290.16594384162, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 30474.762462427803, "return_pct": 204.74762462427805, "cagr_pct": 205.13570211870413, "max_drawdown_pct": 26.55421558646359, "mean_exposure_while_solvent": 1.2842880374579397, "realized_annual_volatility_pct": 55.200411470502765, "trading_costs_quote_units": 398.74969846236934, "borrowing_costs_quote_units": 1173.6856161427431, "price_pnl_quote_units": 22047.19777703295, "turnover_quote_units": 132916.56615412293, "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": 0, "trace": "binance-2023-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 28780.063026289994, "return_pct": 187.80063026289992, "cagr_pct": 188.14829715943787, "max_drawdown_pct": 29.516530517241357, "mean_exposure_while_solvent": 1.2376142927564748, "realized_annual_volatility_pct": 52.237954738023326, "trading_costs_quote_units": 387.41341069342684, "borrowing_costs_quote_units": 792.6375318850924, "price_pnl_quote_units": 19960.1139688685, "turnover_quote_units": 129137.80356447563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24869.164749259853, "return_pct": 148.69164749259852, "cagr_pct": 148.95054063988505, "max_drawdown_pct": 31.835287295753766, "mean_exposure_while_solvent": 1.251659182405367, "realized_annual_volatility_pct": 53.73130995714238, "trading_costs_quote_units": 399.4462945681096, "borrowing_costs_quote_units": 896.1912354808654, "price_pnl_quote_units": 16164.802279308828, "turnover_quote_units": 133148.7648560365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28418.085751269056, "return_pct": 184.18085751269055, "cagr_pct": 184.52003880307757, "max_drawdown_pct": 25.723572587831157, "mean_exposure_while_solvent": 1.267940189673843, "realized_annual_volatility_pct": 54.2131788613181, "trading_costs_quote_units": 540.3475390604054, "borrowing_costs_quote_units": 274.2256439173092, "price_pnl_quote_units": 19232.65893424683, "turnover_quote_units": 180115.84635346843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28848.217527865294, "return_pct": 188.48217527865293, "cagr_pct": 188.8314457286291, "max_drawdown_pct": 26.44777844329942, "mean_exposure_while_solvent": 1.2884807804549552, "realized_annual_volatility_pct": 55.00920892846872, "trading_costs_quote_units": 491.2337811095761, "borrowing_costs_quote_units": 290.5865284691091, "price_pnl_quote_units": 19630.037837443964, "turnover_quote_units": 163744.59370319196, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31658.221301099788, "return_pct": 216.58221301099786, "cagr_pct": 216.9991540561678, "max_drawdown_pct": 27.7042121902921, "mean_exposure_while_solvent": 1.3157564688211478, "realized_annual_volatility_pct": 55.98610568499301, "trading_costs_quote_units": 448.83738085462494, "borrowing_costs_quote_units": 325.78264769161916, "price_pnl_quote_units": 22432.841329646006, "turnover_quote_units": 149612.460284875, "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": 0, "trace": "binance-2023-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30545.802938559675, "return_pct": 205.45802938559677, "cagr_pct": 205.8478248523239, "max_drawdown_pct": 24.83876295143893, "mean_exposure_while_solvent": 1.248604206234534, "realized_annual_volatility_pct": 53.831729833552586, "trading_costs_quote_units": 442.97797438943485, "borrowing_costs_quote_units": 268.67798475306506, "price_pnl_quote_units": 21257.458897702167, "turnover_quote_units": 147659.32479647806, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29774.635861016177, "return_pct": 197.74635861016176, "cagr_pct": 198.11760705749762, "max_drawdown_pct": 26.014937573667773, "mean_exposure_while_solvent": 1.259610560285556, "realized_annual_volatility_pct": 54.34902405329234, "trading_costs_quote_units": 438.33585003479703, "borrowing_costs_quote_units": 271.8840807434685, "price_pnl_quote_units": 20484.85579179446, "turnover_quote_units": 146111.95001159902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 32674.878797527686, "return_pct": 226.74878797527685, "cagr_pct": 227.19092967206177, "max_drawdown_pct": 26.014937573667773, "mean_exposure_while_solvent": 1.286886248651749, "realized_annual_volatility_pct": 55.33733361833234, "trading_costs_quote_units": 395.5488037748707, "borrowing_costs_quote_units": 308.8770667313091, "price_pnl_quote_units": 23379.304668033816, "turnover_quote_units": 131849.60125829006, "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": 0, "trace": "binance-2023-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29883.282003694243, "return_pct": 198.83282003694242, "cagr_pct": 199.20666778410236, "max_drawdown_pct": 24.83876295143894, "mean_exposure_while_solvent": 1.2445726957857277, "realized_annual_volatility_pct": 53.682385360606276, "trading_costs_quote_units": 437.07262731947503, "borrowing_costs_quote_units": 261.57257187613305, "price_pnl_quote_units": 20581.927202889856, "turnover_quote_units": 145690.87577315836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 29128.84109747396, "return_pct": 191.2884109747396, "cagr_pct": 191.6443033672499, "max_drawdown_pct": 26.014937573667762, "mean_exposure_while_solvent": 1.2555790498367498, "realized_annual_volatility_pct": 54.201057604995704, "trading_costs_quote_units": 432.54778476602195, "borrowing_costs_quote_units": 264.8673165609169, "price_pnl_quote_units": 19826.25619880085, "turnover_quote_units": 144182.59492200735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 31966.179429202304, "return_pct": 219.66179429202305, "cagr_pct": 220.08633000293426, "max_drawdown_pct": 26.014937573667762, "mean_exposure_while_solvent": 1.2828547382029427, "realized_annual_volatility_pct": 55.19218580576902, "trading_costs_quote_units": 390.68877172737916, "borrowing_costs_quote_units": 301.09693711347074, "price_pnl_quote_units": 22657.96513804314, "turnover_quote_units": 130229.59057579312, "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": 0, "trace": "binance-2023-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 30240.028396072295, "return_pct": 202.40028396072293, "cagr_pct": 202.78269838575582, "max_drawdown_pct": 28.46263976906389, "mean_exposure_while_solvent": 1.2363901024970632, "realized_annual_volatility_pct": 52.29042281573096, "trading_costs_quote_units": 397.1140909595265, "borrowing_costs_quote_units": 202.5744983745413, "price_pnl_quote_units": 20839.71698540636, "turnover_quote_units": 132371.3636531756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26345.697984749917, "return_pct": 163.45697984749918, "cagr_pct": 163.7486167267714, "max_drawdown_pct": 30.733805987234064, "mean_exposure_while_solvent": 1.2502007981344285, "realized_annual_volatility_pct": 53.74094386874033, "trading_costs_quote_units": 398.36864729565553, "borrowing_costs_quote_units": 231.573498287855, "price_pnl_quote_units": 16975.64013033345, "turnover_quote_units": 132789.54909855177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28039.165119183715, "return_pct": 180.39165119183713, "cagr_pct": 180.72200624083789, "max_drawdown_pct": 25.796131447402328, "mean_exposure_while_solvent": 1.2679631914191514, "realized_annual_volatility_pct": 54.2146402054555, "trading_costs_quote_units": 537.2619037004454, "borrowing_costs_quote_units": 544.4226267712862, "price_pnl_quote_units": 19120.84964965542, "turnover_quote_units": 179087.3012334817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28434.424615397114, "return_pct": 184.34424615397114, "cagr_pct": 184.68380933367231, "max_drawdown_pct": 26.524830999786765, "mean_exposure_while_solvent": 1.2885055392859304, "realized_annual_volatility_pct": 55.010771736928476, "trading_costs_quote_units": 488.2808164796771, "borrowing_costs_quote_units": 576.5569630124724, "price_pnl_quote_units": 19499.262394889207, "turnover_quote_units": 162760.27215989228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31162.01072322662, "return_pct": 211.62010723226618, "cagr_pct": 212.02488334934105, "max_drawdown_pct": 27.95296623882454, "mean_exposure_while_solvent": 1.3157835486986116, "realized_annual_volatility_pct": 55.987448646091146, "trading_costs_quote_units": 446.1326352631825, "borrowing_costs_quote_units": 645.8244065676057, "price_pnl_quote_units": 22253.967765057467, "turnover_quote_units": 148710.8784210608, "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": 0, "trace": "binance-2023-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 30167.87822700355, "return_pct": 201.67878227003553, "cagr_pct": 202.0594602221478, "max_drawdown_pct": 24.884810355624897, "mean_exposure_while_solvent": 1.2486255423916006, "realized_annual_volatility_pct": 53.83272863375985, "trading_costs_quote_units": 440.6557116226722, "borrowing_costs_quote_units": 533.6237766503014, "price_pnl_quote_units": 21142.15771527655, "turnover_quote_units": 146885.23720755742, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29389.977796455365, "return_pct": 193.89977796455366, "cagr_pct": 194.2618602696009, "max_drawdown_pct": 26.095954306890324, "mean_exposure_while_solvent": 1.25963284296295, "realized_annual_volatility_pct": 54.35026440631309, "trading_costs_quote_units": 435.89700329152674, "borrowing_costs_quote_units": 539.8302587381588, "price_pnl_quote_units": 20365.7050584851, "turnover_quote_units": 145299.00109717567, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 32209.225811188342, "return_pct": 222.0922581118834, "cagr_pct": 222.52281167548142, "max_drawdown_pct": 26.095954306890324, "mean_exposure_while_solvent": 1.2869108523756312, "realized_annual_volatility_pct": 55.338349570949454, "trading_costs_quote_units": 393.3052289024451, "borrowing_costs_quote_units": 612.7483404929279, "price_pnl_quote_units": 23215.279380583765, "turnover_quote_units": 131101.74296748184, "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": 0, "trace": "binance-2023-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29519.45657912622, "return_pct": 195.1945657912622, "cagr_pct": 195.5597270907393, "max_drawdown_pct": 24.884810355624854, "mean_exposure_while_solvent": 1.2445936911829756, "realized_annual_volatility_pct": 53.683478338743704, "trading_costs_quote_units": 434.86911708052213, "borrowing_costs_quote_units": 519.5920874745425, "price_pnl_quote_units": 20473.917783681252, "turnover_quote_units": 144956.37236017402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28758.27616697853, "return_pct": 187.5827616697853, "cagr_pct": 187.92991635002375, "max_drawdown_pct": 26.095954306890278, "mean_exposure_while_solvent": 1.255600991754325, "realized_annual_volatility_pct": 54.202391284573935, "trading_costs_quote_units": 430.22845365185145, "borrowing_costs_quote_units": 525.9801296705584, "price_pnl_quote_units": 19714.48475030094, "turnover_quote_units": 143409.48455061705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 31516.92789350952, "return_pct": 215.16927893509518, "cagr_pct": 215.58274695067402, "max_drawdown_pct": 26.095954306890278, "mean_exposure_while_solvent": 1.2828790011670061, "realized_annual_volatility_pct": 55.19328878249298, "trading_costs_quote_units": 388.5521497504024, "borrowing_costs_quote_units": 597.4084947664454, "price_pnl_quote_units": 22502.88853802628, "turnover_quote_units": 129517.38325013415, "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": 0, "trace": "binance-2023-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 29883.289369928123, "return_pct": 198.83289369928124, "cagr_pct": 199.20674162282776, "max_drawdown_pct": 28.734668702892552, "mean_exposure_while_solvent": 1.2364104028640026, "realized_annual_volatility_pct": 52.29118258713148, "trading_costs_quote_units": 395.3385422307628, "borrowing_costs_quote_units": 402.7256437811865, "price_pnl_quote_units": 20681.353555940088, "turnover_quote_units": 131779.51407692095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26017.010774920018, "return_pct": 160.17010774920018, "cagr_pct": 160.45437174642586, "max_drawdown_pct": 30.81062955665389, "mean_exposure_while_solvent": 1.2502222916023573, "realized_annual_volatility_pct": 53.74270637257449, "trading_costs_quote_units": 396.3145022277206, "borrowing_costs_quote_units": 459.9318188958216, "price_pnl_quote_units": 16873.25709604352, "turnover_quote_units": 132104.83407590684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27296.201678927457, "return_pct": 172.96201678927457, "cagr_pct": 173.2752368029508, "max_drawdown_pct": 25.94107654480171, "mean_exposure_while_solvent": 1.2680092048724887, "realized_annual_volatility_pct": 54.21760211415311, "trading_costs_quote_units": 531.1653700500016, "borrowing_costs_quote_units": 1072.9514482568954, "price_pnl_quote_units": 18900.318497234395, "turnover_quote_units": 177055.12335000042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27624.32955369563, "return_pct": 176.2432955369563, "cagr_pct": 176.56405502035688, "max_drawdown_pct": 26.678736471882026, "mean_exposure_while_solvent": 1.2885550676725277, "realized_annual_volatility_pct": 55.013935285285555, "trading_costs_quote_units": 482.45312948900914, "borrowing_costs_quote_units": 1134.9236059898556, "price_pnl_quote_units": 19241.706289174526, "turnover_quote_units": 160817.7098296697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 219, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30192.52663985596, "return_pct": 201.92526639855961, "cagr_pct": 202.3065373539924, "max_drawdown_pct": 28.448045022744317, "mean_exposure_while_solvent": 1.3158377201777318, "realized_annual_volatility_pct": 55.99016988402532, "trading_costs_quote_units": 440.8004567851399, "borrowing_costs_quote_units": 1269.0628798494968, "price_pnl_quote_units": 21902.389976490635, "turnover_quote_units": 146933.48559504663, "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": 0, "trace": "binance-2023-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29425.78555067132, "return_pct": 194.25785550671318, "cagr_pct": 194.62078866508028, "max_drawdown_pct": 24.976846290655295, "mean_exposure_while_solvent": 1.2486682239401894, "realized_annual_volatility_pct": 53.834765735255885, "trading_costs_quote_units": 436.0671344054997, "borrowing_costs_quote_units": 1052.5095386037897, "price_pnl_quote_units": 20914.36222368071, "turnover_quote_units": 145355.71146849982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 189, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28635.289738771062, "return_pct": 186.3528973877106, "cagr_pct": 186.69716416411, "max_drawdown_pct": 26.25776658592328, "mean_exposure_while_solvent": 1.259677417965488, "realized_annual_volatility_pct": 54.35278431359711, "trading_costs_quote_units": 431.080743454633, "borrowing_costs_quote_units": 1064.1194641562167, "price_pnl_quote_units": 20130.489946381924, "turnover_quote_units": 143693.5811515442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 197, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 31297.47444539067, "return_pct": 212.97474445390668, "cagr_pct": 213.38283263630083, "max_drawdown_pct": 26.25776658592328, "mean_exposure_while_solvent": 1.286960070470692, "realized_annual_volatility_pct": 55.340418957455725, "trading_costs_quote_units": 388.88045041013726, "borrowing_costs_quote_units": 1205.7727578612396, "price_pnl_quote_units": 22892.127653662086, "turnover_quote_units": 129626.81680337909, "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": 0, "trace": "binance-2023-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28804.835109996602, "return_pct": 188.04835109996603, "cagr_pct": 188.39660062579404, "max_drawdown_pct": 24.976846290655295, "mean_exposure_while_solvent": 1.2446356910661853, "realized_annual_volatility_pct": 53.68570388654654, "trading_costs_quote_units": 430.5143752782482, "borrowing_costs_quote_units": 1025.150261273266, "price_pnl_quote_units": 20260.49974654813, "turnover_quote_units": 143504.791759416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 186, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 28031.020542575076, "return_pct": 180.31020542575072, "cagr_pct": 180.64037140290316, "max_drawdown_pct": 26.257766585923235, "mean_exposure_while_solvent": 1.2556448850914839, "realized_annual_volatility_pct": 54.20509798610894, "trading_costs_quote_units": 425.64732218310616, "borrowing_costs_quote_units": 1037.139501637564, "price_pnl_quote_units": 19493.807366395795, "turnover_quote_units": 141882.4407277021, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 30637.027147716773, "return_pct": 206.37027147716776, "cagr_pct": 206.76227579287323, "max_drawdown_pct": 26.257766585923235, "mean_exposure_while_solvent": 1.282927537596688, "realized_annual_volatility_pct": 55.1955324845647, "trading_costs_quote_units": 384.33757092919785, "borrowing_costs_quote_units": 1175.957084444703, "price_pnl_quote_units": 22197.321803090694, "turnover_quote_units": 128112.52364306591, "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": 0, "trace": "binance-2023-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 29182.18511856539, "return_pct": 191.82185118565388, "cagr_pct": 192.17900585984523, "max_drawdown_pct": 29.275801794352617, "mean_exposure_while_solvent": 1.2364510123847894, "realized_annual_volatility_pct": 52.29274346768595, "trading_costs_quote_units": 391.8397758090358, "borrowing_costs_quote_units": 795.8683004868864, "price_pnl_quote_units": 20369.893194861314, "turnover_quote_units": 130613.25860301193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 180, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2023", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25371.683898165502, "return_pct": 153.716838981655, "cagr_pct": 153.9867662959406, "max_drawdown_pct": 30.964143131237766, "mean_exposure_while_solvent": 1.250265287851984, "realized_annual_volatility_pct": 53.74627223238403, "trading_costs_quote_units": 392.26547522747546, "borrowing_costs_quote_units": 907.1686509975896, "price_pnl_quote_units": 16671.11802439058, "turnover_quote_units": 130755.15840915855, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 190, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2023-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2023-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27000.36838879797, "return_pct": 170.00368388797972, "cagr_pct": 169.57639199514122, "max_drawdown_pct": 39.09722535748724, "mean_exposure_while_solvent": 1.2599292394733883, "realized_annual_volatility_pct": 66.45832634103346, "trading_costs_quote_units": 116.39458239168756, "borrowing_costs_quote_units": 244.50704536861176, "price_pnl_quote_units": 17361.270016558265, "turnover_quote_units": 193990.9706528127, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26519.55815136234, "return_pct": 165.1955815136234, "cagr_pct": 164.78348473116617, "max_drawdown_pct": 39.09722535748724, "mean_exposure_while_solvent": 1.2695184411239753, "realized_annual_volatility_pct": 67.34586744902927, "trading_costs_quote_units": 114.43364587894615, "borrowing_costs_quote_units": 245.7924168035587, "price_pnl_quote_units": 16879.784214044852, "turnover_quote_units": 190722.7431315768, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25175.579418238685, "return_pct": 151.75579418238686, "cagr_pct": 151.38542812589395, "max_drawdown_pct": 42.183703399111685, "mean_exposure_while_solvent": 1.279175488590057, "realized_annual_volatility_pct": 68.29645186449055, "trading_costs_quote_units": 111.18803161317585, "borrowing_costs_quote_units": 244.17140225406936, "price_pnl_quote_units": 15530.938852105905, "turnover_quote_units": 185313.38602196006, "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": 0, "trace": "reference-2024-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26654.037085908134, "return_pct": 166.54037085908135, "cagr_pct": 166.12403797147195, "max_drawdown_pct": 39.09722535748724, "mean_exposure_while_solvent": 1.2531136362684325, "realized_annual_volatility_pct": 66.13518151296614, "trading_costs_quote_units": 115.39841239854607, "borrowing_costs_quote_units": 238.01280388630178, "price_pnl_quote_units": 17007.448302192934, "turnover_quote_units": 192330.68733091024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26179.394158250463, "return_pct": 161.79394158250463, "cagr_pct": 161.3925115003596, "max_drawdown_pct": 39.09722535748724, "mean_exposure_while_solvent": 1.2627028379190195, "realized_annual_volatility_pct": 67.02698594593754, "trading_costs_quote_units": 113.4572892675568, "borrowing_costs_quote_units": 239.40328362069894, "price_pnl_quote_units": 16532.254731138713, "turnover_quote_units": 189095.48211259473, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24852.654519756743, "return_pct": 148.52654519756743, "cagr_pct": 148.1660382978034, "max_drawdown_pct": 42.183703399111685, "mean_exposure_while_solvent": 1.272359885385101, "realized_annual_volatility_pct": 67.98198444500366, "trading_costs_quote_units": 110.2611555592741, "borrowing_costs_quote_units": 238.10606251723283, "price_pnl_quote_units": 15201.021737833242, "turnover_quote_units": 183768.59259879048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28629.59825420338, "return_pct": 186.29598254203384, "cagr_pct": 185.81620390432215, "max_drawdown_pct": 36.76012499197441, "mean_exposure_while_solvent": 1.2147221766298062, "realized_annual_volatility_pct": 64.28473490599859, "trading_costs_quote_units": 95.1550171053051, "borrowing_costs_quote_units": 215.47372056219083, "price_pnl_quote_units": 18940.226991870877, "turnover_quote_units": 158591.6951755085, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28119.775434896914, "return_pct": 181.1977543489691, "cagr_pct": 180.73456248269682, "max_drawdown_pct": 36.76012499197443, "mean_exposure_while_solvent": 1.2243113782803934, "realized_annual_volatility_pct": 65.201943573205, "trading_costs_quote_units": 93.61690357280675, "borrowing_costs_quote_units": 217.45060038404029, "price_pnl_quote_units": 18430.84293885372, "turnover_quote_units": 156028.1726213446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27051.21699950002, "return_pct": 170.5121699950002, "cagr_pct": 170.08326312672253, "max_drawdown_pct": 39.163255914898045, "mean_exposure_while_solvent": 1.2284568307703458, "realized_annual_volatility_pct": 65.67461662241789, "trading_costs_quote_units": 91.51114849320048, "borrowing_costs_quote_units": 214.93354671575597, "price_pnl_quote_units": 17357.661694709022, "turnover_quote_units": 152518.58082200092, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23711.004694811716, "return_pct": 137.11004694811714, "cagr_pct": 136.7838547481548, "max_drawdown_pct": 39.1552789145405, "mean_exposure_while_solvent": 1.2356963324219818, "realized_annual_volatility_pct": 66.63343529792655, "trading_costs_quote_units": 97.58303990144583, "borrowing_costs_quote_units": 178.87967646703788, "price_pnl_quote_units": 13987.467411180205, "turnover_quote_units": 162638.39983574307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23843.14888481755, "return_pct": 138.43148884817552, "cagr_pct": 138.10136871383878, "max_drawdown_pct": 45.3225566365949, "mean_exposure_while_solvent": 1.2723208246682514, "realized_annual_volatility_pct": 69.94424087708435, "trading_costs_quote_units": 105.42561565074968, "borrowing_costs_quote_units": 230.57192901808605, "price_pnl_quote_units": 14179.146429486393, "turnover_quote_units": 175709.35941791628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26650.997371849073, "return_pct": 166.50997371849076, "cagr_pct": 166.09373670163436, "max_drawdown_pct": 39.36706210835899, "mean_exposure_while_solvent": 1.2599514867875237, "realized_annual_volatility_pct": 66.4598469943351, "trading_costs_quote_units": 115.69527006067027, "borrowing_costs_quote_units": 485.4825750059652, "price_pnl_quote_units": 17252.175216915686, "turnover_quote_units": 192825.450101117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26163.766475291883, "return_pct": 161.63766475291882, "cagr_pct": 161.23672303513703, "max_drawdown_pct": 39.367062108359086, "mean_exposure_while_solvent": 1.2695415121826932, "realized_annual_volatility_pct": 67.34757172503052, "trading_costs_quote_units": 113.70774491436957, "borrowing_costs_quote_units": 487.8755175555875, "price_pnl_quote_units": 16765.349737761855, "turnover_quote_units": 189512.90819061582, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24825.64787927451, "return_pct": 148.25647879274513, "cagr_pct": 147.89679341689862, "max_drawdown_pct": 42.468070588945835, "mean_exposure_while_solvent": 1.2791993942855673, "realized_annual_volatility_pct": 68.29849905824574, "trading_costs_quote_units": 110.45437799857805, "borrowing_costs_quote_units": 484.56797365535505, "price_pnl_quote_units": 15420.670230928416, "turnover_quote_units": 184090.62999763025, "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": 0, "trace": "reference-2024-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26318.08744035419, "return_pct": 163.1808744035419, "cagr_pct": 162.77510367519707, "max_drawdown_pct": 39.36706210835899, "mean_exposure_while_solvent": 1.253135301554905, "realized_annual_volatility_pct": 66.1366984988133, "trading_costs_quote_units": 114.71832860892803, "borrowing_costs_quote_units": 472.6799642982801, "price_pnl_quote_units": 16905.485733261397, "turnover_quote_units": 191197.2143482134, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25836.94277021973, "return_pct": 158.36942770219733, "cagr_pct": 157.9786650758301, "max_drawdown_pct": 39.367062108359086, "mean_exposure_while_solvent": 1.2627253269500744, "realized_annual_volatility_pct": 67.02868738232601, "trading_costs_quote_units": 112.7506180289272, "borrowing_costs_quote_units": 475.2865187634488, "price_pnl_quote_units": 16424.9799070121, "turnover_quote_units": 187917.69671487864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24515.539232326286, "return_pct": 145.15539232326287, "cagr_pct": 144.80510664524178, "max_drawdown_pct": 42.468070588945835, "mean_exposure_while_solvent": 1.2723832090529485, "realized_annual_volatility_pct": 67.984031084942, "trading_costs_quote_units": 109.54620237118067, "borrowing_costs_quote_units": 472.6228260994245, "price_pnl_quote_units": 15097.708260796884, "turnover_quote_units": 182577.00395196784, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28323.409819057986, "return_pct": 183.23409819057989, "cagr_pct": 182.76429867793738, "max_drawdown_pct": 36.94007153911839, "mean_exposure_while_solvent": 1.2147405439186303, "realized_annual_volatility_pct": 64.28558839439516, "trading_costs_quote_units": 94.65533924047928, "borrowing_costs_quote_units": 428.3051793976033, "price_pnl_quote_units": 18846.370337696044, "turnover_quote_units": 157758.8987341321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27805.604043643685, "return_pct": 178.05604043643686, "cagr_pct": 177.60299694983215, "max_drawdown_pct": 36.94007153911837, "mean_exposure_while_solvent": 1.2243305693137998, "realized_annual_volatility_pct": 65.20300031736923, "trading_costs_quote_units": 93.0952913162126, "borrowing_costs_quote_units": 432.09263020784357, "price_pnl_quote_units": 18330.791965167744, "turnover_quote_units": 155158.81886035434, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26743.273217179056, "return_pct": 167.43273217179055, "cagr_pct": 167.01358237766456, "max_drawdown_pct": 39.34931630191881, "mean_exposure_while_solvent": 1.2284763791966928, "realized_annual_volatility_pct": 65.67591913536067, "trading_costs_quote_units": 90.99294748870318, "borrowing_costs_quote_units": 427.0611364012746, "price_pnl_quote_units": 17261.327301069014, "turnover_quote_units": 151654.91248117195, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23432.445534757546, "return_pct": 134.32445534757545, "cagr_pct": 134.00650477618524, "max_drawdown_pct": 39.447767297130476, "mean_exposure_while_solvent": 1.235716527858808, "realized_annual_volatility_pct": 66.63543516706132, "trading_costs_quote_units": 96.99824072249447, "borrowing_costs_quote_units": 355.5687169387863, "price_pnl_quote_units": 13885.01249241884, "turnover_quote_units": 161663.73453749093, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23519.5094981519, "return_pct": 135.195094981519, "cagr_pct": 134.8745741068984, "max_drawdown_pct": 45.533110301804506, "mean_exposure_while_solvent": 1.2723441459708391, "realized_annual_volatility_pct": 69.9467095317706, "trading_costs_quote_units": 104.74013487017223, "borrowing_costs_quote_units": 457.6072605638164, "price_pnl_quote_units": 14081.856893585922, "turnover_quote_units": 174566.89145028708, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25965.567896855093, "return_pct": 159.65567896855092, "cagr_pct": 159.26091804321914, "max_drawdown_pct": 39.90331539291382, "mean_exposure_while_solvent": 1.2599959910552283, "realized_annual_volatility_pct": 66.46292138778931, "trading_costs_quote_units": 114.31774093926937, "borrowing_costs_quote_units": 957.0291999722797, "price_pnl_quote_units": 17036.91483776659, "turnover_quote_units": 190529.56823211577, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25466.245117154478, "return_pct": 154.66245117154477, "cagr_pct": 154.28315452489505, "max_drawdown_pct": 39.90331539291391, "mean_exposure_while_solvent": 1.269587664298562, "realized_annual_volatility_pct": 67.3510128911737, "trading_costs_quote_units": 112.27823503724954, "borrowing_costs_quote_units": 961.1212893637679, "price_pnl_quote_units": 16539.64464155552, "turnover_quote_units": 187130.3917287491, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24140.11844703845, "return_pct": 141.4011844703845, "cagr_pct": 141.06219464476402, "max_drawdown_pct": 43.032784063162524, "mean_exposure_while_solvent": 1.2792472160413482, "realized_annual_volatility_pct": 68.30262557501598, "trading_costs_quote_units": 109.01015448496473, "borrowing_costs_quote_units": 954.2547631758393, "price_pnl_quote_units": 15203.38336469925, "turnover_quote_units": 181683.59080827463, "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": 0, "trace": "reference-2024-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25658.6538156101, "return_pct": 156.586538156101, "cagr_pct": 156.20130078014412, "max_drawdown_pct": 39.90331539291382, "mean_exposure_while_solvent": 1.253178641515633, "realized_annual_volatility_pct": 66.13976577834497, "trading_costs_quote_units": 113.37833192580418, "borrowing_costs_quote_units": 932.1523810345043, "price_pnl_quote_units": 16704.184528570408, "turnover_quote_units": 188963.886543007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25165.233051716896, "return_pct": 151.65233051716896, "cagr_pct": 151.28228136913484, "max_drawdown_pct": 39.90331539291391, "mean_exposure_while_solvent": 1.2627703147589668, "realized_annual_volatility_pct": 67.03212314975, "trading_costs_quote_units": 111.35861856464884, "borrowing_costs_quote_units": 936.6844360924767, "price_pnl_quote_units": 16213.27610637403, "turnover_quote_units": 185597.697607748, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23854.781253423032, "return_pct": 138.54781253423033, "cagr_pct": 138.21734607376942, "max_drawdown_pct": 43.032784063162524, "mean_exposure_while_solvent": 1.2724298665017528, "realized_annual_volatility_pct": 67.98815683327412, "trading_costs_quote_units": 108.13842602745945, "borrowing_costs_quote_units": 931.0904321278957, "price_pnl_quote_units": 14894.010111578396, "turnover_quote_units": 180230.71004576568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27720.658900118757, "return_pct": 177.20658900118758, "cagr_pct": 176.75627975362082, "max_drawdown_pct": 37.29852871953785, "mean_exposure_while_solvent": 1.2147772864456048, "realized_annual_volatility_pct": 64.28732846238648, "trading_costs_quote_units": 93.66665283531206, "borrowing_costs_quote_units": 846.1592985139122, "price_pnl_quote_units": 18660.48485146798, "turnover_quote_units": 156111.08805885343, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27187.585388608317, "return_pct": 171.87585388608318, "cagr_pct": 171.44260840190947, "max_drawdown_pct": 37.298528719537906, "mean_exposure_while_solvent": 1.2243689596889384, "realized_annual_volatility_pct": 65.20514686556291, "trading_costs_quote_units": 92.0636700157653, "borrowing_costs_quote_units": 853.0824700559681, "price_pnl_quote_units": 18132.731528680026, "turnover_quote_units": 153439.45002627544, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26137.698735166894, "return_pct": 161.37698735166893, "cagr_pct": 160.97685991933682, "max_drawdown_pct": 39.719833771367774, "mean_exposure_while_solvent": 1.2285154845144217, "realized_annual_volatility_pct": 65.67855729033944, "trading_costs_quote_units": 89.96831451749475, "borrowing_costs_quote_units": 843.0320046313321, "price_pnl_quote_units": 17070.69905431574, "turnover_quote_units": 149947.19086249117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22884.95248499686, "return_pct": 128.8495248499686, "cagr_pct": 128.54761873527187, "max_drawdown_pct": 40.02869136978317, "mean_exposure_while_solvent": 1.2357569274861948, "realized_annual_volatility_pct": 66.63946829147616, "trading_costs_quote_units": 95.84665796156078, "borrowing_costs_quote_units": 702.4776745562172, "price_pnl_quote_units": 13683.276817514625, "turnover_quote_units": 159744.42993593466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22885.174444414544, "return_pct": 128.85174444414545, "cagr_pct": 128.54983186671993, "max_drawdown_pct": 45.95190309900264, "mean_exposure_while_solvent": 1.272390798688301, "realized_annual_volatility_pct": 69.95167889591404, "trading_costs_quote_units": 103.38951273960194, "borrowing_costs_quote_units": 901.2689849276713, "price_pnl_quote_units": 13889.832942081772, "turnover_quote_units": 172315.85456600323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26661.37675390177, "return_pct": 166.61376753901772, "cagr_pct": 166.19720313998073, "max_drawdown_pct": 38.14058790709345, "mean_exposure_while_solvent": 1.259261170137128, "realized_annual_volatility_pct": 66.80669431364701, "trading_costs_quote_units": 113.85985414603302, "borrowing_costs_quote_units": 246.57365512909098, "price_pnl_quote_units": 17021.810263176885, "turnover_quote_units": 189766.42357672178, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27022.320193465763, "return_pct": 170.22320193465762, "cagr_pct": 169.79521302887485, "max_drawdown_pct": 38.140587907093504, "mean_exposure_while_solvent": 1.2687829491227829, "realized_annual_volatility_pct": 67.38842575692803, "trading_costs_quote_units": 112.46127067734545, "borrowing_costs_quote_units": 248.90007602834123, "price_pnl_quote_units": 17383.68154017145, "turnover_quote_units": 187435.45112890925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25864.40445741011, "return_pct": 158.6440445741011, "cagr_pct": 158.25242915686437, "max_drawdown_pct": 40.79128504089653, "mean_exposure_while_solvent": 1.2784454629515376, "realized_annual_volatility_pct": 68.34484045295696, "trading_costs_quote_units": 109.7052853655191, "borrowing_costs_quote_units": 248.66806696925318, "price_pnl_quote_units": 16222.777809744866, "turnover_quote_units": 182842.1422758651, "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": 0, "trace": "reference-2024-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26068.36182558347, "return_pct": 160.68361825583472, "cagr_pct": 160.28565470779176, "max_drawdown_pct": 38.14058790709345, "mean_exposure_while_solvent": 1.252476519481394, "realized_annual_volatility_pct": 66.48228834871281, "trading_costs_quote_units": 112.73051292803453, "borrowing_costs_quote_units": 238.88319730911516, "price_pnl_quote_units": 16419.975535820595, "turnover_quote_units": 187884.18821339088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26421.276990767023, "return_pct": 164.2127699076702, "cagr_pct": 163.80376214291533, "max_drawdown_pct": 38.140587907093504, "mean_exposure_while_solvent": 1.261998298467049, "realized_annual_volatility_pct": 67.06685424164974, "trading_costs_quote_units": 111.34859090150202, "borrowing_costs_quote_units": 241.28356865100804, "price_pnl_quote_units": 16773.9091503195, "turnover_quote_units": 185580.9848358368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25289.11616315269, "return_pct": 152.8911616315269, "cagr_pct": 152.5173135182209, "max_drawdown_pct": 40.79128504089653, "mean_exposure_while_solvent": 1.2716608122958037, "realized_annual_volatility_pct": 68.02772422056104, "trading_costs_quote_units": 108.64028430165945, "borrowing_costs_quote_units": 241.37792955877885, "price_pnl_quote_units": 15639.134377013123, "turnover_quote_units": 181067.1405027657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27981.478661602774, "return_pct": 179.81478661602773, "cagr_pct": 179.3560689298784, "max_drawdown_pct": 35.86763268192692, "mean_exposure_while_solvent": 1.2140199921058052, "realized_annual_volatility_pct": 64.72045910505334, "trading_costs_quote_units": 92.85802358692958, "borrowing_costs_quote_units": 215.8988662170154, "price_pnl_quote_units": 18290.23555140672, "turnover_quote_units": 154763.3726448826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28360.293726009695, "return_pct": 183.60293726009695, "cagr_pct": 183.1319384231573, "max_drawdown_pct": 35.867632681926864, "mean_exposure_while_solvent": 1.2235417710914602, "realized_annual_volatility_pct": 65.32072743848133, "trading_costs_quote_units": 91.76978109614429, "borrowing_costs_quote_units": 218.76679739054939, "price_pnl_quote_units": 18670.830304496383, "turnover_quote_units": 152949.63516024046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27524.368307633133, "return_pct": 175.2436830763313, "cagr_pct": 174.79967624025386, "max_drawdown_pct": 37.757947235780556, "mean_exposure_while_solvent": 1.2276553202678921, "realized_annual_volatility_pct": 65.76065310782239, "trading_costs_quote_units": 90.20617197144671, "borrowing_costs_quote_units": 217.55220097284052, "price_pnl_quote_units": 17832.126680577392, "turnover_quote_units": 150343.61995241104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23050.476691393, "return_pct": 130.50476691393, "cagr_pct": 130.1980317967705, "max_drawdown_pct": 40.409471794912776, "mean_exposure_while_solvent": 1.2344290352170721, "realized_annual_volatility_pct": 66.62157854312528, "trading_costs_quote_units": 95.6967447699581, "borrowing_costs_quote_units": 174.44435905183892, "price_pnl_quote_units": 13320.6177952148, "turnover_quote_units": 159494.57461659686, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23668.319235624625, "return_pct": 136.68319235624625, "cagr_pct": 136.35826646617843, "max_drawdown_pct": 45.094682618504464, "mean_exposure_while_solvent": 1.2716905732589163, "realized_annual_volatility_pct": 70.03688205969657, "trading_costs_quote_units": 105.86868638547378, "borrowing_costs_quote_units": 231.3512243775862, "price_pnl_quote_units": 14005.539146387688, "turnover_quote_units": 176447.81064245632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26316.397824667245, "return_pct": 163.16397824667246, "cagr_pct": 162.758260467803, "max_drawdown_pct": 38.415888976250955, "mean_exposure_while_solvent": 1.2592834464428067, "realized_annual_volatility_pct": 66.80783677456071, "trading_costs_quote_units": 113.15561431633233, "borrowing_costs_quote_units": 489.5747060936713, "price_pnl_quote_units": 16919.128145077273, "turnover_quote_units": 188592.69052722046, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26659.959568171304, "return_pct": 166.59959568171305, "cagr_pct": 166.18307598674954, "max_drawdown_pct": 38.415888976251, "mean_exposure_while_solvent": 1.2688060390501992, "realized_annual_volatility_pct": 67.38957673168754, "trading_costs_quote_units": 111.72779526661238, "borrowing_costs_quote_units": 494.0327499475385, "price_pnl_quote_units": 17265.72011338552, "turnover_quote_units": 186212.9921110205, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25505.10612040856, "return_pct": 155.05106120408558, "cagr_pct": 154.6705665582944, "max_drawdown_pct": 41.08358330494354, "mean_exposure_while_solvent": 1.2784693856231066, "realized_annual_volatility_pct": 68.34629369068483, "trading_costs_quote_units": 108.96197702637936, "borrowing_costs_quote_units": 493.4746075206514, "price_pnl_quote_units": 16107.542704955573, "turnover_quote_units": 181603.2950439657, "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": 0, "trace": "reference-2024-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25739.742387036775, "return_pct": 157.39742387036776, "cagr_pct": 157.00967595841405, "max_drawdown_pct": 38.415888976250955, "mean_exposure_while_solvent": 1.252498218694507, "realized_annual_volatility_pct": 66.4834845369998, "trading_costs_quote_units": 112.05092125982368, "borrowing_costs_quote_units": 474.40467444850816, "price_pnl_quote_units": 16326.197982745094, "turnover_quote_units": 186751.53543303948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26075.775868167115, "return_pct": 160.75775868167116, "cagr_pct": 160.35956389409498, "max_drawdown_pct": 38.415888976251, "mean_exposure_while_solvent": 1.2620208113018996, "realized_annual_volatility_pct": 67.06805744346951, "trading_costs_quote_units": 110.63982739810251, "borrowing_costs_quote_units": 479.01590479048446, "price_pnl_quote_units": 16665.43160035576, "turnover_quote_units": 184399.71233017082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24946.228031178136, "return_pct": 149.46228031178137, "cagr_pct": 149.09892336310776, "max_drawdown_pct": 41.08358330494354, "mean_exposure_while_solvent": 1.2716841578748068, "realized_annual_volatility_pct": 68.02923054570994, "trading_costs_quote_units": 107.92113764059636, "borrowing_costs_quote_units": 479.10826055208116, "price_pnl_quote_units": 15533.257429370846, "turnover_quote_units": 179868.56273432725, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27682.160941102265, "return_pct": 176.82160941102265, "cagr_pct": 176.37253798533942, "max_drawdown_pct": 36.05141326273288, "mean_exposure_while_solvent": 1.214038385947265, "realized_annual_volatility_pct": 64.72108336053184, "trading_costs_quote_units": 92.35196007986673, "borrowing_costs_quote_units": 429.1467842533325, "price_pnl_quote_units": 18203.659685435454, "turnover_quote_units": 153919.93346644472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28043.55278280681, "return_pct": 180.43552782806813, "cagr_pct": 179.97480325919892, "max_drawdown_pct": 36.051413262732915, "mean_exposure_while_solvent": 1.2235609785546575, "realized_annual_volatility_pct": 65.3213644696901, "trading_costs_quote_units": 91.24009254787279, "borrowing_costs_quote_units": 434.70491274629103, "price_pnl_quote_units": 18569.497788100998, "turnover_quote_units": 152066.8209131213, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27211.20065381413, "return_pct": 172.11200653814126, "cagr_pct": 171.67800861877143, "max_drawdown_pct": 37.94945174341608, "mean_exposure_while_solvent": 1.2276748834952202, "realized_annual_volatility_pct": 65.76149560792808, "trading_costs_quote_units": 89.67627511354328, "borrowing_costs_quote_units": 432.25680793656335, "price_pnl_quote_units": 17733.133736864285, "turnover_quote_units": 149460.45852257215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22780.114989704598, "return_pct": 127.80114989704599, "cagr_pct": 127.5022924738693, "max_drawdown_pct": 40.69656843989878, "mean_exposure_while_solvent": 1.2344491789548795, "realized_annual_volatility_pct": 66.6232689283802, "trading_costs_quote_units": 95.11680611947453, "borrowing_costs_quote_units": 346.76328744417117, "price_pnl_quote_units": 13221.99508326827, "turnover_quote_units": 158528.01019912408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23347.048077284475, "return_pct": 133.47048077284475, "cagr_pct": 133.15504630998424, "max_drawdown_pct": 45.30631510773342, "mean_exposure_while_solvent": 1.271713927320317, "realized_annual_volatility_pct": 70.03886961126474, "trading_costs_quote_units": 105.1653274288589, "borrowing_costs_quote_units": 459.1651692156196, "price_pnl_quote_units": 13911.378573928938, "turnover_quote_units": 175275.54571476488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25639.575672430226, "return_pct": 156.39575672430226, "cagr_pct": 156.01110942414525, "max_drawdown_pct": 38.962987483250345, "mean_exposure_while_solvent": 1.2593280087067535, "realized_annual_volatility_pct": 66.8101539417333, "trading_costs_quote_units": 111.77811397218395, "borrowing_costs_quote_units": 965.0513762957685, "price_pnl_quote_units": 16716.40516269821, "turnover_quote_units": 186296.85662030653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25949.543550582013, "return_pct": 159.49543550582015, "cagr_pct": 159.1011732489886, "max_drawdown_pct": 38.962987483250224, "mean_exposure_while_solvent": 1.2688522289097042, "realized_annual_volatility_pct": 67.39191052914863, "trading_costs_quote_units": 110.29298732943116, "borrowing_costs_quote_units": 973.2066532112198, "price_pnl_quote_units": 17033.043191122633, "turnover_quote_units": 183821.64554905193, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24801.20925416888, "return_pct": 148.0120925416888, "cagr_pct": 147.65315016993176, "max_drawdown_pct": 41.66403286722604, "mean_exposure_while_solvent": 1.2785172413355324, "realized_annual_volatility_pct": 68.34923149980497, "trading_costs_quote_units": 107.50806246272104, "borrowing_costs_quote_units": 971.726368558813, "price_pnl_quote_units": 15880.443685190428, "turnover_quote_units": 179180.10410453513, "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": 0, "trace": "reference-2024-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25094.690033863764, "return_pct": 150.94690033863762, "cagr_pct": 150.57901011444667, "max_drawdown_pct": 38.962987483250345, "mean_exposure_while_solvent": 1.2525416265249665, "realized_annual_volatility_pct": 66.48590939322442, "trading_costs_quote_units": 110.72139178166408, "borrowing_costs_quote_units": 935.5381992264265, "price_pnl_quote_units": 16140.94962487185, "turnover_quote_units": 184535.65296944007, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25398.070554744856, "return_pct": 153.98070554744857, "cagr_pct": 153.60350829408128, "max_drawdown_pct": 38.962987483250224, "mean_exposure_while_solvent": 1.262065846727917, "realized_annual_volatility_pct": 67.07049598913748, "trading_costs_quote_units": 109.253082262488, "borrowing_costs_quote_units": 944.0199546888907, "price_pnl_quote_units": 16451.343591696208, "turnover_quote_units": 182088.4704374801, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24274.140362143113, "return_pct": 142.74140362143112, "cagr_pct": 142.39839185452595, "max_drawdown_pct": 41.66403286722604, "mean_exposure_while_solvent": 1.2717308591537453, "realized_annual_volatility_pct": 68.03227487996719, "trading_costs_quote_units": 106.51417587972762, "borrowing_costs_quote_units": 943.8312567978072, "price_pnl_quote_units": 15324.485794820675, "turnover_quote_units": 177523.6264662128, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27092.92130796922, "return_pct": 170.92921307969218, "cagr_pct": 170.49898052914273, "max_drawdown_pct": 36.41751383805262, "mean_exposure_while_solvent": 1.2140751815929087, "realized_annual_volatility_pct": 64.72236435083121, "trading_costs_quote_units": 91.36455335062963, "borrowing_costs_quote_units": 847.80794476677, "price_pnl_quote_units": 18032.093806086625, "turnover_quote_units": 152274.25558438263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27420.459307741643, "return_pct": 174.20459307741646, "cagr_pct": 173.7639135090823, "max_drawdown_pct": 36.41751383805263, "mean_exposure_while_solvent": 1.2235994017958591, "realized_annual_volatility_pct": 65.32267104237218, "trading_costs_quote_units": 90.20621915156124, "borrowing_costs_quote_units": 858.2272664432205, "price_pnl_quote_units": 18368.892793336407, "turnover_quote_units": 150343.6985859355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26595.332131311385, "return_pct": 165.95332131311386, "cagr_pct": 165.5388389693285, "max_drawdown_pct": 38.33081648147015, "mean_exposure_while_solvent": 1.2277140184213826, "realized_annual_volatility_pct": 65.76321321273835, "trading_costs_quote_units": 88.64187988175362, "borrowing_costs_quote_units": 853.258586893716, "price_pnl_quote_units": 17537.232598086866, "turnover_quote_units": 147736.4664695893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22248.724107588634, "return_pct": 122.48724107588633, "cagr_pct": 122.20371785894591, "max_drawdown_pct": 41.26677482181462, "mean_exposure_while_solvent": 1.2344894751622546, "realized_annual_volatility_pct": 66.62668270516389, "trading_costs_quote_units": 93.97086774372471, "borrowing_costs_quote_units": 685.1243138420498, "price_pnl_quote_units": 13027.819289174404, "turnover_quote_units": 156618.1129062079, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22717.347520786556, "return_pct": 127.17347520786558, "cagr_pct": 126.8764394040288, "max_drawdown_pct": 45.72726241764232, "mean_exposure_while_solvent": 1.2717606455725257, "realized_annual_volatility_pct": 70.04287600453196, "trading_costs_quote_units": 103.7879029869681, "borrowing_costs_quote_units": 904.3814222015874, "price_pnl_quote_units": 13725.516845975133, "turnover_quote_units": 172979.83831161345, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26243.587085333027, "return_pct": 162.43587085333027, "cagr_pct": 162.03243319061204, "max_drawdown_pct": 39.87561067642008, "mean_exposure_while_solvent": 1.2599292394733883, "realized_annual_volatility_pct": 66.46378573105449, "trading_costs_quote_units": 572.757120239761, "borrowing_costs_quote_units": 239.9801602299148, "price_pnl_quote_units": 17056.324365802728, "turnover_quote_units": 190919.04007992038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25773.725110645966, "return_pct": 157.73725110645964, "cagr_pct": 157.34844986699704, "max_drawdown_pct": 39.87561067642007, "mean_exposure_while_solvent": 1.2695184411239753, "realized_annual_volatility_pct": 67.3519181575912, "trading_costs_quote_units": 563.076812174574, "borrowing_costs_quote_units": 241.2629868671783, "price_pnl_quote_units": 16578.06490968773, "turnover_quote_units": 187692.27072485798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24457.548535185473, "return_pct": 144.57548535185475, "cagr_pct": 144.22695053141658, "max_drawdown_pct": 42.94595896724116, "mean_exposure_while_solvent": 1.279175488590057, "realized_annual_volatility_pct": 68.30279517358234, "trading_costs_quote_units": 547.0551600605257, "borrowing_costs_quote_units": 239.699938514737, "price_pnl_quote_units": 15244.303633760705, "turnover_quote_units": 182351.72002017515, "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": 0, "trace": "reference-2024-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25911.864598221626, "return_pct": 159.11864598221626, "cagr_pct": 158.72555565292564, "max_drawdown_pct": 39.87561067642008, "mean_exposure_while_solvent": 1.2531136362684325, "realized_annual_volatility_pct": 66.13901102069796, "trading_costs_quote_units": 567.9240680300369, "borrowing_costs_quote_units": 233.6545946734172, "price_pnl_quote_units": 16713.44326092507, "turnover_quote_units": 189308.02267667928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25447.941742388044, "return_pct": 154.47941742388042, "cagr_pct": 154.10068470349674, "max_drawdown_pct": 39.87561067642007, "mean_exposure_while_solvent": 1.2627028379190195, "realized_annual_volatility_pct": 67.03143108284404, "trading_costs_quote_units": 558.3403890597147, "borrowing_costs_quote_units": 235.0408215780119, "price_pnl_quote_units": 16241.322953025769, "turnover_quote_units": 186113.46301990465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24148.401816699123, "return_pct": 141.48401816699123, "cagr_pct": 141.14478010321352, "max_drawdown_pct": 42.94595896724116, "mean_exposure_while_solvent": 1.272359885385101, "realized_annual_volatility_pct": 67.98674601376278, "trading_costs_quote_units": 542.5606099821975, "borrowing_costs_quote_units": 233.79551806715196, "price_pnl_quote_units": 14924.757944748488, "turnover_quote_units": 180853.5366607325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27994.108292135843, "return_pct": 179.94108292135843, "cagr_pct": 179.48195709108043, "max_drawdown_pct": 37.21480079899826, "mean_exposure_while_solvent": 1.2147221766298062, "realized_annual_volatility_pct": 64.27917010958535, "trading_costs_quote_units": 469.5522288300537, "borrowing_costs_quote_units": 212.23204114047346, "price_pnl_quote_units": 18675.892562106343, "turnover_quote_units": 156517.40961001778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27492.905199777306, "return_pct": 174.92905199777306, "cagr_pct": 174.48605330036932, "max_drawdown_pct": 37.21480079899826, "mean_exposure_while_solvent": 1.2243113782803934, "realized_annual_volatility_pct": 65.19715019092368, "trading_costs_quote_units": 461.9371922755727, "borrowing_costs_quote_units": 214.19226599515224, "price_pnl_quote_units": 18169.034658048095, "turnover_quote_units": 153979.06409185746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26442.437790158485, "return_pct": 164.42437790158488, "cagr_pct": 164.01470553426654, "max_drawdown_pct": 39.613739910300794, "mean_exposure_while_solvent": 1.2284568307703458, "realized_annual_volatility_pct": 65.67593042722243, "trading_costs_quote_units": 451.52796434955195, "borrowing_costs_quote_units": 211.72044919611722, "price_pnl_quote_units": 17105.686203704197, "turnover_quote_units": 150509.3214498507, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23106.70271888726, "return_pct": 131.06702718887263, "cagr_pct": 130.75864742714626, "max_drawdown_pct": 39.73788907071826, "mean_exposure_while_solvent": 1.2356963324219818, "realized_annual_volatility_pct": 66.64660916102356, "trading_costs_quote_units": 481.00313320154663, "borrowing_costs_quote_units": 176.33940905891566, "price_pnl_quote_units": 13764.045261147721, "turnover_quote_units": 160334.37773384879, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23174.179961947124, "return_pct": 131.74179961947124, "cagr_pct": 131.43144323728322, "max_drawdown_pct": 45.8236289283646, "mean_exposure_while_solvent": 1.2723208246682514, "realized_annual_volatility_pct": 69.94121953048388, "trading_costs_quote_units": 518.871658130379, "borrowing_costs_quote_units": 226.41615776330985, "price_pnl_quote_units": 13919.467777840877, "turnover_quote_units": 172957.21937679293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25903.98366253895, "return_pct": 159.0398366253895, "cagr_pct": 158.64699130656058, "max_drawdown_pct": 40.14214293014264, "mean_exposure_while_solvent": 1.2599514867875237, "realized_annual_volatility_pct": 66.46533850876519, "trading_costs_quote_units": 569.3354199573723, "borrowing_costs_quote_units": 476.50748439913957, "price_pnl_quote_units": 16949.826566895434, "turnover_quote_units": 189778.47331912408, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25427.895637231883, "return_pct": 154.27895637231882, "cagr_pct": 153.9008410315467, "max_drawdown_pct": 40.14214293014263, "mean_exposure_while_solvent": 1.2695415121826932, "realized_annual_volatility_pct": 67.3536534435715, "trading_costs_quote_units": 559.5243345232784, "borrowing_costs_quote_units": 478.89890358294514, "price_pnl_quote_units": 16466.31887533812, "turnover_quote_units": 186508.11150775946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24117.54669803622, "return_pct": 141.17546698036222, "cagr_pct": 140.8371533613629, "max_drawdown_pct": 43.2267347749813, "mean_exposure_while_solvent": 1.2791993942855673, "realized_annual_volatility_pct": 68.30487299666582, "trading_costs_quote_units": 543.4653696163467, "borrowing_costs_quote_units": 475.70894435545665, "price_pnl_quote_units": 15136.721012008002, "turnover_quote_units": 181155.12320544894, "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": 0, "trace": "reference-2024-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25585.252683405575, "return_pct": 155.85252683405577, "cagr_pct": 155.4695584755354, "max_drawdown_pct": 40.14214293014264, "mean_exposure_while_solvent": 1.253135301554905, "realized_annual_volatility_pct": 66.14055979896487, "trading_costs_quote_units": 564.5957728812423, "borrowing_costs_quote_units": 464.03742217386736, "price_pnl_quote_units": 16613.88587846063, "turnover_quote_units": 188198.59096041418, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25115.02259888612, "return_pct": 151.15022598886122, "cagr_pct": 150.78171382251426, "max_drawdown_pct": 40.14214293014263, "mean_exposure_while_solvent": 1.2627253269500744, "realized_annual_volatility_pct": 67.03316320628305, "trading_costs_quote_units": 554.8813131879764, "borrowing_costs_quote_units": 466.63892611472437, "price_pnl_quote_units": 16136.542838188827, "turnover_quote_units": 184960.4377293253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23820.796616137548, "return_pct": 138.2079661613755, "cagr_pct": 137.87851125941762, "max_drawdown_pct": 43.2267347749813, "mean_exposure_while_solvent": 1.2723832090529485, "realized_annual_volatility_pct": 67.98882298435026, "trading_costs_quote_units": 539.0616122047356, "borrowing_costs_quote_units": 464.0807473813527, "price_pnl_quote_units": 14823.938975723593, "turnover_quote_units": 179687.20406824516, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27694.721370852432, "return_pct": 176.94721370852432, "cagr_pct": 176.49773852178944, "max_drawdown_pct": 37.393539668458075, "mean_exposure_while_solvent": 1.2147405439186303, "realized_annual_volatility_pct": 64.28005328446189, "trading_costs_quote_units": 467.0982578959398, "borrowing_costs_quote_units": 421.86868752269027, "price_pnl_quote_units": 18583.688316270986, "turnover_quote_units": 155699.4192986466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27185.721466411185, "return_pct": 171.85721466411184, "cagr_pct": 171.42402855479193, "max_drawdown_pct": 37.39353966845819, "mean_exposure_while_solvent": 1.2243305693137998, "realized_annual_volatility_pct": 65.19823574792468, "trading_costs_quote_units": 459.37509023241086, "borrowing_costs_quote_units": 425.62551892254044, "price_pnl_quote_units": 18070.722075566126, "turnover_quote_units": 153125.03007747035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26141.40056062656, "return_pct": 161.41400560626562, "cagr_pct": 161.01376256411956, "max_drawdown_pct": 39.79852404388433, "mean_exposure_while_solvent": 1.228476379196693, "realized_annual_volatility_pct": 65.67726315882145, "trading_costs_quote_units": 448.98285802307663, "borrowing_costs_quote_units": 420.68454677395937, "price_pnl_quote_units": 17011.067965423554, "turnover_quote_units": 149660.95267435894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22835.1898175012, "return_pct": 128.35189817501197, "cagr_pct": 128.0514401209981, "max_drawdown_pct": 40.02771121468774, "mean_exposure_while_solvent": 1.235716527858808, "realized_annual_volatility_pct": 66.64863354951927, "trading_costs_quote_units": 478.13546190974546, "borrowing_costs_quote_units": 350.5269810116466, "price_pnl_quote_units": 13663.852260422605, "turnover_quote_units": 159378.48730324843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22859.545905966956, "return_pct": 128.59545905966954, "cagr_pct": 128.29429247479194, "max_drawdown_pct": 46.03242006628862, "mean_exposure_while_solvent": 1.2723441459708391, "realized_annual_volatility_pct": 69.9437147970953, "trading_costs_quote_units": 515.5155927208605, "borrowing_costs_quote_units": 449.3726408148917, "price_pnl_quote_units": 13824.43413950269, "turnover_quote_units": 171838.53090695344, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25237.69479456069, "return_pct": 152.37694794560693, "cagr_pct": 152.00467787958297, "max_drawdown_pct": 40.67188205988261, "mean_exposure_while_solvent": 1.2599959910552283, "realized_annual_volatility_pct": 66.46847763783767, "trading_costs_quote_units": 562.5948438582689, "borrowing_costs_quote_units": 939.3887173542604, "price_pnl_quote_units": 16739.678355773238, "turnover_quote_units": 187531.61461942282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24749.883805197067, "return_pct": 147.49883805197067, "cagr_pct": 147.14145487393554, "max_drawdown_pct": 40.671882059882705, "mean_exposure_while_solvent": 1.269587664298562, "realized_annual_volatility_pct": 67.35715711187098, "trading_costs_quote_units": 552.5280673744284, "borrowing_costs_quote_units": 943.4916317564147, "price_pnl_quote_units": 16245.90350432793, "turnover_quote_units": 184176.02245814263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23451.450329714797, "return_pct": 134.51450329714797, "cagr_pct": 134.19599210412832, "max_drawdown_pct": 43.78436593969114, "mean_exposure_while_solvent": 1.2792472160413482, "realized_annual_volatility_pct": 68.30906124661107, "trading_costs_quote_units": 536.3983269019101, "borrowing_costs_quote_units": 936.8666229790912, "price_pnl_quote_units": 14924.715279595848, "turnover_quote_units": 178799.44230063658, "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": 0, "trace": "reference-2024-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24944.12558826442, "return_pct": 149.44125588264416, "cagr_pct": 149.0779630312357, "max_drawdown_pct": 40.67188205988261, "mean_exposure_while_solvent": 1.253178641515633, "realized_annual_volatility_pct": 66.14369114961079, "trading_costs_quote_units": 558.0375187953209, "borrowing_costs_quote_units": 915.1581932215231, "price_pnl_quote_units": 16417.321300281284, "turnover_quote_units": 186012.50626510681, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24461.988900224085, "return_pct": 144.61988900224085, "cagr_pct": 144.27122019532626, "max_drawdown_pct": 40.671882059882705, "mean_exposure_while_solvent": 1.2627703147589668, "realized_annual_volatility_pct": 67.03666082957855, "trading_costs_quote_units": 548.067242971823, "borrowing_costs_quote_units": 919.693597151051, "price_pnl_quote_units": 15929.749740346999, "turnover_quote_units": 182689.08099060756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23178.659026236714, "return_pct": 131.78659026236713, "cagr_pct": 131.47610256365695, "max_drawdown_pct": 43.78436593969114, "mean_exposure_while_solvent": 1.2724298665017528, "realized_annual_volatility_pct": 67.99300986810053, "trading_costs_quote_units": 532.1715271831447, "borrowing_costs_quote_units": 914.3170857414565, "price_pnl_quote_units": 14625.147639161321, "turnover_quote_units": 177390.50906104821, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27105.35947884756, "return_pct": 171.0535947884756, "cagr_pct": 170.62296665999784, "max_drawdown_pct": 37.74959042068762, "mean_exposure_while_solvent": 1.2147772864456048, "realized_annual_volatility_pct": 64.28185278421059, "trading_costs_quote_units": 462.24259330747833, "borrowing_costs_quote_units": 833.4715377931485, "price_pnl_quote_units": 18401.073609948184, "turnover_quote_units": 154080.8644358262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26581.44902141219, "return_pct": 165.81449021412192, "cagr_pct": 165.40044520368474, "max_drawdown_pct": 37.749590420687674, "mean_exposure_while_solvent": 1.2243689596889384, "realized_annual_volatility_pct": 65.20043998375328, "trading_costs_quote_units": 454.30775464123644, "borrowing_costs_quote_units": 840.343990718908, "price_pnl_quote_units": 17876.10076677234, "turnover_quote_units": 151435.91821374564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25549.40866464524, "return_pct": 155.49408664645244, "cagr_pct": 155.11222510273245, "max_drawdown_pct": 40.16649910235404, "mean_exposure_while_solvent": 1.2285154845144217, "realized_annual_volatility_pct": 65.67996181314594, "trading_costs_quote_units": 443.95032338165106, "borrowing_costs_quote_units": 830.4747132228599, "price_pnl_quote_units": 16823.833701249772, "turnover_quote_units": 147983.44112721682, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22301.524732214864, "return_pct": 123.01524732214864, "cagr_pct": 122.73020940263382, "max_drawdown_pct": 40.603337860013, "mean_exposure_while_solvent": 1.2357569274861948, "realized_annual_volatility_pct": 66.65271621718814, "trading_costs_quote_units": 472.48818184351745, "borrowing_costs_quote_units": 692.5471438405594, "price_pnl_quote_units": 13466.560057898947, "turnover_quote_units": 157496.06061450575, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22242.84746854714, "return_pct": 122.4284746854714, "cagr_pct": 122.14511992978099, "max_drawdown_pct": 46.447705300838784, "mean_exposure_while_solvent": 1.272390798688301, "realized_annual_volatility_pct": 69.94873796650877, "trading_costs_quote_units": 508.902697135758, "borrowing_costs_quote_units": 885.1024446546959, "price_pnl_quote_units": 13636.852610337617, "turnover_quote_units": 169634.2323785859, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25927.897561657366, "return_pct": 159.27897561657366, "cagr_pct": 158.88538672078627, "max_drawdown_pct": 38.92213609491605, "mean_exposure_while_solvent": 1.259261170137128, "realized_annual_volatility_pct": 66.82702279700672, "trading_costs_quote_units": 560.4428479850297, "borrowing_costs_quote_units": 242.08857747309628, "price_pnl_quote_units": 16730.428987115483, "turnover_quote_units": 186814.28266167664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26279.310450498186, "return_pct": 162.79310450498187, "cagr_pct": 162.38854854228796, "max_drawdown_pct": 38.92213609491611, "mean_exposure_while_solvent": 1.2687829491227829, "realized_annual_volatility_pct": 67.39071967974861, "trading_costs_quote_units": 553.5336225006997, "borrowing_costs_quote_units": 244.39671981471864, "price_pnl_quote_units": 17077.240792813558, "turnover_quote_units": 184511.2075002332, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25145.089367540382, "return_pct": 151.45089367540382, "cagr_pct": 151.08146133295025, "max_drawdown_pct": 41.558270748207946, "mean_exposure_while_solvent": 1.2784454629515376, "realized_annual_volatility_pct": 68.34436485391434, "trading_costs_quote_units": 539.9292429992679, "borrowing_costs_quote_units": 244.20484058678494, "price_pnl_quote_units": 15929.22345112645, "turnover_quote_units": 179976.41433308928, "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": 0, "trace": "reference-2024-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25355.365469785684, "return_pct": 153.5536546978568, "cagr_pct": 153.17777103971574, "max_drawdown_pct": 38.92213609491605, "mean_exposure_while_solvent": 1.252476519481394, "realized_annual_volatility_pct": 66.49985786762153, "trading_costs_quote_units": 554.9569762156011, "borrowing_costs_quote_units": 234.5909933427543, "price_pnl_quote_units": 16144.913439344042, "turnover_quote_units": 184985.65873853362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25699.018564147194, "return_pct": 156.99018564147192, "cagr_pct": 156.60369906444345, "max_drawdown_pct": 38.92213609491611, "mean_exposure_while_solvent": 1.261998298467049, "realized_annual_volatility_pct": 67.06632504716583, "trading_costs_quote_units": 548.1291492339166, "borrowing_costs_quote_units": 236.97219776633042, "price_pnl_quote_units": 16484.119911147416, "turnover_quote_units": 182709.71641130542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24589.843012464225, "return_pct": 145.89843012464226, "cagr_pct": 145.54589787731328, "max_drawdown_pct": 41.558270748207946, "mean_exposure_while_solvent": 1.2716608122958037, "realized_annual_volatility_pct": 68.02445220364677, "trading_costs_quote_units": 534.7580280416414, "borrowing_costs_quote_units": 237.10076261755313, "price_pnl_quote_units": 15361.701803123437, "turnover_quote_units": 178252.6760138804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27369.071809557005, "return_pct": 173.69071809557005, "cagr_pct": 173.2516816937345, "max_drawdown_pct": 36.325988807173836, "mean_exposure_while_solvent": 1.2140199921058052, "realized_annual_volatility_pct": 64.74012298407551, "trading_costs_quote_units": 458.3133141631715, "borrowing_costs_quote_units": 212.7029547692842, "price_pnl_quote_units": 18040.088078489458, "turnover_quote_units": 152771.1047210571, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27740.01760516645, "return_pct": 177.4001760516645, "cagr_pct": 176.94924404399228, "max_drawdown_pct": 36.32598880717383, "mean_exposure_while_solvent": 1.2235417710914602, "realized_annual_volatility_pct": 65.32178058784413, "trading_costs_quote_units": 452.9219090188163, "borrowing_costs_quote_units": 215.54425260734484, "price_pnl_quote_units": 18408.483766792622, "turnover_quote_units": 150973.9696729387, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26917.51761031321, "return_pct": 169.17517610313212, "cagr_pct": 168.75051232765662, "max_drawdown_pct": 38.213942687514205, "mean_exposure_while_solvent": 1.2276553202678921, "realized_annual_volatility_pct": 65.76630434265681, "trading_costs_quote_units": 445.1859368423495, "borrowing_costs_quote_units": 214.35584774220231, "price_pnl_quote_units": 17577.059394897795, "turnover_quote_units": 148395.31228078308, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22461.976263264587, "return_pct": 124.61976263264587, "cagr_pct": 124.33010962890472, "max_drawdown_pct": 40.983981715890295, "mean_exposure_while_solvent": 1.234429035217072, "realized_annual_volatility_pct": 66.62172723880724, "trading_costs_quote_units": 471.71849888296924, "borrowing_costs_quote_units": 171.9666439662677, "price_pnl_quote_units": 13105.661406113819, "turnover_quote_units": 157239.4996276564, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23005.240494466318, "return_pct": 130.05240494466318, "cagr_pct": 129.7469914304148, "max_drawdown_pct": 45.599831897748565, "mean_exposure_while_solvent": 1.2716905732589163, "realized_annual_volatility_pct": 70.03521371671792, "trading_costs_quote_units": 521.0719359456283, "borrowing_costs_quote_units": 227.2300939998706, "price_pnl_quote_units": 13753.542524411769, "turnover_quote_units": 173690.64531520937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25592.48549650018, "return_pct": 155.92485496500183, "cagr_pct": 155.5416631701754, "max_drawdown_pct": 39.1941225678326, "mean_exposure_while_solvent": 1.2592834464428067, "realized_annual_volatility_pct": 66.82819395096718, "trading_costs_quote_units": 556.9966042335079, "borrowing_costs_quote_units": 480.68356956040026, "price_pnl_quote_units": 16630.16567029405, "turnover_quote_units": 185665.53474450274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25926.97119660234, "return_pct": 159.2697119660234, "cagr_pct": 158.87615188109027, "max_drawdown_pct": 39.1941225678326, "mean_exposure_while_solvent": 1.2688060390501992, "realized_annual_volatility_pct": 67.39189716212903, "trading_costs_quote_units": 549.9435609302928, "borrowing_costs_quote_units": 485.1088502196982, "price_pnl_quote_units": 16962.023607752304, "turnover_quote_units": 183314.52031009755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24795.818001984815, "return_pct": 147.95818001984813, "cagr_pct": 147.5994015060472, "max_drawdown_pct": 41.846987878915655, "mean_exposure_while_solvent": 1.2784693856231066, "realized_annual_volatility_pct": 68.34584408717095, "trading_costs_quote_units": 536.2913636932526, "borrowing_costs_quote_units": 484.6327991579229, "price_pnl_quote_units": 15816.742164836023, "turnover_quote_units": 178763.78789775085, "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": 0, "trace": "reference-2024-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25035.791402407456, "return_pct": 150.35791402407455, "cagr_pct": 149.99182394037453, "max_drawdown_pct": 39.1941225678326, "mean_exposure_while_solvent": 1.252498218694507, "realized_annual_volatility_pct": 66.50108313839762, "trading_costs_quote_units": 551.6304985961857, "borrowing_costs_quote_units": 465.8937492816725, "price_pnl_quote_units": 16053.31565028528, "turnover_quote_units": 183876.8328653954, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25363.001286574043, "return_pct": 153.6300128657404, "cagr_pct": 153.25389441611912, "max_drawdown_pct": 39.1941225678326, "mean_exposure_while_solvent": 1.2620208113018996, "realized_annual_volatility_pct": 67.06755515140821, "trading_costs_quote_units": 544.659155680164, "borrowing_costs_quote_units": 470.4702879609219, "price_pnl_quote_units": 16378.13073021511, "turnover_quote_units": 181553.05189338786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24256.453216888374, "return_pct": 142.56453216888377, "cagr_pct": 142.22205186095854, "max_drawdown_pct": 41.846987878915655, "mean_exposure_while_solvent": 1.271684157874807, "realized_annual_volatility_pct": 68.02598493292791, "trading_costs_quote_units": 531.2375087775617, "borrowing_costs_quote_units": 470.6328944707553, "price_pnl_quote_units": 15258.32362013674, "turnover_quote_units": 177079.16959252037, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27076.400653402066, "return_pct": 170.76400653402067, "cagr_pct": 170.3342992585094, "max_drawdown_pct": 36.50853359264978, "mean_exposure_while_solvent": 1.214038385947265, "realized_annual_volatility_pct": 64.74077810043185, "trading_costs_quote_units": 455.8279320068081, "borrowing_costs_quote_units": 422.8019842078787, "price_pnl_quote_units": 17955.03056961679, "turnover_quote_units": 151942.64400226946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27430.280655797113, "return_pct": 174.3028065579711, "cagr_pct": 173.86181276792087, "max_drawdown_pct": 36.50853359264982, "mean_exposure_while_solvent": 1.2235609785546575, "realized_annual_volatility_pct": 65.32244625214116, "trading_costs_quote_units": 450.3200351466848, "borrowing_costs_quote_units": 428.3096370255079, "price_pnl_quote_units": 18308.910327969363, "turnover_quote_units": 150106.6783822282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26611.32076618601, "return_pct": 166.11320766186012, "cagr_pct": 165.69822151563517, "max_drawdown_pct": 38.40413812446957, "mean_exposure_while_solvent": 1.2276748834952202, "realized_annual_volatility_pct": 65.76717671763983, "trading_costs_quote_units": 442.5832088172529, "borrowing_costs_quote_units": 425.91426882761544, "price_pnl_quote_units": 17479.818243830887, "turnover_quote_units": 147527.73627241765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22198.52234001787, "return_pct": 121.98522340017868, "cagr_pct": 121.7031384842842, "max_drawdown_pct": 41.26841450048017, "mean_exposure_while_solvent": 1.2344491789548795, "realized_annual_volatility_pct": 66.62343760570994, "trading_costs_quote_units": 468.87514832975296, "borrowing_costs_quote_units": 341.84612861085117, "price_pnl_quote_units": 13009.243616958482, "turnover_quote_units": 156291.7161099177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22692.927462915603, "return_pct": 126.92927462915603, "cagr_pct": 126.63294679254884, "max_drawdown_pct": 45.80973167496305, "mean_exposure_while_solvent": 1.271713927320317, "realized_annual_volatility_pct": 70.03722659168857, "trading_costs_quote_units": 517.628466159071, "borrowing_costs_quote_units": 450.99938203373546, "price_pnl_quote_units": 13661.555311108406, "turnover_quote_units": 172542.82205302385, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24934.370686734976, "return_pct": 149.34370686734977, "cagr_pct": 148.98071137717176, "max_drawdown_pct": 39.73469657560857, "mean_exposure_while_solvent": 1.2593280087067535, "realized_annual_volatility_pct": 66.83056880784923, "trading_costs_quote_units": 550.25502371983, "borrowing_costs_quote_units": 947.5795165462928, "price_pnl_quote_units": 16432.205227001057, "turnover_quote_units": 183418.34123994314, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25236.140095262926, "return_pct": 152.36140095262925, "cagr_pct": 151.98917857215218, "max_drawdown_pct": 39.73469657560867, "mean_exposure_while_solvent": 1.2688522289097042, "realized_annual_volatility_pct": 67.39428428925359, "trading_costs_quote_units": 542.9200482954893, "borrowing_costs_quote_units": 955.6840315210038, "price_pnl_quote_units": 16734.74417507942, "turnover_quote_units": 180973.34943183002, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24111.50619225982, "return_pct": 141.11506192259822, "cagr_pct": 140.77692920870018, "max_drawdown_pct": 42.420384765244364, "mean_exposure_while_solvent": 1.2785172413355324, "realized_annual_volatility_pct": 68.34883419657653, "trading_costs_quote_units": 529.1749430753584, "borrowing_costs_quote_units": 954.3750003140406, "price_pnl_quote_units": 15595.056135649162, "turnover_quote_units": 176391.6476917861, "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": 0, "trace": "reference-2024-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24408.434272033413, "return_pct": 144.08434272033412, "cagr_pct": 143.73728905041028, "max_drawdown_pct": 39.73469657560857, "mean_exposure_while_solvent": 1.2525416265249665, "realized_annual_volatility_pct": 66.50356646469575, "trading_costs_quote_units": 545.1220253046083, "borrowing_costs_quote_units": 918.8051107003696, "price_pnl_quote_units": 15872.361408038312, "turnover_quote_units": 181707.3417682027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24703.838510059035, "return_pct": 147.03838510059035, "cagr_pct": 146.6823992729876, "max_drawdown_pct": 39.73469657560867, "mean_exposure_while_solvent": 1.262065846727917, "realized_annual_volatility_pct": 67.07004781791154, "trading_costs_quote_units": 537.8691812197073, "borrowing_costs_quote_units": 927.231668142627, "price_pnl_quote_units": 16168.939359421402, "turnover_quote_units": 179289.7270732356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23602.92631755062, "return_pct": 136.02926317550617, "cagr_pct": 135.70627486202852, "max_drawdown_pct": 42.420384765244364, "mean_exposure_while_solvent": 1.2717308591537453, "realized_annual_volatility_pct": 68.02908238613075, "trading_costs_quote_units": 524.3491649526231, "borrowing_costs_quote_units": 927.1905999583435, "price_pnl_quote_units": 15054.466082461568, "turnover_quote_units": 174783.05498420788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26500.17957029883, "return_pct": 165.0017957029883, "cagr_pct": 164.59030845629195, "max_drawdown_pct": 36.87223947437591, "mean_exposure_while_solvent": 1.2140751815929087, "realized_annual_volatility_pct": 64.74212112470775, "trading_costs_quote_units": 450.9781199830814, "borrowing_costs_quote_units": 835.3032182019848, "price_pnl_quote_units": 17786.460908483918, "turnover_quote_units": 150326.03999436044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26820.89925539882, "return_pct": 168.2089925539882, "cagr_pct": 167.78738849794595, "max_drawdown_pct": 36.87223947437586, "mean_exposure_while_solvent": 1.2235994017958591, "realized_annual_volatility_pct": 65.32381041535406, "trading_costs_quote_units": 445.24109166000744, "borrowing_costs_quote_units": 845.63250217553, "price_pnl_quote_units": 18111.772849234327, "turnover_quote_units": 148413.6972200026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26009.096911788914, "return_pct": 160.09096911788916, "cagr_pct": 159.69485280128217, "max_drawdown_pct": 38.78296079112027, "mean_exposure_while_solvent": 1.2277140184213826, "realized_annual_volatility_pct": 65.7689543908024, "trading_costs_quote_units": 437.50203671572103, "borrowing_costs_quote_units": 840.770669317082, "price_pnl_quote_units": 17287.369617821645, "turnover_quote_units": 145834.01223857372, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21680.708375958937, "return_pct": 116.80708375958937, "cagr_pct": 116.53972834064147, "max_drawdown_pct": 41.833328690055495, "mean_exposure_while_solvent": 1.2344894751622546, "realized_annual_volatility_pct": 66.62689139363899, "trading_costs_quote_units": 463.2566184493606, "borrowing_costs_quote_units": 675.441078689897, "price_pnl_quote_units": 12819.406073098178, "turnover_quote_units": 154418.8728164535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22080.741161981427, "return_pct": 120.80741161981425, "cagr_pct": 120.5286940897393, "max_drawdown_pct": 46.227271272336665, "mean_exposure_while_solvent": 1.2717606455725257, "realized_annual_volatility_pct": 70.04128400643712, "trading_costs_quote_units": 510.88432550664083, "borrowing_costs_quote_units": 888.3502255850544, "price_pnl_quote_units": 13479.975713073112, "turnover_quote_units": 170294.77516888027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2024-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2024-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27154.827160387933, "return_pct": 171.54827160387933, "cagr_pct": 171.11606933029094, "max_drawdown_pct": 38.7269400919136, "mean_exposure_while_solvent": 1.2599286860114882, "realized_annual_volatility_pct": 65.90235740742403, "trading_costs_quote_units": 116.25977337810393, "borrowing_costs_quote_units": 244.86506009852613, "price_pnl_quote_units": 17515.951993864575, "turnover_quote_units": 193766.28896350655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26678.585916864748, "return_pct": 166.78585916864748, "cagr_pct": 166.36875182378773, "max_drawdown_pct": 38.72694009191356, "mean_exposure_while_solvent": 1.2695173230812966, "realized_annual_volatility_pct": 66.77776969025373, "trading_costs_quote_units": 114.36052011889467, "borrowing_costs_quote_units": 246.27781364767932, "price_pnl_quote_units": 17039.224250631363, "turnover_quote_units": 190600.86686482443, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25331.82739705961, "return_pct": 153.3182739705961, "cagr_pct": 152.94311384765268, "max_drawdown_pct": 41.82005813508477, "mean_exposure_while_solvent": 1.2791721413266346, "realized_annual_volatility_pct": 67.70949341610522, "trading_costs_quote_units": 111.12660536210912, "borrowing_costs_quote_units": 244.67809990324184, "price_pnl_quote_units": 15687.632102324958, "turnover_quote_units": 185211.00893684872, "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": 0, "trace": "binance-2024-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26802.9892115454, "return_pct": 168.02989211545398, "cagr_pct": 167.60885462920743, "max_drawdown_pct": 38.7269400919136, "mean_exposure_while_solvent": 1.2531138539494944, "realized_annual_volatility_pct": 65.57877152351575, "trading_costs_quote_units": 115.26379009229836, "borrowing_costs_quote_units": 238.34117129972742, "price_pnl_quote_units": 17156.59417293746, "turnover_quote_units": 192106.3168204975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26332.918500476233, "return_pct": 163.32918500476234, "cagr_pct": 162.9229494240508, "max_drawdown_pct": 38.72694009191356, "mean_exposure_while_solvent": 1.2627024910193028, "realized_annual_volatility_pct": 66.45843052146404, "trading_costs_quote_units": 113.38383544802988, "borrowing_costs_quote_units": 239.85591640689566, "price_pnl_quote_units": 16686.15825233115, "turnover_quote_units": 188973.05908004974, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25003.609576368926, "return_pct": 150.03609576368925, "cagr_pct": 149.6709883347102, "max_drawdown_pct": 41.82005813508477, "mean_exposure_while_solvent": 1.2723573092646407, "realized_annual_volatility_pct": 67.39452361275605, "trading_costs_quote_units": 110.19922459384804, "borrowing_costs_quote_units": 238.58038569259668, "price_pnl_quote_units": 15352.389186655348, "turnover_quote_units": 183665.3743230801, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28774.534006444792, "return_pct": 187.74534006444793, "cagr_pct": 187.26081957762278, "max_drawdown_pct": 36.469570054116595, "mean_exposure_while_solvent": 1.2147231975474093, "realized_annual_volatility_pct": 63.708343000007126, "trading_costs_quote_units": 94.98526372493374, "borrowing_costs_quote_units": 215.72051813551687, "price_pnl_quote_units": 19085.23978830529, "turnover_quote_units": 158308.77287488952, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28269.88635112777, "return_pct": 182.69886351127772, "cagr_pct": 182.2308030202055, "max_drawdown_pct": 36.46957005411664, "mean_exposure_while_solvent": 1.2243118346172177, "realized_annual_volatility_pct": 64.61355980281748, "trading_costs_quote_units": 93.49861694879945, "borrowing_costs_quote_units": 217.81127443698554, "price_pnl_quote_units": 18581.196242513543, "turnover_quote_units": 155831.02824799906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27193.750887780127, "return_pct": 171.9375088778013, "cagr_pct": 171.50406697846407, "max_drawdown_pct": 38.88795079386662, "mean_exposure_while_solvent": 1.228456185410878, "realized_annual_volatility_pct": 65.0847667700549, "trading_costs_quote_units": 91.3934360729687, "borrowing_costs_quote_units": 215.27634957365646, "price_pnl_quote_units": 17500.420673426772, "turnover_quote_units": 152322.39345494783, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23745.692582469866, "return_pct": 137.45692582469866, "cagr_pct": 137.1297036715, "max_drawdown_pct": 39.24887997314964, "mean_exposure_while_solvent": 1.2356914149233487, "realized_annual_volatility_pct": 66.03496314157987, "trading_costs_quote_units": 97.42951667453461, "borrowing_costs_quote_units": 178.76995079753277, "price_pnl_quote_units": 14021.892049941944, "turnover_quote_units": 162382.52779089098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23939.307512669562, "return_pct": 139.39307512669563, "cagr_pct": 139.06008939214894, "max_drawdown_pct": 45.14491681175562, "mean_exposure_while_solvent": 1.2723175272351182, "realized_annual_volatility_pct": 69.33556820258798, "trading_costs_quote_units": 105.27571889536684, "borrowing_costs_quote_units": 230.74204222999313, "price_pnl_quote_units": 14275.325273794944, "turnover_quote_units": 175459.53149227827, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26803.478171979114, "return_pct": 168.03478171979114, "cagr_pct": 167.61372876820073, "max_drawdown_pct": 38.99838864408422, "mean_exposure_while_solvent": 1.2599509335077477, "realized_annual_volatility_pct": 65.9038525492102, "trading_costs_quote_units": 115.56098273923666, "borrowing_costs_quote_units": 486.1918785299185, "price_pnl_quote_units": 17405.231033248278, "turnover_quote_units": 192601.63789872781, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26320.682456371862, "return_pct": 163.2068245637186, "cagr_pct": 162.8009725089449, "max_drawdown_pct": 38.99838864408412, "mean_exposure_while_solvent": 1.2695403942931165, "realized_annual_volatility_pct": 66.77944730795424, "trading_costs_quote_units": 113.63479535732239, "borrowing_costs_quote_units": 488.83732052196564, "price_pnl_quote_units": 16923.154572251115, "turnover_quote_units": 189391.32559553717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24979.74583754207, "return_pct": 149.7974583754207, "cagr_pct": 149.43307918773726, "max_drawdown_pct": 42.106183991349845, "mean_exposure_while_solvent": 1.2791960469010164, "realized_annual_volatility_pct": 67.71151342055812, "trading_costs_quote_units": 110.39296782492315, "borrowing_costs_quote_units": 485.57162712739466, "price_pnl_quote_units": 15575.710432494365, "turnover_quote_units": 183988.27970820523, "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": 0, "trace": "binance-2024-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26465.181801738854, "return_pct": 164.65181801738856, "cagr_pct": 164.24143102303458, "max_drawdown_pct": 38.99838864408422, "mean_exposure_while_solvent": 1.253135519537233, "realized_annual_volatility_pct": 65.5802637029401, "trading_costs_quote_units": 114.58422419032591, "borrowing_costs_quote_units": 473.33069700378064, "price_pnl_quote_units": 17053.096722932994, "turnover_quote_units": 190973.70698387653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25988.479625078624, "return_pct": 159.88479625078625, "cagr_pct": 159.48932205252495, "max_drawdown_pct": 38.99838864408412, "mean_exposure_while_solvent": 1.2627249803226017, "realized_annual_volatility_pct": 66.46010598876695, "trading_costs_quote_units": 112.67734636690143, "borrowing_costs_quote_units": 476.1836391485483, "price_pnl_quote_units": 16577.340610594063, "turnover_quote_units": 187795.57727816913, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24664.467451201916, "return_pct": 146.64467451201918, "cagr_pct": 146.2898824078618, "max_drawdown_pct": 42.106183991349845, "mean_exposure_while_solvent": 1.2723806329305019, "realized_annual_volatility_pct": 67.39654375589787, "trading_costs_quote_units": 109.48429714464092, "borrowing_costs_quote_units": 473.5626017101718, "price_pnl_quote_units": 15247.514350056737, "turnover_quote_units": 182473.8285744016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 28466.814746730808, "return_pct": 184.66814746730807, "cagr_pct": 184.19368069529716, "max_drawdown_pct": 36.65031556765004, "mean_exposure_while_solvent": 1.2147415652319522, "realized_annual_volatility_pct": 63.70916630702408, "trading_costs_quote_units": 94.48559433730541, "borrowing_costs_quote_units": 428.7950403555342, "price_pnl_quote_units": 18990.095381423624, "turnover_quote_units": 157475.99056217563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27954.058301148376, "return_pct": 179.54058301148373, "cagr_pct": 179.0827511405871, "max_drawdown_pct": 36.65031556765006, "mean_exposure_while_solvent": 1.224331026017321, "realized_annual_volatility_pct": 64.61458530046316, "trading_costs_quote_units": 92.9767962763048, "borrowing_costs_quote_units": 432.8085299748242, "price_pnl_quote_units": 18479.84362739952, "turnover_quote_units": 154961.32712717474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26884.203837194425, "return_pct": 168.84203837194428, "cagr_pct": 168.41843020392878, "max_drawdown_pct": 39.07482731295331, "mean_exposure_while_solvent": 1.2284757341247505, "realized_annual_volatility_pct": 65.0860402695871, "trading_costs_quote_units": 90.87503812166966, "borrowing_costs_quote_units": 427.74147908317514, "price_pnl_quote_units": 17402.820354399275, "turnover_quote_units": 151458.3968694495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23466.72184816955, "return_pct": 134.6672184816955, "cagr_pct": 134.34825661737005, "max_drawdown_pct": 39.54092731426494, "mean_exposure_while_solvent": 1.2357116097445178, "realized_annual_volatility_pct": 66.03695666614131, "trading_costs_quote_units": 96.84557194498169, "borrowing_costs_quote_units": 355.35089493364694, "price_pnl_quote_units": 13918.918315048195, "turnover_quote_units": 161409.28657496956, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23614.37432181802, "return_pct": 136.1437432181802, "cagr_pct": 135.82041591082069, "max_drawdown_pct": 45.35614614123088, "mean_exposure_while_solvent": 1.2723408485296845, "realized_annual_volatility_pct": 69.33802096557073, "trading_costs_quote_units": 104.5902678270319, "borrowing_costs_quote_units": 457.94503729289994, "price_pnl_quote_units": 14176.909626937939, "turnover_quote_units": 174317.11304505315, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26114.165236130528, "return_pct": 161.14165236130526, "cagr_pct": 160.74225969667953, "max_drawdown_pct": 39.53784034694953, "mean_exposure_while_solvent": 1.2599954381398435, "realized_annual_volatility_pct": 65.90687621540332, "trading_costs_quote_units": 114.18528540521402, "borrowing_costs_quote_units": 958.4212012718092, "price_pnl_quote_units": 17186.771722807567, "turnover_quote_units": 190308.80900869024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25619.018072768416, "return_pct": 156.19018072768415, "cagr_pct": 155.80616900946035, "max_drawdown_pct": 39.53784034694958, "mean_exposure_while_solvent": 1.2695865467153364, "realized_annual_volatility_pct": 66.78283545010784, "trading_costs_quote_units": 112.20644698777936, "borrowing_costs_quote_units": 963.0093748184938, "price_pnl_quote_units": 16694.23389457475, "turnover_quote_units": 187010.744979632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24290.001586360195, "return_pct": 142.90001586360194, "cagr_pct": 142.5565273282925, "max_drawdown_pct": 42.674385500808, "mean_exposure_while_solvent": 1.279243868414536, "realized_annual_volatility_pct": 67.71558585295415, "trading_costs_quote_units": 108.94961899595609, "borrowing_costs_quote_units": 956.22361102342, "price_pnl_quote_units": 15355.174816379544, "turnover_quote_units": 181582.69832659332, "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": 0, "trace": "binance-2024-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25802.098777953197, "return_pct": 158.02098777953196, "cagr_pct": 157.63130652506635, "max_drawdown_pct": 39.53784034694953, "mean_exposure_while_solvent": 1.2531788601007197, "realized_annual_volatility_pct": 65.5832816685338, "trading_costs_quote_units": 113.24604210457898, "borrowing_costs_quote_units": 933.430085378869, "price_pnl_quote_units": 16848.774905436632, "turnover_quote_units": 188743.4035076318, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25312.868664596317, "return_pct": 153.12868664596317, "cagr_pct": 152.75410904141395, "max_drawdown_pct": 39.53784034694958, "mean_exposure_while_solvent": 1.2627699686762124, "realized_annual_volatility_pct": 66.46349011422156, "trading_costs_quote_units": 111.28651048516844, "borrowing_costs_quote_units": 938.4464758451362, "price_pnl_quote_units": 16362.601650926614, "turnover_quote_units": 185477.5174752805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23999.73403632988, "return_pct": 139.9973403632988, "cagr_pct": 139.66255072908163, "max_drawdown_pct": 42.674385500808, "mean_exposure_while_solvent": 1.272427290375412, "realized_annual_volatility_pct": 67.40061680897102, "trading_costs_quote_units": 108.07740527393513, "borrowing_costs_quote_units": 932.9349411246044, "price_pnl_quote_units": 15040.746382728412, "turnover_quote_units": 180129.0087898917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27861.045093764948, "return_pct": 178.61045093764946, "cagr_pct": 178.15562067310782, "max_drawdown_pct": 37.01036453795435, "mean_exposure_while_solvent": 1.2147783085506187, "realized_annual_volatility_pct": 63.71084637109464, "trading_costs_quote_units": 93.49919047253097, "borrowing_costs_quote_units": 847.1241374855398, "price_pnl_quote_units": 18801.668421723072, "turnover_quote_units": 155831.98412088485, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27332.775577135206, "return_pct": 173.32775577135203, "cagr_pct": 172.88987905378139, "max_drawdown_pct": 37.010364537954345, "mean_exposure_while_solvent": 1.2243694171261115, "realized_annual_volatility_pct": 64.61666971380369, "trading_costs_quote_units": 91.94700985061162, "borrowing_costs_quote_units": 854.4926191630694, "price_pnl_quote_units": 18279.215206148856, "turnover_quote_units": 153245.01641768593, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26275.471521995423, "return_pct": 162.75471521995422, "cagr_pct": 162.35027946980787, "max_drawdown_pct": 39.44697024665188, "mean_exposure_while_solvent": 1.2285148400177686, "realized_annual_volatility_pct": 65.08862075650829, "trading_costs_quote_units": 89.85222942300452, "borrowing_costs_quote_units": 844.3717781461631, "price_pnl_quote_units": 17209.695529564568, "turnover_quote_units": 149753.7157050076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22918.420431198312, "return_pct": 129.1842043119831, "cagr_pct": 128.88132333436837, "max_drawdown_pct": 40.12097528756775, "mean_exposure_while_solvent": 1.235752008140212, "realized_annual_volatility_pct": 66.04097746230616, "trading_costs_quote_units": 95.69527172536738, "borrowing_costs_quote_units": 702.0484962238323, "price_pnl_quote_units": 13716.164199147492, "turnover_quote_units": 159492.11954227902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22977.498027405374, "return_pct": 129.77498027405372, "cagr_pct": 129.47037657337597, "max_drawdown_pct": 45.77628293633508, "mean_exposure_while_solvent": 1.2723875012312038, "realized_annual_volatility_pct": 69.3429589276555, "trading_costs_quote_units": 103.2424713434238, "borrowing_costs_quote_units": 901.9347196421587, "price_pnl_quote_units": 13982.675218390948, "turnover_quote_units": 172070.78557237296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26826.56276055882, "return_pct": 168.26562760558818, "cagr_pct": 167.8438443495601, "max_drawdown_pct": 37.75504939276476, "mean_exposure_while_solvent": 1.2592789432151883, "realized_annual_volatility_pct": 66.24562462567621, "trading_costs_quote_units": 113.89840261644076, "borrowing_costs_quote_units": 247.01515275800224, "price_pnl_quote_units": 17187.47631593326, "turnover_quote_units": 189830.6710274012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27187.83125203686, "return_pct": 171.87831252036858, "cagr_pct": 171.44505920411487, "max_drawdown_pct": 37.7550493927647, "mean_exposure_while_solvent": 1.2688018627755488, "realized_annual_volatility_pct": 66.81873151558155, "trading_costs_quote_units": 112.55357070975968, "borrowing_costs_quote_units": 249.47148892074566, "price_pnl_quote_units": 17549.85631166733, "turnover_quote_units": 187589.28451626608, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26021.003670885046, "return_pct": 160.21003670885045, "cagr_pct": 159.81354944195178, "max_drawdown_pct": 40.42643294236326, "mean_exposure_while_solvent": 1.278463458695191, "realized_annual_volatility_pct": 67.75922849343023, "trading_costs_quote_units": 109.77459236338323, "borrowing_costs_quote_units": 249.21355166928552, "price_pnl_quote_units": 16379.991814917681, "turnover_quote_units": 182957.65393897204, "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": 0, "trace": "binance-2024-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26226.969258800516, "return_pct": 162.26969258800517, "cagr_pct": 161.8667748737076, "max_drawdown_pct": 37.75504939276476, "mean_exposure_while_solvent": 1.2524950020029046, "realized_annual_volatility_pct": 65.92057938637753, "trading_costs_quote_units": 112.76912671544112, "borrowing_costs_quote_units": 239.2923562706715, "price_pnl_quote_units": 16579.030741786686, "turnover_quote_units": 187948.54452573514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26580.163132526948, "return_pct": 165.80163132526948, "cagr_pct": 165.38762681592632, "max_drawdown_pct": 37.7550493927647, "mean_exposure_while_solvent": 1.2620179215632652, "realized_annual_volatility_pct": 66.49650846428972, "trading_costs_quote_units": 111.44038834934281, "borrowing_costs_quote_units": 241.8188160372559, "price_pnl_quote_units": 16933.42233691356, "turnover_quote_units": 185733.98058223817, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25439.41501006603, "return_pct": 154.3941501006603, "cagr_pct": 154.01568001712533, "max_drawdown_pct": 40.42643294236326, "mean_exposure_while_solvent": 1.2716795174829074, "realized_annual_volatility_pct": 67.44143220828896, "trading_costs_quote_units": 108.70918475443325, "borrowing_costs_quote_units": 241.8893106385319, "price_pnl_quote_units": 15790.013505458966, "turnover_quote_units": 181181.97459072212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28132.275974872813, "return_pct": 181.32275974872815, "cagr_pct": 180.85916293119823, "max_drawdown_pct": 35.57619369567529, "mean_exposure_while_solvent": 1.2140366569471215, "realized_annual_volatility_pct": 64.1436753448245, "trading_costs_quote_units": 92.84260130353339, "borrowing_costs_quote_units": 216.1911767572174, "price_pnl_quote_units": 18441.30975293356, "turnover_quote_units": 154737.66883922223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 28511.12827115827, "return_pct": 185.1112827115827, "cagr_pct": 184.63537138594765, "max_drawdown_pct": 35.57619369567533, "mean_exposure_while_solvent": 1.223559576507482, "realized_annual_volatility_pct": 64.73534892186291, "trading_costs_quote_units": 91.79834121049119, "borrowing_costs_quote_units": 219.1747735134093, "price_pnl_quote_units": 18822.101385882164, "turnover_quote_units": 152997.2353508186, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27663.021320359465, "return_pct": 176.63021320359468, "cagr_pct": 176.18175685602583, "max_drawdown_pct": 37.492577972157406, "mean_exposure_while_solvent": 1.2276747219788307, "realized_annual_volatility_pct": 65.17682006169802, "trading_costs_quote_units": 90.20974546693411, "borrowing_costs_quote_units": 217.91302308385195, "price_pnl_quote_units": 17971.144088910274, "turnover_quote_units": 150349.5757782234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23089.36643605227, "return_pct": 130.8936643605227, "cagr_pct": 130.58579192751628, "max_drawdown_pct": 40.49221884163916, "mean_exposure_while_solvent": 1.2344393434226524, "realized_annual_volatility_pct": 66.03075342754676, "trading_costs_quote_units": 95.50833034950841, "borrowing_costs_quote_units": 174.35738956417768, "price_pnl_quote_units": 13359.232155965976, "turnover_quote_units": 159180.55058251403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23782.926070949703, "return_pct": 137.82926070949705, "cagr_pct": 137.50093212264497, "max_drawdown_pct": 44.89999481822902, "mean_exposure_while_solvent": 1.271709832005311, "realized_annual_volatility_pct": 69.43746622375528, "trading_costs_quote_units": 105.81636050160151, "borrowing_costs_quote_units": 231.6559748917775, "price_pnl_quote_units": 14120.398406343093, "turnover_quote_units": 176360.60083600262, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26479.46083827348, "return_pct": 164.7946083827348, "cagr_pct": 164.3837725758804, "max_drawdown_pct": 38.03203839415642, "mean_exposure_while_solvent": 1.2593012212627959, "realized_annual_volatility_pct": 66.24675442343062, "trading_costs_quote_units": 113.19691411744363, "borrowing_costs_quote_units": 490.4497680502135, "price_pnl_quote_units": 17083.107520441175, "turnover_quote_units": 188661.5235290727, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26823.265462055482, "return_pct": 168.2326546205548, "cagr_pct": 167.81097569725364, "max_drawdown_pct": 38.03203839415639, "mean_exposure_while_solvent": 1.2688249545229007, "realized_annual_volatility_pct": 66.81986989384264, "trading_costs_quote_units": 111.82242923679446, "borrowing_costs_quote_units": 495.1652671898644, "price_pnl_quote_units": 17430.253158482206, "turnover_quote_units": 186370.71539465757, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25659.543268552854, "return_pct": 156.59543268552855, "cagr_pct": 156.21016779381014, "max_drawdown_pct": 40.72050644473186, "mean_exposure_while_solvent": 1.278487383104862, "realized_annual_volatility_pct": 67.76067105936707, "trading_costs_quote_units": 109.03366660410332, "borrowing_costs_quote_units": 494.55536899209864, "price_pnl_quote_units": 16263.132304148998, "turnover_quote_units": 181722.77767350565, "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": 0, "trace": "binance-2024-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25896.363869368837, "return_pct": 158.96363869368838, "cagr_pct": 158.57103023042063, "max_drawdown_pct": 38.03203839415642, "mean_exposure_while_solvent": 1.2525167030599709, "realized_annual_volatility_pct": 65.92176379699474, "trading_costs_quote_units": 112.09229871062486, "borrowing_costs_quote_units": 475.21585162992204, "price_pnl_quote_units": 16483.672019709426, "turnover_quote_units": 186820.49785104158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26232.597665510293, "return_pct": 162.32597665510292, "cagr_pct": 161.92288285461368, "max_drawdown_pct": 38.03203839415639, "mean_exposure_while_solvent": 1.262040436320076, "realized_annual_volatility_pct": 66.49769994071121, "trading_costs_quote_units": 110.73398314587182, "borrowing_costs_quote_units": 480.07702376112684, "price_pnl_quote_units": 16823.40867241729, "turnover_quote_units": 184556.63857645297, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25094.50148032488, "return_pct": 150.94501480324882, "cagr_pct": 150.5771303453979, "max_drawdown_pct": 40.72050644473186, "mean_exposure_while_solvent": 1.271702864902037, "realized_annual_volatility_pct": 67.44292875164788, "trading_costs_quote_units": 107.9924425366971, "borrowing_costs_quote_units": 480.1217260915413, "price_pnl_quote_units": 15682.61564895309, "turnover_quote_units": 179987.40422782843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27831.355820039713, "return_pct": 178.31355820039713, "cagr_pct": 177.8596849928001, "max_drawdown_pct": 35.76078765652952, "mean_exposure_while_solvent": 1.214055052371821, "realized_annual_volatility_pct": 64.14428456595368, "trading_costs_quote_units": 92.33971648589645, "borrowing_costs_quote_units": 429.7271581839666, "price_pnl_quote_units": 18353.42269470959, "turnover_quote_units": 153899.52747649403, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 28192.713208526377, "return_pct": 181.9271320852638, "cagr_pct": 181.46157617709338, "max_drawdown_pct": 35.76078765652942, "mean_exposure_while_solvent": 1.223578785631926, "realized_annual_volatility_pct": 64.73597096863726, "trading_costs_quote_units": 91.27153076393247, "borrowing_costs_quote_units": 435.5148476539367, "price_pnl_quote_units": 18719.499586944217, "turnover_quote_units": 152119.21793988746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27348.284683089565, "return_pct": 173.48284683089562, "cagr_pct": 173.044474682676, "max_drawdown_pct": 37.68488140916665, "mean_exposure_while_solvent": 1.2276942870827106, "realized_annual_volatility_pct": 65.17765038816891, "trading_costs_quote_units": 89.68284955074168, "borrowing_costs_quote_units": 432.97309322510665, "price_pnl_quote_units": 17870.9406258654, "turnover_quote_units": 149471.41591790263, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22818.543298944933, "return_pct": 128.1854329894493, "cagr_pct": 127.88545895344723, "max_drawdown_pct": 40.77892622058654, "mean_exposure_while_solvent": 1.2344594887206808, "realized_annual_volatility_pct": 66.03245099494484, "trading_costs_quote_units": 94.9298000406229, "borrowing_costs_quote_units": 346.5906588093318, "price_pnl_quote_units": 13260.063757794891, "turnover_quote_units": 158216.33340103805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 23460.10853386165, "return_pct": 134.60108533861649, "cagr_pct": 134.28231865640763, "max_drawdown_pct": 45.11237065618873, "mean_exposure_while_solvent": 1.271733188117586, "realized_annual_volatility_pct": 69.43945114397486, "trading_costs_quote_units": 105.1151103561543, "borrowing_costs_quote_units": 459.76979203013417, "price_pnl_quote_units": 14024.993436247929, "turnover_quote_units": 175191.85059359053, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25798.479979525415, "return_pct": 157.98479979525416, "cagr_pct": 157.59523080615625, "max_drawdown_pct": 38.58248226956484, "mean_exposure_while_solvent": 1.2593457870112517, "realized_annual_volatility_pct": 66.24904656028603, "trading_costs_quote_units": 111.81734167524651, "borrowing_costs_quote_units": 966.7703402033042, "price_pnl_quote_units": 16877.067661403962, "turnover_quote_units": 186362.23612541077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26108.532681628847, "return_pct": 161.0853268162885, "cagr_pct": 160.68610996244152, "max_drawdown_pct": 38.58248226956478, "mean_exposure_while_solvent": 1.2688711480229313, "realized_annual_volatility_pct": 66.8221787907511, "trading_costs_quote_units": 110.38484056029962, "borrowing_costs_quote_units": 975.4311816044241, "price_pnl_quote_units": 17194.34870379353, "turnover_quote_units": 183974.7342671661, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24951.41694305357, "return_pct": 149.5141694305357, "cagr_pct": 149.15065427523433, "max_drawdown_pct": 41.30447271064853, "mean_exposure_while_solvent": 1.2785352422940943, "realized_annual_volatility_pct": 67.76358781872051, "trading_costs_quote_units": 107.57733309428694, "borrowing_costs_quote_units": 973.8478035800766, "price_pnl_quote_units": 16032.842079727916, "turnover_quote_units": 179295.5551571449, "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": 0, "trace": "binance-2024-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25247.419603600832, "return_pct": 152.47419603600832, "cagr_pct": 152.10162765728796, "max_drawdown_pct": 38.58248226956484, "mean_exposure_while_solvent": 1.2525601145790564, "realized_annual_volatility_pct": 65.92416539751804, "trading_costs_quote_units": 110.76079370756189, "borrowing_costs_quote_units": 937.132500424094, "price_pnl_quote_units": 16295.312897732518, "turnover_quote_units": 184601.32284593664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25550.849521776177, "return_pct": 155.50849521776175, "cagr_pct": 155.12658919773622, "max_drawdown_pct": 38.58248226956478, "mean_exposure_while_solvent": 1.262085475590736, "realized_annual_volatility_pct": 66.50011533214226, "trading_costs_quote_units": 109.34457610980087, "borrowing_costs_quote_units": 946.1053406055447, "price_pnl_quote_units": 16606.29943849157, "turnover_quote_units": 182240.9601830015, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24418.449992620728, "return_pct": 144.18449992620728, "cagr_pct": 143.83714433723767, "max_drawdown_pct": 41.30447271064853, "mean_exposure_while_solvent": 1.2717495698618992, "realized_annual_volatility_pct": 67.44595382071363, "trading_costs_quote_units": 106.58317258929262, "borrowing_costs_quote_units": 945.8216676462243, "price_pnl_quote_units": 15470.854832856243, "turnover_quote_units": 177638.6209821543, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27238.968667488207, "return_pct": 172.38968667488206, "cagr_pct": 171.95480358776587, "max_drawdown_pct": 36.12849895519753, "mean_exposure_while_solvent": 1.2140918511845094, "realized_annual_volatility_pct": 64.1455358073739, "trading_costs_quote_units": 91.35083385535906, "borrowing_costs_quote_units": 848.9519967302199, "price_pnl_quote_units": 18179.271498073787, "turnover_quote_units": 152251.38975893173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 27566.333529471034, "return_pct": 175.66333529471035, "cagr_pct": 175.2179829223766, "max_drawdown_pct": 36.128498955197585, "mean_exposure_while_solvent": 1.223617212196189, "realized_annual_volatility_pct": 64.73724789207046, "trading_costs_quote_units": 90.23570623738073, "borrowing_costs_quote_units": 859.823454250533, "price_pnl_quote_units": 18516.392689958957, "turnover_quote_units": 150392.8437289679, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26729.337590272, "return_pct": 167.29337590272002, "cagr_pct": 166.8746663251459, "max_drawdown_pct": 38.06782784519642, "mean_exposure_while_solvent": 1.2277334257626658, "realized_annual_volatility_pct": 65.17934396307051, "trading_costs_quote_units": 88.64693269450193, "borrowing_costs_quote_units": 854.6700798587676, "price_pnl_quote_units": 17672.654602825274, "turnover_quote_units": 147744.88782417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22286.245658092328, "return_pct": 122.86245658092328, "cagr_pct": 122.57785717997672, "max_drawdown_pct": 41.348359342384065, "mean_exposure_while_solvent": 1.2344997880494986, "realized_annual_volatility_pct": 66.03587941668974, "trading_costs_quote_units": 93.78664098550817, "borrowing_costs_quote_units": 684.7842323094251, "price_pnl_quote_units": 13064.816531387243, "turnover_quote_units": 156311.06830918044, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22827.381467951636, "return_pct": 128.27381467951636, "cagr_pct": 127.97358368690759, "max_drawdown_pct": 45.53479157484341, "mean_exposure_while_solvent": 1.2717799104724055, "realized_annual_volatility_pct": 69.44345255696508, "trading_costs_quote_units": 103.73597450125396, "borrowing_costs_quote_units": 905.5715118982731, "price_pnl_quote_units": 13836.688954351157, "turnover_quote_units": 172893.2908354232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26395.443490223275, "return_pct": 163.95443490223275, "cagr_pct": 163.54623813153873, "max_drawdown_pct": 39.50917638103515, "mean_exposure_while_solvent": 1.2599286860114882, "realized_annual_volatility_pct": 65.90734104576379, "trading_costs_quote_units": 572.109769311389, "borrowing_costs_quote_units": 240.33930599326345, "price_pnl_quote_units": 17207.89256552789, "turnover_quote_units": 190703.25643712972, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25929.934926396498, "return_pct": 159.29934926396498, "cagr_pct": 158.90569700230165, "max_drawdown_pct": 39.50917638103522, "mean_exposure_while_solvent": 1.2695173230812966, "realized_annual_volatility_pct": 66.78322345919439, "trading_costs_quote_units": 562.7322520757151, "borrowing_costs_quote_units": 241.74685778555582, "price_pnl_quote_units": 16734.414036257767, "turnover_quote_units": 187577.4173585717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24610.9437934987, "return_pct": 146.109437934987, "cagr_pct": 145.7562670559024, "max_drawdown_pct": 42.58619374346122, "mean_exposure_while_solvent": 1.2791721413266346, "realized_annual_volatility_pct": 67.71551527681903, "trading_costs_quote_units": 546.7674283776666, "borrowing_costs_quote_units": 240.20459482287202, "price_pnl_quote_units": 15397.915816699277, "turnover_quote_units": 182255.80945922216, "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": 0, "trace": "binance-2024-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26058.34259646784, "return_pct": 160.58342596467838, "cagr_pct": 160.1857748571161, "max_drawdown_pct": 39.50917638103515, "mean_exposure_while_solvent": 1.2531138539494944, "realized_annual_volatility_pct": 65.58217621453974, "trading_costs_quote_units": 567.2772545266336, "borrowing_costs_quote_units": 233.9844379871498, "price_pnl_quote_units": 16859.60428898159, "turnover_quote_units": 189092.41817554444, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 25598.779125133067, "return_pct": 155.9877912513307, "cagr_pct": 155.60440500707773, "max_drawdown_pct": 39.50917638103522, "mean_exposure_while_solvent": 1.2627024910193028, "realized_annual_volatility_pct": 66.46232833278164, "trading_costs_quote_units": 557.9938796680462, "borrowing_costs_quote_units": 235.49236858823167, "price_pnl_quote_units": 16392.26537338937, "turnover_quote_units": 185997.95988934883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 24296.633062102017, "return_pct": 142.96633062102018, "cagr_pct": 142.62264270309254, "max_drawdown_pct": 42.58619374346122, "mean_exposure_while_solvent": 1.2723573092646407, "realized_annual_volatility_pct": 67.39901374463578, "trading_costs_quote_units": 542.2700851591504, "borrowing_costs_quote_units": 234.26825589532237, "price_pnl_quote_units": 15073.171403156502, "turnover_quote_units": 180756.69505305012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 28137.59142877219, "return_pct": 181.3759142877219, "cagr_pct": 180.91214525089777, "max_drawdown_pct": 36.92554328195502, "mean_exposure_while_solvent": 1.2147231975474093, "realized_annual_volatility_pct": 63.702675057215316, "trading_costs_quote_units": 468.7286019491288, "borrowing_costs_quote_units": 212.48263007571606, "price_pnl_quote_units": 18818.80266079713, "turnover_quote_units": 156242.8673163762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 27641.358441423403, "return_pct": 176.41358441423404, "cagr_pct": 175.96582397922737, "max_drawdown_pct": 36.92554328195491, "mean_exposure_while_solvent": 1.224311834617218, "realized_annual_volatility_pct": 64.60853265473023, "trading_costs_quote_units": 461.3669358482107, "borrowing_costs_quote_units": 214.55478566121442, "price_pnl_quote_units": 18317.280162932893, "turnover_quote_units": 153788.97861607026, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 26583.363776492475, "return_pct": 165.83363776492476, "cagr_pct": 165.41953244443093, "max_drawdown_pct": 39.33976756266547, "mean_exposure_while_solvent": 1.228456185410878, "realized_annual_volatility_pct": 65.08589035737468, "trading_costs_quote_units": 450.9599213021698, "borrowing_costs_quote_units": 212.06507881903312, "price_pnl_quote_units": 17246.388776613698, "turnover_quote_units": 150319.97376738986, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23140.901074974317, "return_pct": 131.40901074974317, "cagr_pct": 131.09962960167346, "max_drawdown_pct": 39.830205953327926, "mean_exposure_while_solvent": 1.2356914149233487, "realized_annual_volatility_pct": 66.04802792439534, "trading_costs_quote_units": 480.25296557007107, "borrowing_costs_quote_units": 176.233029364856, "price_pnl_quote_units": 13797.387069909233, "turnover_quote_units": 160084.3218566903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 23269.00321814444, "return_pct": 132.69003218144442, "cagr_pct": 132.37689285113046, "max_drawdown_pct": 45.64730219634248, "mean_exposure_while_solvent": 1.2723175272351182, "realized_annual_volatility_pct": 69.33258073639674, "trading_costs_quote_units": 518.1495402514155, "borrowing_costs_quote_units": 226.59103275045427, "price_pnl_quote_units": 14013.74379114632, "turnover_quote_units": 172716.51341713834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26053.89812662188, "return_pct": 160.5389812662188, "cagr_pct": 160.1414687357717, "max_drawdown_pct": 39.77731460197679, "mean_exposure_while_solvent": 1.2599509335077477, "realized_annual_volatility_pct": 65.90886869622908, "trading_costs_quote_units": 568.6905364327151, "borrowing_costs_quote_units": 477.21913199079273, "price_pnl_quote_units": 17099.807795045384, "turnover_quote_units": 189563.51214423843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25582.033608198206, "return_pct": 155.82033608198205, "cagr_pct": 155.43746715679018, "max_drawdown_pct": 39.77731460197684, "mean_exposure_while_solvent": 1.2695403942931165, "realized_annual_volatility_pct": 66.78493247035883, "trading_costs_quote_units": 559.1805482884807, "borrowing_costs_quote_units": 479.8577842240967, "price_pnl_quote_units": 16621.071940710794, "turnover_quote_units": 186393.51609616028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 24268.833515975464, "return_pct": 142.68833515975464, "cagr_pct": 142.3454828731755, "max_drawdown_pct": 42.86871996989251, "mean_exposure_while_solvent": 1.2791960469010164, "realized_annual_volatility_pct": 67.71756633953082, "trading_costs_quote_units": 543.1776205216195, "borrowing_costs_quote_units": 476.70865986105355, "price_pnl_quote_units": 15288.719796358157, "turnover_quote_units": 181059.2068405398, "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": 0, "trace": "binance-2024-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25729.906492762762, "return_pct": 157.29906492762763, "cagr_pct": 156.9116217557239, "max_drawdown_pct": 39.77731460197679, "mean_exposure_while_solvent": 1.253135519537233, "realized_annual_volatility_pct": 65.58370055424618, "trading_costs_quote_units": 563.9514138104223, "borrowing_costs_quote_units": 464.69118036845936, "price_pnl_quote_units": 16758.54908694166, "turnover_quote_units": 187983.8046034741, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 25263.909816285053, "return_pct": 152.63909816285053, "cagr_pct": 152.26602380369104, "max_drawdown_pct": 39.77731460197684, "mean_exposure_while_solvent": 1.2627249803226017, "realized_annual_volatility_pct": 66.46403485427332, "trading_costs_quote_units": 554.5356120564262, "borrowing_costs_quote_units": 467.53399308867296, "price_pnl_quote_units": 16285.97942143017, "turnover_quote_units": 184845.20401880873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 23967.039942342737, "return_pct": 139.67039942342737, "cagr_pct": 139.33658609946949, "max_drawdown_pct": 42.86871996989251, "mean_exposure_while_solvent": 1.2723806329305019, "realized_annual_volatility_pct": 67.40106463123321, "trading_costs_quote_units": 538.7711223583176, "borrowing_costs_quote_units": 465.017484721035, "price_pnl_quote_units": 14970.828549422104, "turnover_quote_units": 179590.3741194392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27836.69681236378, "return_pct": 178.3669681236378, "cagr_pct": 177.9129227820957, "max_drawdown_pct": 37.10507780312867, "mean_exposure_while_solvent": 1.2147415652319522, "realized_annual_volatility_pct": 63.703528430153014, "trading_costs_quote_units": 466.27464101623565, "borrowing_costs_quote_units": 422.366193834013, "price_pnl_quote_units": 18725.337647214077, "turnover_quote_units": 155424.88033874508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 27332.54386480737, "return_pct": 173.32543864807369, "cagr_pct": 172.88756933137742, "max_drawdown_pct": 37.10507780312868, "mean_exposure_while_solvent": 1.224331026017321, "realized_annual_volatility_pct": 64.60958734320994, "trading_costs_quote_units": 458.8037756240132, "borrowing_costs_quote_units": 426.345199453558, "price_pnl_quote_units": 18217.69283988491, "turnover_quote_units": 152934.5918746711, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 26280.748552489316, "return_pct": 162.80748552489314, "cagr_pct": 162.4028845270508, "max_drawdown_pct": 39.52536420831964, "mean_exposure_while_solvent": 1.2284757341247505, "realized_annual_volatility_pct": 65.08719446948767, "trading_costs_quote_units": 448.4138122968663, "borrowing_costs_quote_units": 421.36863108312485, "price_pnl_quote_units": 17150.53099586929, "turnover_quote_units": 149471.27076562203, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22868.98471551294, "return_pct": 128.6898471551294, "cagr_pct": 128.3884058795832, "max_drawdown_pct": 40.11959283389272, "mean_exposure_while_solvent": 1.2357116097445178, "realized_annual_volatility_pct": 66.0500462684025, "trading_costs_quote_units": 477.3894622955622, "borrowing_costs_quote_units": 350.3158037105153, "price_pnl_quote_units": 13696.689981519008, "turnover_quote_units": 159129.82076518735, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 22953.101664239304, "return_pct": 129.53101664239304, "cagr_pct": 129.22712464114673, "max_drawdown_pct": 45.85676447719731, "mean_exposure_while_solvent": 1.2723408485296845, "realized_annual_volatility_pct": 69.33506044672698, "trading_costs_quote_units": 514.7935658773174, "borrowing_costs_quote_units": 449.7199904065125, "price_pnl_quote_units": 13917.615220523163, "turnover_quote_units": 171597.85529243917, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25383.78816023885, "return_pct": 153.8378816023885, "cagr_pct": 153.46112379819826, "max_drawdown_pct": 40.31022053859149, "mean_exposure_while_solvent": 1.2599954381398435, "realized_annual_volatility_pct": 65.91195806235403, "trading_costs_quote_units": 561.9586275927488, "borrowing_costs_quote_units": 940.7853820111707, "price_pnl_quote_units": 16886.532169842765, "turnover_quote_units": 187319.54253091628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24899.94888190419, "return_pct": 148.99948881904191, "cagr_pct": 148.63754213290196, "max_drawdown_pct": 40.31022053859156, "mean_exposure_while_solvent": 1.2695865467153364, "realized_annual_volatility_pct": 66.78838407457191, "trading_costs_quote_units": 552.1896673798076, "borrowing_costs_quote_units": 945.3740303991237, "price_pnl_quote_units": 16397.512579683116, "turnover_quote_units": 184063.22245993585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23598.596040471566, "return_pct": 135.98596040471566, "cagr_pct": 135.66310029472265, "max_drawdown_pct": 43.42980381464564, "mean_exposure_while_solvent": 1.279243868414536, "realized_annual_volatility_pct": 67.7217015520623, "trading_costs_quote_units": 536.1145535915438, "borrowing_costs_quote_units": 938.827807852778, "price_pnl_quote_units": 15073.538401915917, "turnover_quote_units": 178704.8511971812, "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": 0, "trace": "binance-2024-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25085.18767819884, "return_pct": 150.8518767819884, "cagr_pct": 150.48427713058464, "max_drawdown_pct": 40.31022053859149, "mean_exposure_while_solvent": 1.2531788601007197, "realized_annual_volatility_pct": 65.58678352310619, "trading_costs_quote_units": 557.4017559300758, "borrowing_costs_quote_units": 916.4418963222025, "price_pnl_quote_units": 16559.03133045113, "turnover_quote_units": 185800.58531002517, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 24607.04001062094, "return_pct": 146.07040010620943, "cagr_pct": 145.71734739987724, "max_drawdown_pct": 40.31022053859156, "mean_exposure_while_solvent": 1.2627699686762124, "realized_annual_volatility_pct": 66.46748176343125, "trading_costs_quote_units": 547.7269505007117, "borrowing_costs_quote_units": 921.4516483893732, "price_pnl_quote_units": 16076.218609511028, "turnover_quote_units": 182575.65016690386, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 23320.99554567272, "return_pct": 133.20995545672722, "cagr_pct": 132.89528760503262, "max_drawdown_pct": 43.42980381464564, "mean_exposure_while_solvent": 1.272427290375412, "realized_annual_volatility_pct": 67.40519983501909, "trading_costs_quote_units": 531.8850729057697, "borrowing_costs_quote_units": 916.1556878395461, "price_pnl_quote_units": 14769.036306418013, "turnover_quote_units": 177295.02430192317, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 27244.34357049284, "return_pct": 172.4434357049284, "cagr_pct": 172.00838122872932, "max_drawdown_pct": 37.46271373938268, "mean_exposure_while_solvent": 1.2147783085506187, "realized_annual_volatility_pct": 63.70526905569154, "trading_costs_quote_units": 461.42997748910136, "borrowing_costs_quote_units": 834.4514524703809, "price_pnl_quote_units": 18540.225000452327, "turnover_quote_units": 153809.992496367, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 26725.040326680828, "return_pct": 167.2504032668083, "cagr_pct": 166.83182941344396, "max_drawdown_pct": 37.46271373938265, "mean_exposure_while_solvent": 1.2243694171261115, "realized_annual_volatility_pct": 64.61173056507744, "trading_costs_quote_units": 453.74524055376247, "borrowing_costs_quote_units": 841.7615878491222, "price_pnl_quote_units": 18020.547155083685, "turnover_quote_units": 151248.41351792082, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 25685.63140818282, "return_pct": 156.8563140818282, "cagr_pct": 156.4702419198984, "max_drawdown_pct": 39.89495751837718, "mean_exposure_while_solvent": 1.2285148400177686, "realized_annual_volatility_pct": 65.08983660395245, "trading_costs_quote_units": 443.39002996035526, "borrowing_costs_quote_units": 831.8218568932168, "price_pnl_quote_units": 16960.84329503639, "turnover_quote_units": 147796.67665345175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22334.528718465364, "return_pct": 123.34528718465366, "cagr_pct": 123.05930146309527, "max_drawdown_pct": 40.69435486139506, "mean_exposure_while_solvent": 1.235752008140212, "realized_annual_volatility_pct": 66.05411744751741, "trading_costs_quote_units": 471.7484311926763, "borrowing_costs_quote_units": 692.131188602003, "price_pnl_quote_units": 13498.40833826002, "turnover_quote_units": 157249.47706422556, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 22333.8941578601, "return_pct": 123.338941578601, "cagr_pct": 123.05297408754518, "max_drawdown_pct": 46.273384710767175, "mean_exposure_while_solvent": 1.2723875012312038, "realized_annual_volatility_pct": 69.34005336224612, "trading_costs_quote_units": 508.19420806025204, "borrowing_costs_quote_units": 885.7869503690501, "price_pnl_quote_units": 13727.875316289399, "turnover_quote_units": 169398.06935341738, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26089.48979273761, "return_pct": 160.8948979273761, "cagr_pct": 160.49627532242624, "max_drawdown_pct": 38.54066338483491, "mean_exposure_while_solvent": 1.2592789432151883, "realized_annual_volatility_pct": 66.2658155855487, "trading_costs_quote_units": 560.6395925254868, "borrowing_costs_quote_units": 242.52461259471795, "price_pnl_quote_units": 16892.653997857833, "turnover_quote_units": 186879.86417516234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 26441.18691705744, "return_pct": 164.4118691705744, "cagr_pct": 164.00223609723065, "max_drawdown_pct": 38.54066338483505, "mean_exposure_while_solvent": 1.2688018627755488, "realized_annual_volatility_pct": 66.82106459167859, "trading_costs_quote_units": 553.9947096651091, "borrowing_costs_quote_units": 244.960295515209, "price_pnl_quote_units": 17240.14192223779, "turnover_quote_units": 184664.90322170302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25298.270442501347, "return_pct": 152.98270442501348, "cagr_pct": 152.60857520575976, "max_drawdown_pct": 41.19723430780846, "mean_exposure_while_solvent": 1.278463458695191, "realized_annual_volatility_pct": 67.75869503334592, "trading_costs_quote_units": 540.2773927666478, "borrowing_costs_quote_units": 244.74337121584963, "price_pnl_quote_units": 16083.291206483851, "turnover_quote_units": 180092.46425554933, "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": 0, "trace": "binance-2024-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25510.537665758606, "return_pct": 155.10537665758605, "cagr_pct": 154.7247144942112, "max_drawdown_pct": 38.54066338483491, "mean_exposure_while_solvent": 1.2524950020029046, "realized_annual_volatility_pct": 65.93798690043737, "trading_costs_quote_units": 555.1538235523666, "borrowing_costs_quote_units": 234.995223479672, "price_pnl_quote_units": 16300.686712790666, "turnover_quote_units": 185051.27451745557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 25854.430275701347, "return_pct": 158.54430275701347, "cagr_pct": 158.15299713005504, "max_drawdown_pct": 38.54066338483505, "mean_exposure_while_solvent": 1.2620179215632652, "realized_annual_volatility_pct": 66.49599393407064, "trading_costs_quote_units": 548.5875824648584, "borrowing_costs_quote_units": 237.50024168810248, "price_pnl_quote_units": 16640.518099854336, "turnover_quote_units": 182862.52748828617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 24736.87627197781, "return_pct": 147.3687627197781, "cagr_pct": 147.01177442339076, "max_drawdown_pct": 41.19723430780846, "mean_exposure_while_solvent": 1.2716795174829074, "realized_annual_volatility_pct": 67.43807725610208, "trading_costs_quote_units": 535.1039878564202, "borrowing_costs_quote_units": 237.60577713485213, "price_pnl_quote_units": 15509.58603696911, "turnover_quote_units": 178367.99595214013, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27517.564800512686, "return_pct": 175.17564800512685, "cagr_pct": 174.731859215006, "max_drawdown_pct": 36.03572480968016, "mean_exposure_while_solvent": 1.2140366569471215, "realized_annual_volatility_pct": 64.16326283592181, "trading_costs_quote_units": 458.2443602649601, "borrowing_costs_quote_units": 212.9942953023807, "price_pnl_quote_units": 18188.803456079997, "turnover_quote_units": 152748.12008832005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27888.512967207706, "return_pct": 178.88512967207703, "cagr_pct": 178.42941351133769, "max_drawdown_pct": 36.035724809680204, "mean_exposure_while_solvent": 1.223559576507482, "realized_annual_volatility_pct": 64.73649790549494, "trading_costs_quote_units": 453.06983903259277, "borrowing_costs_quote_units": 215.94955598752532, "price_pnl_quote_units": 18557.53236222785, "turnover_quote_units": 151023.27967753104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 27054.059289071327, "return_pct": 170.54059289071327, "cagr_pct": 170.11159570514153, "max_drawdown_pct": 37.949603285906306, "mean_exposure_while_solvent": 1.2276747219788307, "realized_annual_volatility_pct": 65.18255373507054, "trading_costs_quote_units": 445.2106728251313, "borrowing_costs_quote_units": 214.7148526768862, "price_pnl_quote_units": 17713.984814573316, "turnover_quote_units": 148403.5576083772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 22500.537265858904, "return_pct": 125.00537265858904, "cagr_pct": 124.71460779973694, "max_drawdown_pct": 41.06521036141126, "mean_exposure_while_solvent": 1.2344393434226524, "realized_annual_volatility_pct": 66.03078399810329, "trading_costs_quote_units": 470.7998515697809, "borrowing_costs_quote_units": 171.88403450331714, "price_pnl_quote_units": 13143.22115193197, "turnover_quote_units": 156933.28385659374, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 23117.725212297675, "return_pct": 131.17725212297677, "cagr_pct": 130.8685496916219, "max_drawdown_pct": 45.40590449733175, "mean_exposure_while_solvent": 1.271709832005311, "realized_annual_volatility_pct": 69.435291937811, "trading_costs_quote_units": 520.8263132711373, "borrowing_costs_quote_units": 227.53442870558146, "price_pnl_quote_units": 13866.085954274458, "turnover_quote_units": 173608.77109037916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25751.978873779728, "return_pct": 157.51978873779726, "cagr_pct": 157.13166162617452, "max_drawdown_pct": 38.81432939409768, "mean_exposure_while_solvent": 1.2593012212627956, "realized_annual_volatility_pct": 66.2669742164872, "trading_costs_quote_units": 557.2065556944392, "borrowing_costs_quote_units": 481.547471368346, "price_pnl_quote_units": 16790.73290084249, "turnover_quote_units": 185735.51856481296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26086.66845662789, "return_pct": 160.8666845662789, "cagr_pct": 160.4681499846381, "max_drawdown_pct": 38.814329394097626, "mean_exposure_while_solvent": 1.2688249545229007, "realized_annual_volatility_pct": 66.82222965451598, "trading_costs_quote_units": 550.4158104577912, "borrowing_costs_quote_units": 486.22550857685184, "price_pnl_quote_units": 17123.30977566247, "turnover_quote_units": 183471.93681926388, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24946.862600130433, "return_pct": 149.46862600130433, "cagr_pct": 149.10524970594713, "max_drawdown_pct": 41.48771736643606, "mean_exposure_while_solvent": 1.278487383104862, "realized_annual_volatility_pct": 67.76016381382925, "trading_costs_quote_units": 536.6509178637564, "borrowing_costs_quote_units": 485.69945958053535, "price_pnl_quote_units": 15969.21297757471, "turnover_quote_units": 178883.63928791878, "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": 0, "trace": "binance-2024-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25188.99897762452, "return_pct": 151.88998977624522, "cagr_pct": 151.5192125789327, "max_drawdown_pct": 38.81432939409768, "mean_exposure_while_solvent": 1.2525167030599709, "realized_annual_volatility_pct": 65.93920054391272, "trading_costs_quote_units": 551.8406214033656, "borrowing_costs_quote_units": 466.69483256239727, "price_pnl_quote_units": 16207.534431590271, "turnover_quote_units": 183946.87380112172, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 25516.371705037265, "return_pct": 155.16371705037267, "cagr_pct": 154.7828749353781, "max_drawdown_pct": 38.814329394097626, "mean_exposure_while_solvent": 1.262040436320076, "realized_annual_volatility_pct": 66.49721250035631, "trading_costs_quote_units": 545.1288782475276, "borrowing_costs_quote_units": 471.5168108146877, "price_pnl_quote_units": 16533.01739409939, "turnover_quote_units": 181709.6260825091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 24401.48384749722, "return_pct": 144.0148384749722, "cagr_pct": 143.66799428382956, "max_drawdown_pct": 41.48771736643606, "mean_exposure_while_solvent": 1.271702864902037, "realized_annual_volatility_pct": 67.43960043358244, "trading_costs_quote_units": 531.5949877956856, "borrowing_costs_quote_units": 471.6334295426402, "price_pnl_quote_units": 15404.712264835538, "turnover_quote_units": 177198.3292652284, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27223.292421093436, "return_pct": 172.23292421093436, "cagr_pct": 171.79854089468253, "max_drawdown_pct": 36.21908877589939, "mean_exposure_while_solvent": 1.214055052371821, "realized_annual_volatility_pct": 64.16390305012001, "trading_costs_quote_units": 455.77438258290385, "borrowing_costs_quote_units": 423.3801349695657, "price_pnl_quote_units": 18102.44693864587, "turnover_quote_units": 151924.7941943014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 27577.104158390455, "return_pct": 175.77104158390458, "cagr_pct": 175.32534370771305, "max_drawdown_pct": 36.219088775899436, "mean_exposure_while_solvent": 1.223578785631926, "realized_annual_volatility_pct": 64.73714875584376, "trading_costs_quote_units": 450.48189155989616, "borrowing_costs_quote_units": 429.113971734454, "price_pnl_quote_units": 18456.70002168477, "turnover_quote_units": 150160.6305199653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 26746.294312926322, "return_pct": 167.4629431292632, "cagr_pct": 167.0436978856434, "max_drawdown_pct": 38.14060340242823, "mean_exposure_while_solvent": 1.2276942870827106, "realized_annual_volatility_pct": 65.18341412417334, "trading_costs_quote_units": 442.6224790918853, "borrowing_costs_quote_units": 426.6266542859582, "price_pnl_quote_units": 17615.54344630419, "turnover_quote_units": 147540.82636396177, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22236.62608642855, "return_pct": 122.36626086428552, "cagr_pct": 122.083084425438, "max_drawdown_pct": 41.34926076729186, "mean_exposure_while_solvent": 1.2344594887206808, "realized_annual_volatility_pct": 66.0325016722857, "trading_costs_quote_units": 467.96334365639865, "borrowing_costs_quote_units": 341.68215390632145, "price_pnl_quote_units": 13046.271583991283, "turnover_quote_units": 155987.78121879953, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 22803.885572281153, "return_pct": 128.03885572281155, "cagr_pct": 127.73930771840116, "max_drawdown_pct": 45.61655283841812, "mean_exposure_while_solvent": 1.271733188117586, "realized_annual_volatility_pct": 69.43730219425667, "trading_costs_quote_units": 517.393004496412, "borrowing_costs_quote_units": 451.60307216260804, "price_pnl_quote_units": 13772.881648940152, "turnover_quote_units": 172464.33483213733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25089.7802183411, "return_pct": 150.897802183411, "cagr_pct": 150.530062103743, "max_drawdown_pct": 39.35819542120528, "mean_exposure_while_solvent": 1.2593457870112514, "realized_annual_volatility_pct": 66.26932462452238, "trading_costs_quote_units": 550.4545548164056, "borrowing_costs_quote_units": 949.275713183951, "price_pnl_quote_units": 16589.510486341493, "turnover_quote_units": 183484.8516054685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 25391.59935803962, "return_pct": 153.91599358039622, "cagr_pct": 153.53899545246645, "max_drawdown_pct": 39.358195421205366, "mean_exposure_while_solvent": 1.2688711480229313, "realized_annual_volatility_pct": 66.82459253280871, "trading_costs_quote_units": 543.3784054547393, "borrowing_costs_quote_units": 957.8765954281802, "price_pnl_quote_units": 16892.85435892257, "turnover_quote_units": 181126.13515157977, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24258.398129339766, "return_pct": 142.58398129339764, "cagr_pct": 142.241442555253, "max_drawdown_pct": 42.06457742142031, "mean_exposure_while_solvent": 1.2785352422940943, "realized_annual_volatility_pct": 67.76313360844915, "trading_costs_quote_units": 529.5223812913999, "borrowing_costs_quote_units": 956.4679450684017, "price_pnl_quote_units": 15744.388455699558, "turnover_quote_units": 176507.4604304668, "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": 0, "trace": "binance-2024-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24557.818711674223, "return_pct": 145.5781871167422, "cagr_pct": 145.22662356008084, "max_drawdown_pct": 39.35819542120528, "mean_exposure_while_solvent": 1.2525601145790564, "realized_annual_volatility_pct": 65.94166121969121, "trading_costs_quote_units": 545.3222068720295, "borrowing_costs_quote_units": 920.3787481256985, "price_pnl_quote_units": 16023.519666671978, "turnover_quote_units": 181774.06895734306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 194, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 24853.238585898973, "return_pct": 148.5323858589897, "cagr_pct": 148.17186118716913, "max_drawdown_pct": 39.358195421205366, "mean_exposure_while_solvent": 1.262085475590736, "realized_annual_volatility_pct": 66.49968268850932, "trading_costs_quote_units": 538.3255987479735, "borrowing_costs_quote_units": 929.2875723460331, "price_pnl_quote_units": 16320.851756993028, "turnover_quote_units": 179441.86624932438, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 201, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 23744.06385036603, "return_pct": 137.4406385036603, "cagr_pct": 137.1134647288316, "max_drawdown_pct": 42.06457742142031, "mean_exposure_while_solvent": 1.2717495698618992, "realized_annual_volatility_pct": 67.44267938164178, "trading_costs_quote_units": 524.6950762038015, "borrowing_costs_quote_units": 929.1548209805314, "price_pnl_quote_units": 15197.913747550383, "turnover_quote_units": 174898.35873460062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26643.95533396482, "return_pct": 166.4395533396482, "cagr_pct": 166.0235384032582, "max_drawdown_pct": 36.58437848286346, "mean_exposure_while_solvent": 1.2140918511845094, "realized_annual_volatility_pct": 64.16521689704017, "trading_costs_quote_units": 450.91707863143614, "borrowing_costs_quote_units": 836.4420953250848, "price_pnl_quote_units": 17931.314507921332, "turnover_quote_units": 150305.6928771455, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 164, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26964.47052409729, "return_pct": 169.6447052409729, "cagr_pct": 169.21855256453503, "max_drawdown_pct": 36.5843784828635, "mean_exposure_while_solvent": 1.223617212196189, "realized_annual_volatility_pct": 64.7384839143181, "trading_costs_quote_units": 445.39311944503936, "borrowing_costs_quote_units": 847.2168761221794, "price_pnl_quote_units": 18257.080519664527, "turnover_quote_units": 148464.3731483464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 171, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 26141.022216666195, "return_pct": 161.41022216666195, "cagr_pct": 161.00999094076457, "max_drawdown_pct": 38.520981916493334, "mean_exposure_while_solvent": 1.2277334257626658, "realized_annual_volatility_pct": 65.18516844654741, "trading_costs_quote_units": 437.5335965075708, "borrowing_costs_quote_units": 842.1737011307938, "price_pnl_quote_units": 17420.729514304545, "turnover_quote_units": 145844.53216919035, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 174, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 21717.913566635005, "return_pct": 117.17913566635004, "cagr_pct": 116.91072842721559, "max_drawdown_pct": 41.91341538167826, "mean_exposure_while_solvent": 1.2344997880494986, "realized_annual_volatility_pct": 66.03597035572105, "trading_costs_quote_units": 462.358317762462, "borrowing_costs_quote_units": 675.1180438761245, "price_pnl_quote_units": 12855.389928273633, "turnover_quote_units": 154119.43925415401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 181, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2024", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 22188.730214120107, "return_pct": 121.88730214120108, "cagr_pct": 121.60549756343472, "max_drawdown_pct": 46.035556583219574, "mean_exposure_while_solvent": 1.2717799104724055, "realized_annual_volatility_pct": 69.44135489229744, "trading_costs_quote_units": 510.6403472146388, "borrowing_costs_quote_units": 889.538373460015, "price_pnl_quote_units": 13588.90893479479, "turnover_quote_units": 170213.44907154646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 208, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2024-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2024-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9261.988530004539, "return_pct": -7.38011469995461, "cagr_pct": -7.388224013811338, "max_drawdown_pct": 38.51574687987517, "mean_exposure_while_solvent": 1.1516256188752496, "realized_annual_volatility_pct": 50.80710055237234, "trading_costs_quote_units": 67.57885051419899, "borrowing_costs_quote_units": 88.48831068700947, "price_pnl_quote_units": -581.9443087942692, "turnover_quote_units": 112631.417523665, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9099.163489556455, "return_pct": -9.008365104435455, "cagr_pct": -9.018174817310726, "max_drawdown_pct": 38.5157468798753, "mean_exposure_while_solvent": 1.161251938020158, "realized_annual_volatility_pct": 51.06136385407404, "trading_costs_quote_units": 67.16135178830542, "borrowing_costs_quote_units": 93.13871866603131, "price_pnl_quote_units": -740.5364399891969, "turnover_quote_units": 111935.58631384232, "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": 1, "trace": "reference-2025-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8272.455828780987, "return_pct": -17.27544171219013, "cagr_pct": -17.29335778943363, "max_drawdown_pct": 41.21275294211686, "mean_exposure_while_solvent": 1.196931611607292, "realized_annual_volatility_pct": 53.44204236534408, "trading_costs_quote_units": 66.01318604981181, "borrowing_costs_quote_units": 106.82565059750056, "price_pnl_quote_units": -1554.70533457165, "turnover_quote_units": 110021.97674968638, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9508.950525987715, "return_pct": -4.91049474012285, "cagr_pct": -4.915962726547547, "max_drawdown_pct": 38.92642160560014, "mean_exposure_while_solvent": 1.1309421471074266, "realized_annual_volatility_pct": 49.71745297760307, "trading_costs_quote_units": 57.14886354275035, "borrowing_costs_quote_units": 80.93502113505473, "price_pnl_quote_units": -352.9655893344894, "turnover_quote_units": 95248.10590458392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9341.783912792618, "return_pct": -6.582160872073817, "cagr_pct": -6.589424889468738, "max_drawdown_pct": 38.92642160560018, "mean_exposure_while_solvent": 1.140568466252335, "realized_annual_volatility_pct": 49.977303064504746, "trading_costs_quote_units": 56.719319744880444, "borrowing_costs_quote_units": 85.77519506152336, "price_pnl_quote_units": -515.7215724009678, "turnover_quote_units": 94532.19957480073, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8811.596433310911, "return_pct": -11.884035666890892, "cagr_pct": -11.896766725289485, "max_drawdown_pct": 41.605413425679096, "mean_exposure_while_solvent": 1.1652814816794608, "realized_annual_volatility_pct": 51.49819729544104, "trading_costs_quote_units": 56.81840092273769, "borrowing_costs_quote_units": 98.52922324889909, "price_pnl_quote_units": -1033.0559425174606, "turnover_quote_units": 94697.33487122953, "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": 1, "trace": "reference-2025-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9353.069513130209, "return_pct": -6.469304868697911, "cagr_pct": -6.476448703798194, "max_drawdown_pct": 39.31704626321804, "mean_exposure_while_solvent": 1.1145232657562498, "realized_annual_volatility_pct": 49.492685757280924, "trading_costs_quote_units": 56.344274396745874, "borrowing_costs_quote_units": 70.14404715293703, "price_pnl_quote_units": -520.4421653201287, "turnover_quote_units": 93907.12399457647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9188.643276058598, "return_pct": -8.11356723941402, "cagr_pct": -8.122446590763273, "max_drawdown_pct": 39.317046263218046, "mean_exposure_while_solvent": 1.1241495849011582, "realized_annual_volatility_pct": 49.75368274604955, "trading_costs_quote_units": 55.92887521369791, "borrowing_costs_quote_units": 75.17392556558809, "price_pnl_quote_units": -680.2539231621191, "turnover_quote_units": 93214.79202282983, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8667.147203802118, "return_pct": -13.32852796197882, "cagr_pct": -13.342686187882821, "max_drawdown_pct": 41.97890333714347, "mean_exposure_while_solvent": 1.148862600328284, "realized_annual_volatility_pct": 51.281123191717434, "trading_costs_quote_units": 56.034806724851556, "borrowing_costs_quote_units": 87.95978423721657, "price_pnl_quote_units": -1188.8582052358288, "turnover_quote_units": 93391.34454141931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8179.1871288505645, "return_pct": -18.208128711494354, "cagr_pct": -18.226901725776482, "max_drawdown_pct": 44.67497490965192, "mean_exposure_while_solvent": 1.3585538338788863, "realized_annual_volatility_pct": 62.825944832512924, "trading_costs_quote_units": 69.3136748439824, "borrowing_costs_quote_units": 181.83684613085944, "price_pnl_quote_units": -1569.6623501745971, "turnover_quote_units": 115522.79140663732, "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": 1, "trace": "reference-2025-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8614.144841389472, "return_pct": -13.858551586105271, "cagr_pct": -13.873226600798358, "max_drawdown_pct": 41.85437397652324, "mean_exposure_while_solvent": 1.140771530600253, "realized_annual_volatility_pct": 50.10178768603618, "trading_costs_quote_units": 55.097691425514256, "borrowing_costs_quote_units": 82.96758381461294, "price_pnl_quote_units": -1247.7898833703748, "turnover_quote_units": 91829.48570919038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9191.86189420305, "return_pct": -8.081381057969505, "cagr_pct": -8.090226757704432, "max_drawdown_pct": 38.68416039403376, "mean_exposure_while_solvent": 1.1516386278808282, "realized_annual_volatility_pct": 50.80784999716719, "trading_costs_quote_units": 67.33319549821803, "borrowing_costs_quote_units": 176.27797952165835, "price_pnl_quote_units": -564.5269307770526, "turnover_quote_units": 112221.99249703006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9025.911159571026, "return_pct": -9.740888404289748, "cagr_pct": -9.751452270182876, "max_drawdown_pct": 38.684160394033725, "mean_exposure_while_solvent": 1.1612657732475757, "realized_annual_volatility_pct": 51.06224487531294, "trading_costs_quote_units": 66.90030176283234, "borrowing_costs_quote_units": 185.49887847955068, "price_pnl_quote_units": -721.6896601865905, "turnover_quote_units": 111500.50293805395, "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": 1, "trace": "reference-2025-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8191.097036290955, "return_pct": -18.089029637090448, "cagr_pct": -18.107693899391013, "max_drawdown_pct": 41.41847630687304, "mean_exposure_while_solvent": 1.196948506966766, "realized_annual_volatility_pct": 53.44372515052454, "trading_costs_quote_units": 65.71689044352345, "borrowing_costs_quote_units": 212.56832614137818, "price_pnl_quote_units": -1530.6177471241424, "turnover_quote_units": 109528.15073920572, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9446.699893460669, "return_pct": -5.5330010653933055, "cagr_pct": -5.539141828149546, "max_drawdown_pct": 39.08546263755866, "mean_exposure_while_solvent": 1.1309533789065453, "realized_annual_volatility_pct": 49.71793588401447, "trading_costs_quote_units": 56.948541184530484, "borrowing_costs_quote_units": 161.3257286758263, "price_pnl_quote_units": -335.0258366789655, "turnover_quote_units": 94914.23530755077, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9276.148289747296, "return_pct": -7.238517102527043, "cagr_pct": -7.246476989471481, "max_drawdown_pct": 39.08546263755866, "mean_exposure_while_solvent": 1.1405805242732932, "realized_annual_volatility_pct": 49.97792459417311, "trading_costs_quote_units": 56.50266491104513, "borrowing_costs_quote_units": 170.93339398262512, "price_pnl_quote_units": -496.4156513590276, "turnover_quote_units": 94171.10818507521, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8738.798637916916, "return_pct": -12.612013620830842, "cagr_pct": -12.625467337739993, "max_drawdown_pct": 41.80188289541903, "mean_exposure_while_solvent": 1.165295658582459, "realized_annual_volatility_pct": 51.49933361169738, "trading_costs_quote_units": 56.581779987201216, "borrowing_costs_quote_units": 196.23116952239127, "price_pnl_quote_units": -1008.3884125735055, "turnover_quote_units": 94302.96664533536, "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": 1, "trace": "reference-2025-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9299.443695908776, "return_pct": -7.005563040912244, "cagr_pct": -7.01327655561336, "max_drawdown_pct": 39.45442725795639, "mean_exposure_while_solvent": 1.1145330949051935, "realized_annual_volatility_pct": 49.49325485153201, "trading_costs_quote_units": 56.16636905631453, "borrowing_costs_quote_units": 139.87673893321784, "price_pnl_quote_units": -504.5131961016947, "turnover_quote_units": 93610.6150938576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9131.550669363347, "return_pct": -8.684493306366525, "cagr_pct": -8.693967431657432, "max_drawdown_pct": 39.45442725795642, "mean_exposure_while_solvent": 1.1241602402719413, "realized_annual_volatility_pct": 49.75439126107431, "trading_costs_quote_units": 55.73461419161234, "borrowing_costs_quote_units": 149.87164630760546, "price_pnl_quote_units": -662.843070137436, "turnover_quote_units": 92891.02365268726, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8602.577283041224, "return_pct": -13.97422716958776, "cagr_pct": -13.989014476587998, "max_drawdown_pct": 42.15439392341207, "mean_exposure_while_solvent": 1.148875374581107, "realized_annual_volatility_pct": 51.28234852528924, "trading_costs_quote_units": 55.82090700799756, "borrowing_costs_quote_units": 175.25697561886213, "price_pnl_quote_units": -1166.3448343319474, "turnover_quote_units": 93034.8450133293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8033.735144840253, "return_pct": -19.66264855159747, "cagr_pct": -19.682733637716844, "max_drawdown_pct": 44.833105849595256, "mean_exposure_while_solvent": 1.3585845643132881, "realized_annual_volatility_pct": 62.82849223058621, "trading_costs_quote_units": 68.81520275450926, "borrowing_costs_quote_units": 360.47040578301716, "price_pnl_quote_units": -1536.979246622239, "turnover_quote_units": 114692.00459084874, "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": 1, "trace": "reference-2025-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8553.468365677027, "return_pct": -14.465316343229729, "cagr_pct": -14.480578393281753, "max_drawdown_pct": 42.03420042412886, "mean_exposure_while_solvent": 1.1407836184608449, "realized_annual_volatility_pct": 50.10295871172128, "trading_costs_quote_units": 54.90172754314072, "borrowing_costs_quote_units": 165.35122743445612, "price_pnl_quote_units": -1226.2786793453868, "turnover_quote_units": 91502.87923856785, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9053.159782262388, "return_pct": -9.468402177376124, "cagr_pct": -9.478686302105578, "max_drawdown_pct": 39.019696950661476, "mean_exposure_while_solvent": 1.151664651531235, "realized_annual_volatility_pct": 50.809385223887006, "trading_costs_quote_units": 66.8459335820954, "borrowing_costs_quote_units": 349.78209595975056, "price_pnl_quote_units": -530.2121881957653, "turnover_quote_units": 111409.88930349232, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8881.12986368457, "return_pct": -11.188701363154308, "cagr_pct": -11.200735747277667, "max_drawdown_pct": 39.019696950661476, "mean_exposure_while_solvent": 1.1612934497015366, "realized_annual_volatility_pct": 51.06404428666503, "trading_costs_quote_units": 66.38499727083153, "borrowing_costs_quote_units": 367.90803093455435, "price_pnl_quote_units": -684.5771081100535, "turnover_quote_units": 110641.66211805254, "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": 1, "trace": "reference-2025-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8030.72698850742, "return_pct": -19.692730114925794, "cagr_pct": -19.712842020717982, "max_drawdown_pct": 41.827878159666184, "mean_exposure_while_solvent": 1.1969823050174724, "realized_annual_volatility_pct": 53.44713042799316, "trading_costs_quote_units": 65.13242446708985, "borrowing_costs_quote_units": 420.846556403185, "price_pnl_quote_units": -1483.2940306223013, "turnover_quote_units": 108554.04077848306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9323.384995697588, "return_pct": -6.766150043024122, "cagr_pct": -6.773609659350221, "max_drawdown_pct": 39.40239044053912, "mean_exposure_while_solvent": 1.130975847369934, "realized_annual_volatility_pct": 49.7189357346648, "trading_costs_quote_units": 56.55076009876748, "borrowing_costs_quote_units": 320.4879464326283, "price_pnl_quote_units": -299.5762977710111, "turnover_quote_units": 94251.26683127916, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9146.220204590954, "return_pct": -8.537797954090454, "cagr_pct": -8.547119645045942, "max_drawdown_pct": 39.402390440539094, "mean_exposure_while_solvent": 1.1406046455402357, "realized_annual_volatility_pct": 49.97920303351416, "trading_costs_quote_units": 56.07497008004546, "borrowing_costs_quote_units": 339.41552988299435, "price_pnl_quote_units": -458.28929544601243, "turnover_quote_units": 93458.2834667424, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8594.961629931648, "return_pct": -14.050383700683522, "cagr_pct": -14.065244839735486, "max_drawdown_pct": 42.19294837426727, "mean_exposure_while_solvent": 1.1653240185355835, "realized_annual_volatility_pct": 51.50164425047464, "trading_costs_quote_units": 56.114754549024866, "borrowing_costs_quote_units": 389.1795863908548, "price_pnl_quote_units": -959.7440291284742, "turnover_quote_units": 93524.59091504142, "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": 1, "trace": "reference-2025-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9193.083729244325, "return_pct": -8.069162707556753, "cagr_pct": -8.077995629266958, "max_drawdown_pct": 39.72833231671018, "mean_exposure_while_solvent": 1.1145527574615457, "realized_annual_volatility_pct": 49.4944244232913, "trading_costs_quote_units": 55.812800191046364, "borrowing_costs_quote_units": 278.1170814392445, "price_pnl_quote_units": -472.98638912539224, "turnover_quote_units": 93021.33365174395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9018.39494837031, "return_pct": -9.816050516296892, "cagr_pct": -9.826691380126562, "max_drawdown_pct": 39.728332316710244, "mean_exposure_while_solvent": 1.1241815556318475, "realized_annual_volatility_pct": 49.75584125274511, "trading_costs_quote_units": 55.35103303129205, "borrowing_costs_quote_units": 297.84980438015253, "price_pnl_quote_units": -628.4042142182385, "turnover_quote_units": 92251.72171882003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8474.840623879218, "return_pct": -15.251593761207827, "cagr_pct": -15.267609197614163, "max_drawdown_pct": 42.50388042257393, "mean_exposure_while_solvent": 1.1489009286271952, "realized_annual_volatility_pct": 51.28483540133285, "trading_costs_quote_units": 55.39858291867478, "borrowing_costs_quote_units": 347.8824908518013, "price_pnl_quote_units": -1121.8783023503047, "turnover_quote_units": 92330.9715311246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7750.467375938105, "return_pct": -22.49532624061895, "cagr_pct": -22.517879681622787, "max_drawdown_pct": 45.14809886128075, "mean_exposure_while_solvent": 1.35864603852635, "realized_annual_volatility_pct": 62.833615732727125, "trading_costs_quote_units": 67.83499215208751, "borrowing_costs_quote_units": 708.3470770049998, "price_pnl_quote_units": -1473.350554904799, "turnover_quote_units": 113058.32025347915, "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": 1, "trace": "reference-2025-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8433.360286889912, "return_pct": -15.666397131100872, "cagr_pct": -15.682806663783838, "max_drawdown_pct": 42.392285022260545, "mean_exposure_while_solvent": 1.1408077994271741, "realized_annual_volatility_pct": 50.105336374364306, "trading_costs_quote_units": 54.5148858472618, "borrowing_costs_quote_units": 328.3822494751459, "price_pnl_quote_units": -1183.7425777876974, "turnover_quote_units": 90858.14307876973, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9254.703714520087, "return_pct": -7.452962854799139, "cagr_pct": -7.4611489483893765, "max_drawdown_pct": 38.1937752049035, "mean_exposure_while_solvent": 1.1507637440289276, "realized_annual_volatility_pct": 50.910733266889586, "trading_costs_quote_units": 67.142436152557, "borrowing_costs_quote_units": 88.03716532459383, "price_pnl_quote_units": -590.1166840027723, "turnover_quote_units": 111904.0602542616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9164.191351686814, "return_pct": -8.358086483131865, "cagr_pct": -8.367221065413796, "max_drawdown_pct": 38.193775204903524, "mean_exposure_while_solvent": 1.1603639471575593, "realized_annual_volatility_pct": 51.158833529643644, "trading_costs_quote_units": 66.996569416504, "borrowing_costs_quote_units": 92.98592637811886, "price_pnl_quote_units": -675.8261525185547, "turnover_quote_units": 111660.94902750665, "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": 1, "trace": "reference-2025-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8156.353284963116, "return_pct": -18.43646715036884, "cagr_pct": -18.455448110871426, "max_drawdown_pct": 41.14122226208785, "mean_exposure_while_solvent": 1.1961610164238907, "realized_annual_volatility_pct": 53.75235486105544, "trading_costs_quote_units": 65.28467578235788, "borrowing_costs_quote_units": 105.35980524920936, "price_pnl_quote_units": -1673.0022340053101, "turnover_quote_units": 108807.7929705965, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9436.045163253362, "return_pct": -5.639548367466373, "cagr_pct": -5.645803812459492, "max_drawdown_pct": 38.5314886617023, "mean_exposure_while_solvent": 1.1302235112940506, "realized_annual_volatility_pct": 49.80441588231114, "trading_costs_quote_units": 56.390954085846424, "borrowing_costs_quote_units": 80.10070484952185, "price_pnl_quote_units": -427.4631778112754, "turnover_quote_units": 93984.92347641067, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9343.759254393037, "return_pct": -6.56240745606963, "cagr_pct": -6.569650448961388, "max_drawdown_pct": 38.531488661702305, "mean_exposure_while_solvent": 1.1398237144226824, "realized_annual_volatility_pct": 50.058017102302884, "trading_costs_quote_units": 56.242332460811554, "borrowing_costs_quote_units": 85.20799562426966, "price_pnl_quote_units": -514.790417521874, "turnover_quote_units": 93737.22076801927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8688.576848008883, "return_pct": -13.114231519911169, "cagr_pct": -13.128179747201418, "max_drawdown_pct": 41.63589227432786, "mean_exposure_while_solvent": 1.1645794031979169, "realized_annual_volatility_pct": 51.57713589181875, "trading_costs_quote_units": 56.04551395528737, "borrowing_costs_quote_units": 97.14590915233548, "price_pnl_quote_units": -1158.23172888349, "turnover_quote_units": 93409.18992547896, "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": 1, "trace": "reference-2025-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9341.87488206246, "return_pct": -6.581251179375391, "cagr_pct": -6.588514228645856, "max_drawdown_pct": 38.78432063919678, "mean_exposure_while_solvent": 1.113807533447922, "realized_annual_volatility_pct": 49.58324859373982, "trading_costs_quote_units": 55.87506446531489, "borrowing_costs_quote_units": 69.61549844613228, "price_pnl_quote_units": -532.6345550260954, "turnover_quote_units": 93125.10744219145, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9250.509972395865, "return_pct": -7.494900276041349, "cagr_pct": -7.503130540664249, "max_drawdown_pct": 38.784320639196814, "mean_exposure_while_solvent": 1.123407736576554, "realized_annual_volatility_pct": 49.83796617229238, "trading_costs_quote_units": 55.73148831660816, "borrowing_costs_quote_units": 74.82533608090297, "price_pnl_quote_units": -618.9332032066143, "turnover_quote_units": 92885.81386101356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8601.866185780174, "return_pct": -13.981338142198252, "cagr_pct": -13.996132346390553, "max_drawdown_pct": 41.87595523420284, "mean_exposure_while_solvent": 1.1481634253517885, "realized_annual_volatility_pct": 51.363528478283705, "trading_costs_quote_units": 55.5456519161464, "borrowing_costs_quote_units": 86.93277367935657, "price_pnl_quote_units": -1255.6553886243205, "turnover_quote_units": 92576.08652691061, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7992.425568757551, "return_pct": -20.075744312424483, "cagr_pct": -20.0961965726054, "max_drawdown_pct": 44.86980006111101, "mean_exposure_while_solvent": 1.3573697267778775, "realized_annual_volatility_pct": 62.86354328202759, "trading_costs_quote_units": 68.59015646875619, "borrowing_costs_quote_units": 178.7271019339481, "price_pnl_quote_units": -1760.2571728397322, "turnover_quote_units": 114316.92744792708, "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": 1, "trace": "reference-2025-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8404.120146668625, "return_pct": -15.958798533313745, "cagr_pct": -15.975484469796458, "max_drawdown_pct": 42.67101785367786, "mean_exposure_while_solvent": 1.1398498978279359, "realized_annual_volatility_pct": 50.1637668934339, "trading_costs_quote_units": 54.35507496451098, "borrowing_costs_quote_units": 81.7852411643408, "price_pnl_quote_units": -1459.7395372025112, "turnover_quote_units": 90591.79160751826, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9184.639598320195, "return_pct": -8.153604016798056, "cagr_pct": -8.162525209804977, "max_drawdown_pct": 38.21423382123689, "mean_exposure_while_solvent": 1.1507767666485647, "realized_annual_volatility_pct": 50.91133498055359, "trading_costs_quote_units": 66.9033696670023, "borrowing_costs_quote_units": 175.37945199012472, "price_pnl_quote_units": -573.0775800226595, "turnover_quote_units": 111505.61611167048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9090.435445683117, "return_pct": -9.095645543168828, "cagr_pct": -9.105545468532968, "max_drawdown_pct": 38.21423382123687, "mean_exposure_while_solvent": 1.1603777929757124, "realized_annual_volatility_pct": 51.15951034816892, "trading_costs_quote_units": 66.74343411433952, "borrowing_costs_quote_units": 185.19348181648326, "price_pnl_quote_units": -657.6276383860579, "turnover_quote_units": 111239.05685723246, "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": 1, "trace": "reference-2025-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8076.122034831669, "return_pct": -19.238779651683313, "cagr_pct": -19.25848546439469, "max_drawdown_pct": 41.292919053486955, "mean_exposure_while_solvent": 1.1961779470009974, "realized_annual_volatility_pct": 53.75390667835009, "trading_costs_quote_units": 64.9978841804399, "borrowing_costs_quote_units": 209.65333809489186, "price_pnl_quote_units": -1649.2267428930122, "turnover_quote_units": 108329.80696739984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9374.269777438389, "return_pct": -6.257302225616113, "cagr_pct": -6.26421987468354, "max_drawdown_pct": 38.634770008926736, "mean_exposure_while_solvent": 1.1302347777906354, "realized_annual_volatility_pct": 49.80479652609927, "trading_costs_quote_units": 56.195794410450276, "borrowing_costs_quote_units": 159.66304408310023, "price_pnl_quote_units": -409.87138406807225, "turnover_quote_units": 93659.65735075048, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9278.12064371118, "return_pct": -7.218793562888203, "cagr_pct": -7.226732616108563, "max_drawdown_pct": 38.63477000892676, "mean_exposure_while_solvent": 1.1398358041177832, "realized_annual_volatility_pct": 50.05847738564534, "trading_costs_quote_units": 56.03258360318987, "borrowing_costs_quote_units": 169.8023985863762, "price_pnl_quote_units": -496.0443740992551, "turnover_quote_units": 93387.6393386498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8616.782856946886, "return_pct": -13.832171430531147, "cagr_pct": -13.846820811759915, "max_drawdown_pct": 41.77845187544374, "mean_exposure_while_solvent": 1.1645936232754683, "realized_annual_volatility_pct": 51.5781592059117, "trading_costs_quote_units": 55.81601528580262, "borrowing_costs_quote_units": 193.47666849269584, "price_pnl_quote_units": -1133.9244592746097, "turnover_quote_units": 93026.69214300436, "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": 1, "trace": "reference-2025-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9288.322317375498, "return_pct": -7.116776826245019, "cagr_pct": -7.124608043987622, "max_drawdown_pct": 38.86631261997423, "mean_exposure_while_solvent": 1.1138173988319653, "realized_annual_volatility_pct": 49.58368198674986, "trading_costs_quote_units": 55.7023352538104, "borrowing_costs_quote_units": 138.82257888746588, "price_pnl_quote_units": -517.1527684832387, "turnover_quote_units": 92837.2254230174, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9193.054721520284, "return_pct": -8.06945278479716, "cagr_pct": -8.078286009893413, "max_drawdown_pct": 38.866312619974316, "mean_exposure_while_solvent": 1.123418425159113, "realized_annual_volatility_pct": 49.8384796110467, "trading_costs_quote_units": 55.544185712287806, "borrowing_costs_quote_units": 149.17568792550654, "price_pnl_quote_units": -602.2254048419277, "turnover_quote_units": 92573.64285381301, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8537.780372694688, "return_pct": -14.622196273053124, "cagr_pct": -14.637609302797022, "max_drawdown_pct": 41.99813278063957, "mean_exposure_while_solvent": 1.1481762443167982, "realized_annual_volatility_pct": 51.36460994180656, "trading_costs_quote_units": 55.338432689333196, "borrowing_costs_quote_units": 173.21042340636572, "price_pnl_quote_units": -1233.6707712096193, "turnover_quote_units": 92230.72114888862, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7850.461897105057, "return_pct": -21.495381028949435, "cagr_pct": -21.5170764277235, "max_drawdown_pct": 45.02632676014514, "mean_exposure_while_solvent": 1.3574004154424442, "realized_annual_volatility_pct": 62.86557911414874, "trading_costs_quote_units": 68.08434923239652, "borrowing_costs_quote_units": 354.3163148602217, "price_pnl_quote_units": -1727.137438802346, "turnover_quote_units": 113473.91538732774, "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": 1, "trace": "reference-2025-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8344.894099626164, "return_pct": -16.551059003738356, "cagr_pct": -16.56830122975689, "max_drawdown_pct": 42.849822494350995, "mean_exposure_while_solvent": 1.1398619991610728, "realized_annual_volatility_pct": 50.16488458965623, "trading_costs_quote_units": 54.1631259581603, "borrowing_costs_quote_units": 162.99574064846288, "price_pnl_quote_units": -1437.9470337672265, "turnover_quote_units": 90271.87659693381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9046.0581388039, "return_pct": -9.539418611960993, "cagr_pct": -9.549775734389382, "max_drawdown_pct": 38.37093843576531, "mean_exposure_while_solvent": 1.150802817540641, "realized_annual_volatility_pct": 50.91257433551936, "trading_costs_quote_units": 66.43316374882254, "borrowing_costs_quote_units": 347.9999438610376, "price_pnl_quote_units": -539.5087535862228, "turnover_quote_units": 110721.93958137088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8944.657266482776, "return_pct": -10.553427335172238, "cagr_pct": -10.564819779193629, "max_drawdown_pct": 38.370938435765304, "mean_exposure_while_solvent": 1.1604054906226258, "realized_annual_volatility_pct": 51.1609010108494, "trading_costs_quote_units": 66.24560223060739, "borrowing_costs_quote_units": 367.29800193755864, "price_pnl_quote_units": -621.7991293490525, "turnover_quote_units": 110409.33705101229, "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": 1, "trace": "reference-2025-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7917.9739782889465, "return_pct": -20.82026021711053, "cagr_pct": -20.841368057461253, "max_drawdown_pct": 41.61742970245202, "mean_exposure_while_solvent": 1.1962118155166994, "realized_annual_volatility_pct": 53.7570494239473, "trading_costs_quote_units": 64.43391706794567, "borrowing_costs_quote_units": 415.0827378896915, "price_pnl_quote_units": -1602.5093667534086, "turnover_quote_units": 107389.86177990946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9251.893453446588, "return_pct": -7.481065465534121, "cagr_pct": -7.489281160898553, "max_drawdown_pct": 38.864122252486155, "mean_exposure_while_solvent": 1.1302573156752662, "realized_annual_volatility_pct": 49.80559118353726, "trading_costs_quote_units": 55.81235697154305, "borrowing_costs_quote_units": 317.1861806542806, "price_pnl_quote_units": -375.1080089275844, "turnover_quote_units": 93020.59495257173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9148.18529101755, "return_pct": -8.518147089824502, "cagr_pct": -8.527448340699488, "max_drawdown_pct": 38.86412225248611, "mean_exposure_while_solvent": 1.139859988757251, "realized_annual_volatility_pct": 50.05943272895554, "trading_costs_quote_units": 55.62040654034414, "borrowing_costs_quote_units": 337.16707066237416, "price_pnl_quote_units": -459.0272317797448, "turnover_quote_units": 92700.67756724021, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8474.928472231486, "return_pct": -15.250715277685146, "cagr_pct": -15.266729876995205, "max_drawdown_pct": 42.084633617593695, "mean_exposure_while_solvent": 1.1646220696110983, "realized_annual_volatility_pct": 51.58024324523534, "trading_costs_quote_units": 55.3649271665065, "borrowing_costs_quote_units": 383.7186980984929, "price_pnl_quote_units": -1085.9879025035254, "turnover_quote_units": 92274.87861084423, "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": 1, "trace": "reference-2025-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9182.104604110718, "return_pct": -8.178953958892821, "cagr_pct": -8.187901634315677, "max_drawdown_pct": 39.05319366036552, "mean_exposure_while_solvent": 1.1138371338857391, "realized_annual_volatility_pct": 49.58457943325531, "trading_costs_quote_units": 55.36310430621327, "borrowing_costs_quote_units": 276.0204167985668, "price_pnl_quote_units": -486.5118747845089, "turnover_quote_units": 92271.84051035548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9079.178732718541, "return_pct": -9.208212672814586, "cagr_pct": -9.21822880535074, "max_drawdown_pct": 39.053193660365515, "mean_exposure_while_solvent": 1.1234398069677236, "realized_annual_volatility_pct": 49.839538792505564, "trading_costs_quote_units": 55.176189727256094, "borrowing_costs_quote_units": 296.4627502664169, "price_pnl_quote_units": -569.1823272877924, "turnover_quote_units": 91960.3162120935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8411.000422340185, "return_pct": -15.889995776598154, "cagr_pct": -15.906616779079288, "max_drawdown_pct": 42.2637451354654, "mean_exposure_while_solvent": 1.1482018878215712, "realized_annual_volatility_pct": 51.36680843319398, "trading_costs_quote_units": 54.93112631100308, "borrowing_costs_quote_units": 343.8190496400528, "price_pnl_quote_units": -1190.2494017087672, "turnover_quote_units": 91551.87718500514, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7573.977649862448, "return_pct": -24.26022350137552, "cagr_pct": -24.284255278276685, "max_drawdown_pct": 45.33813369417702, "mean_exposure_while_solvent": 1.357461806089502, "realized_annual_volatility_pct": 62.86967913461468, "trading_costs_quote_units": 67.09215378733776, "borrowing_costs_quote_units": 696.2953816768184, "price_pnl_quote_units": -1662.6348146734058, "turnover_quote_units": 111820.2563122297, "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": 1, "trace": "reference-2025-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8227.656339497697, "return_pct": -17.723436605023036, "cagr_pct": -17.741765801061543, "max_drawdown_pct": 43.20586581833786, "mean_exposure_while_solvent": 1.139886207087436, "realized_annual_volatility_pct": 50.16715560456626, "trading_costs_quote_units": 53.786570277210124, "borrowing_costs_quote_units": 323.7077956158137, "price_pnl_quote_units": -1394.8492946092592, "turnover_quote_units": 89644.28379535027, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9040.559900681665, "return_pct": -9.59440099318335, "cagr_pct": -9.604814588154584, "max_drawdown_pct": 39.083204617674674, "mean_exposure_while_solvent": 1.1516256188752496, "realized_annual_volatility_pct": 50.81554678323384, "trading_costs_quote_units": 333.58033397230975, "borrowing_costs_quote_units": 87.25985451007026, "price_pnl_quote_units": -538.5999108359374, "turnover_quote_units": 111193.44465743656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8880.502008240903, "return_pct": -11.194979917590974, "cagr_pct": -11.207020620286617, "max_drawdown_pct": 39.08320461767456, "mean_exposure_while_solvent": 1.161251938020158, "realized_annual_volatility_pct": 51.06780942291868, "trading_costs_quote_units": 331.5156371014316, "borrowing_costs_quote_units": 91.85226940169396, "price_pnl_quote_units": -696.1300852559754, "turnover_quote_units": 110505.21236714395, "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": 1, "trace": "reference-2025-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8067.051675187787, "return_pct": -19.329483248122138, "cagr_pct": -19.34927043576995, "max_drawdown_pct": 41.7737406704837, "mean_exposure_while_solvent": 1.196931611607292, "realized_annual_volatility_pct": 53.44574637976811, "trading_costs_quote_units": 325.7845811161869, "borrowing_costs_quote_units": 105.30523828730824, "price_pnl_quote_units": -1501.8585054087057, "turnover_quote_units": 108594.86037206228, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9330.10112010958, "return_pct": -6.6989887989041925, "cagr_pct": -6.70637706416064, "max_drawdown_pct": 39.48863816144957, "mean_exposure_while_solvent": 1.1309421471074266, "realized_annual_volatility_pct": 49.72777965405436, "trading_costs_quote_units": 282.8826355361122, "borrowing_costs_quote_units": 80.15163280114449, "price_pnl_quote_units": -306.8646115531582, "turnover_quote_units": 94294.21184537074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9164.917067578559, "return_pct": -8.350829324214414, "cagr_pct": -8.35995634215256, "max_drawdown_pct": 39.48863816144954, "mean_exposure_while_solvent": 1.140568466252335, "realized_annual_volatility_pct": 49.98558388599491, "trading_costs_quote_units": 280.74725690535126, "borrowing_costs_quote_units": 84.95627175826658, "price_pnl_quote_units": -469.37940375781903, "turnover_quote_units": 93582.41896845041, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8640.267336900912, "return_pct": -13.59732663099088, "cagr_pct": -13.611747408092176, "max_drawdown_pct": 42.161267271523016, "mean_exposure_while_solvent": 1.1652814816794608, "realized_annual_volatility_pct": 51.49797610813403, "trading_costs_quote_units": 281.1938779091771, "borrowing_costs_quote_units": 97.53766171560368, "price_pnl_quote_units": -981.0011234743121, "turnover_quote_units": 93731.2926363924, "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": 1, "trace": "reference-2025-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9178.753422533702, "return_pct": -8.21246577466298, "cagr_pct": -8.221448446715343, "max_drawdown_pct": 39.872902107880236, "mean_exposure_while_solvent": 1.1145232657562498, "realized_annual_volatility_pct": 49.50041218607975, "trading_costs_quote_units": 278.9335197096142, "borrowing_costs_quote_units": 69.49378511043317, "price_pnl_quote_units": -472.81927264625403, "turnover_quote_units": 92977.83990320476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9016.24889359036, "return_pct": -9.837511064096393, "cagr_pct": -9.848173899504335, "max_drawdown_pct": 39.87290210788025, "mean_exposure_while_solvent": 1.1241495849011582, "realized_annual_volatility_pct": 49.75936751374362, "trading_costs_quote_units": 276.868057894088, "borrowing_costs_quote_units": 74.48711510639232, "price_pnl_quote_units": -632.3959334091544, "turnover_quote_units": 92289.35263136264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8500.109738280511, "return_pct": -14.998902617194886, "cagr_pct": -15.014676838552004, "max_drawdown_pct": 42.528559281147494, "mean_exposure_while_solvent": 1.148862600328284, "realized_annual_volatility_pct": 51.27834595131064, "trading_costs_quote_units": 277.34942185306886, "borrowing_costs_quote_units": 87.10413834046582, "price_pnl_quote_units": -1135.4367015259575, "turnover_quote_units": 92449.80728435637, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7973.67605608337, "return_pct": -20.263239439166302, "cagr_pct": -20.28385754710839, "max_drawdown_pct": 44.812929519798836, "mean_exposure_while_solvent": 1.3585538338788863, "realized_annual_volatility_pct": 62.837699049157045, "trading_costs_quote_units": 342.0228545457499, "borrowing_costs_quote_units": 179.0990782985693, "price_pnl_quote_units": -1505.2020110723117, "turnover_quote_units": 114007.61818191658, "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": 1, "trace": "reference-2025-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8449.41756398666, "return_pct": -15.505824360133392, "cagr_pct": -15.52208161193146, "max_drawdown_pct": 42.403560118695204, "mean_exposure_while_solvent": 1.140771530600253, "realized_annual_volatility_pct": 50.113716849787096, "trading_costs_quote_units": 272.7372049255729, "borrowing_costs_quote_units": 82.18421960362355, "price_pnl_quote_units": -1195.6610114841503, "turnover_quote_units": 90912.40164185752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8972.099858403184, "return_pct": -10.279001415968159, "cagr_pct": -10.290114956923714, "max_drawdown_pct": 39.25011150217599, "mean_exposure_while_solvent": 1.1516386278808282, "realized_annual_volatility_pct": 50.81632025657721, "trading_costs_quote_units": 332.3746665237367, "borrowing_costs_quote_units": 173.8325118241952, "price_pnl_quote_units": -521.6929632488635, "turnover_quote_units": 110791.55550791221, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8809.002021526967, "return_pct": -11.909979784730329, "cagr_pct": -11.922736716158798, "max_drawdown_pct": 39.250111502176054, "mean_exposure_while_solvent": 1.1612657732475757, "realized_annual_volatility_pct": 51.06871184245462, "trading_costs_quote_units": 330.2345584952117, "borrowing_costs_quote_units": 182.93866498008154, "price_pnl_quote_units": -677.8247549977119, "turnover_quote_units": 110078.18616507064, "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": 1, "trace": "reference-2025-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7987.680065560306, "return_pct": -20.123199344396948, "cagr_pct": -20.143693628229517, "max_drawdown_pct": 41.977652436407084, "mean_exposure_while_solvent": 1.196948506966766, "realized_annual_volatility_pct": 53.4474524782097, "trading_costs_quote_units": 324.3307594495678, "borrowing_costs_quote_units": 209.54578530448538, "price_pnl_quote_units": -1478.443389685618, "turnover_quote_units": 108110.25314985595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9269.014574548755, "return_pct": -7.309854254512449, "cagr_pct": -7.317889453944367, "max_drawdown_pct": 39.646291724121774, "mean_exposure_while_solvent": 1.1309533789065453, "realized_annual_volatility_pct": 49.728285942482806, "trading_costs_quote_units": 281.8951714788475, "borrowing_costs_quote_units": 159.76540349335426, "price_pnl_quote_units": -289.3248504790375, "turnover_quote_units": 93965.05715961584, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9100.519322496133, "return_pct": -8.994806775038667, "cagr_pct": -9.004602465522249, "max_drawdown_pct": 39.646291724121774, "mean_exposure_while_solvent": 1.1405805242732932, "realized_annual_volatility_pct": 49.9862263375991, "trading_costs_quote_units": 279.6793510378753, "borrowing_costs_quote_units": 169.30277940486823, "price_pnl_quote_units": -450.49854706112825, "turnover_quote_units": 93226.45034595847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8568.857920710812, "return_pct": -14.311420792891871, "cagr_pct": -14.326534415780815, "max_drawdown_pct": 42.35604500804745, "mean_exposure_while_solvent": 1.165295658582459, "realized_annual_volatility_pct": 51.499135815236365, "trading_costs_quote_units": 280.0276203847076, "borrowing_costs_quote_units": 194.2582521154798, "price_pnl_quote_units": -956.8562067889911, "turnover_quote_units": 93342.54012823582, "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": 1, "trace": "reference-2025-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9126.120975094962, "return_pct": -8.738790249050377, "cagr_pct": -8.748320727183517, "max_drawdown_pct": 40.009084888721844, "mean_exposure_while_solvent": 1.1145330949051935, "realized_annual_volatility_pct": 49.50100571458889, "trading_costs_quote_units": 278.056292707353, "borrowing_costs_quote_units": 138.5809156136428, "price_pnl_quote_units": -457.24181658404785, "turnover_quote_units": 92685.43090245106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8960.223290762502, "return_pct": -10.397767092374977, "cagr_pct": -10.409001454575016, "max_drawdown_pct": 40.00908488872188, "mean_exposure_while_solvent": 1.1241602402719413, "realized_annual_volatility_pct": 49.76009801408995, "trading_costs_quote_units": 275.9102566907119, "borrowing_costs_quote_units": 148.50339024262993, "price_pnl_quote_units": -615.3630623041468, "turnover_quote_units": 91970.08556357068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8436.758122868163, "return_pct": -15.632418771318369, "cagr_pct": -15.648796109395818, "max_drawdown_pct": 42.70254953028818, "mean_exposure_while_solvent": 1.148875374581107, "realized_annual_volatility_pct": 51.27959580930982, "trading_costs_quote_units": 276.2948456776502, "borrowing_costs_quote_units": 173.55362187449816, "price_pnl_quote_units": -1113.3934095796908, "turnover_quote_units": 92098.28189255005, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7831.8268259521155, "return_pct": -21.68173174047885, "cagr_pct": -21.70358815416724, "max_drawdown_pct": 44.97083809347683, "mean_exposure_while_solvent": 1.3585845643132881, "realized_annual_volatility_pct": 62.84026684889513, "trading_costs_quote_units": 339.5761341503836, "borrowing_costs_quote_units": 355.0545426607957, "price_pnl_quote_units": -1473.5424972366884, "turnover_quote_units": 113192.04471679436, "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": 1, "trace": "reference-2025-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8389.863438438026, "return_pct": -16.101365615619745, "cagr_pct": -16.118185897679197, "max_drawdown_pct": 42.58192096965821, "mean_exposure_while_solvent": 1.1407836184608449, "realized_annual_volatility_pct": 50.114909975341796, "trading_costs_quote_units": 271.7710294996273, "borrowing_costs_quote_units": 163.79104730394317, "price_pnl_quote_units": -1174.5744847584153, "turnover_quote_units": 90590.34316654236, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8836.69429000692, "return_pct": -11.633057099930788, "cagr_pct": -11.645537416981036, "max_drawdown_pct": 39.582645967288286, "mean_exposure_while_solvent": 1.151664651531235, "realized_annual_volatility_pct": 50.81790359056344, "trading_costs_quote_units": 329.98317042878983, "borrowing_costs_quote_units": 344.9365746005277, "price_pnl_quote_units": -488.38596496377414, "turnover_quote_units": 109994.39014292987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8667.67777051987, "return_pct": -13.323222294801306, "cagr_pct": -13.337375328752662, "max_drawdown_pct": 39.58264596728823, "mean_exposure_while_solvent": 1.1612934497015366, "realized_annual_volatility_pct": 51.0705537885982, "trading_costs_quote_units": 327.7056498607107, "borrowing_costs_quote_units": 362.8377778784344, "price_pnl_quote_units": -641.7788017410059, "turnover_quote_units": 109235.21662023687, "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": 1, "trace": "reference-2025-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7831.222036793347, "return_pct": -21.68777963206653, "cagr_pct": -21.70964126290468, "max_drawdown_pct": 42.383447546651276, "mean_exposure_while_solvent": 1.1969823050174724, "realized_annual_volatility_pct": 53.4509041584594, "trading_costs_quote_units": 321.4628775607698, "borrowing_costs_quote_units": 414.8737005140444, "price_pnl_quote_units": -1432.441385131835, "turnover_quote_units": 107154.29252025658, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9148.005794511238, "return_pct": -8.519942054887618, "cagr_pct": -8.52924517301718, "max_drawdown_pct": 39.9604540808461, "mean_exposure_while_solvent": 1.130975847369934, "realized_annual_volatility_pct": 49.72933259892394, "trading_costs_quote_units": 279.9343416562424, "borrowing_costs_quote_units": 317.3929223710318, "price_pnl_quote_units": -254.66694146150658, "turnover_quote_units": 93311.44721874743, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8973.03492317712, "return_pct": -10.2696507682288, "cagr_pct": -10.280754789062376, "max_drawdown_pct": 39.960454080846134, "mean_exposure_while_solvent": 1.1406046455402357, "realized_annual_volatility_pct": 49.9875463462481, "trading_costs_quote_units": 277.5711340603005, "borrowing_costs_quote_units": 336.1828755431832, "price_pnl_quote_units": -413.2110672194061, "turnover_quote_units": 92523.71135343346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8427.758371976677, "return_pct": -15.722416280233231, "cagr_pct": -15.738878857068004, "max_drawdown_pct": 42.743741395010225, "mean_exposure_while_solvent": 1.1653240185355835, "realized_annual_volatility_pct": 51.50149299960801, "trading_costs_quote_units": 277.72565988438987, "borrowing_costs_quote_units": 385.274057790306, "price_pnl_quote_units": -909.2419103486442, "turnover_quote_units": 92575.21996146324, "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": 1, "trace": "reference-2025-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9021.731331754298, "return_pct": -9.78268668245702, "cagr_pct": -9.793293376381346, "max_drawdown_pct": 40.28060060190754, "mean_exposure_while_solvent": 1.1145527574615457, "realized_annual_volatility_pct": 49.502224197390795, "trading_costs_quote_units": 276.3128800165522, "borrowing_costs_quote_units": 275.5441234142131, "price_pnl_quote_units": -426.4116648149386, "turnover_quote_units": 92104.29333885072, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8849.175670168876, "return_pct": -11.50824329831125, "cagr_pct": -11.520598615983557, "max_drawdown_pct": 40.280600601907466, "mean_exposure_while_solvent": 1.1241815556318475, "realized_annual_volatility_pct": 49.76159170006732, "trading_costs_quote_units": 274.0189389157169, "borrowing_costs_quote_units": 295.1345046777148, "price_pnl_quote_units": -581.67088623772, "turnover_quote_units": 91339.6463052389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8311.425841743132, "return_pct": -16.88574158256868, "cagr_pct": -16.903296041507275, "max_drawdown_pct": 43.049046702050035, "mean_exposure_while_solvent": 1.1489009286271952, "realized_annual_volatility_pct": 51.282131497448766, "trading_costs_quote_units": 274.21260843729954, "borrowing_costs_quote_units": 344.50715746107414, "price_pnl_quote_units": -1069.8543923584994, "turnover_quote_units": 91404.20281243321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7555.572492112736, "return_pct": -24.444275078872646, "cagr_pct": -24.468458335322392, "max_drawdown_pct": 45.28538672570954, "mean_exposure_while_solvent": 1.35864603852635, "realized_annual_volatility_pct": 62.845430346742916, "trading_costs_quote_units": 334.7646078976396, "borrowing_costs_quote_units": 697.7493092581157, "price_pnl_quote_units": -1411.9135907315297, "turnover_quote_units": 111588.20263254648, "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": 1, "trace": "reference-2025-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8271.971521861038, "return_pct": -17.28028478138962, "cagr_pct": -17.298205339528533, "max_drawdown_pct": 42.93708504910556, "mean_exposure_while_solvent": 1.1408077994271741, "realized_annual_volatility_pct": 50.11733159555568, "trading_costs_quote_units": 269.8636848920861, "borrowing_costs_quote_units": 325.287746805067, "price_pnl_quote_units": -1132.877046441797, "turnover_quote_units": 89954.5616306954, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9034.255782732416, "return_pct": -9.657442172675834, "cagr_pct": -9.66792047035623, "max_drawdown_pct": 38.427673461835866, "mean_exposure_while_solvent": 1.1507637440289276, "realized_annual_volatility_pct": 50.89464670548368, "trading_costs_quote_units": 331.4448675681158, "borrowing_costs_quote_units": 86.81397544199429, "price_pnl_quote_units": -547.4853742574809, "turnover_quote_units": 110481.62252270526, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8945.01707156686, "return_pct": -10.549829284331413, "cagr_pct": -10.561218077822126, "max_drawdown_pct": 38.42767346183585, "mean_exposure_while_solvent": 1.1603639471575593, "realized_annual_volatility_pct": 51.14281400806393, "trading_costs_quote_units": 330.71778798485855, "borrowing_costs_quote_units": 91.69998390882813, "price_pnl_quote_units": -632.5651565394629, "turnover_quote_units": 110239.26266161949, "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": 1, "trace": "reference-2025-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7953.820380403781, "return_pct": -20.46179619596219, "cagr_pct": -20.482589386703356, "max_drawdown_pct": 41.55494261175803, "mean_exposure_while_solvent": 1.1961610164238907, "realized_annual_volatility_pct": 53.73271491517494, "trading_costs_quote_units": 322.20332582036013, "borrowing_costs_quote_units": 103.85018507335938, "price_pnl_quote_units": -1620.126108702514, "turnover_quote_units": 107401.1086067866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9259.310933726696, "return_pct": -7.406890662733034, "cagr_pct": -7.415028205254459, "max_drawdown_pct": 38.94330621983128, "mean_exposure_while_solvent": 1.1302235112940506, "realized_annual_volatility_pct": 49.793862534077576, "trading_costs_quote_units": 279.1436936112731, "borrowing_costs_quote_units": 79.3238548995017, "price_pnl_quote_units": -382.2215177625399, "turnover_quote_units": 93047.8978704244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9167.849169318133, "return_pct": -8.32150830681867, "cagr_pct": -8.330604755934962, "max_drawdown_pct": 38.94330621983133, "mean_exposure_while_solvent": 1.1398237144226824, "realized_annual_volatility_pct": 50.047510895548356, "trading_costs_quote_units": 278.3989600769106, "borrowing_costs_quote_units": 84.392566501955, "price_pnl_quote_units": -469.3593041030057, "turnover_quote_units": 92799.65335897019, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8519.817243370842, "return_pct": -14.801827566291582, "cagr_pct": -14.817413066692223, "max_drawdown_pct": 42.04438629249386, "mean_exposure_while_solvent": 1.1645794031979169, "realized_annual_volatility_pct": 51.571038554296436, "trading_costs_quote_units": 277.3757636476365, "borrowing_costs_quote_units": 96.15899292468839, "price_pnl_quote_units": -1106.6480000568388, "turnover_quote_units": 92458.58788254538, "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": 1, "trace": "reference-2025-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9167.98856119591, "return_pct": -8.320114388040889, "cagr_pct": -8.329209383650902, "max_drawdown_pct": 39.19168983174048, "mean_exposure_while_solvent": 1.113807533447922, "realized_annual_volatility_pct": 49.57408924341148, "trading_costs_quote_units": 276.61168461269614, "borrowing_costs_quote_units": 68.9661919080649, "price_pnl_quote_units": -486.4335622833315, "turnover_quote_units": 92203.8948708987, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9077.428862327797, "return_pct": -9.225711376722035, "cagr_pct": -9.2357455594867, "max_drawdown_pct": 39.191689831740504, "mean_exposure_while_solvent": 1.123407736576554, "realized_annual_volatility_pct": 49.82884729781861, "trading_costs_quote_units": 275.89196179588737, "borrowing_costs_quote_units": 74.13721459382944, "price_pnl_quote_units": -572.541961282478, "turnover_quote_units": 91963.98726529579, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8435.788320510159, "return_pct": -15.642116794898408, "cagr_pct": -15.658503323480048, "max_drawdown_pct": 42.28015445765047, "mean_exposure_while_solvent": 1.1481634253517885, "realized_annual_volatility_pct": 51.358797028947315, "trading_costs_quote_units": 274.9235562499925, "borrowing_costs_quote_units": 86.07559149251752, "price_pnl_quote_units": -1203.2125317473442, "turnover_quote_units": 91641.18541666406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7791.630226439087, "return_pct": -22.08369773560913, "cagr_pct": -22.105899737626203, "max_drawdown_pct": 45.015831104547765, "mean_exposure_while_solvent": 1.3573697267778775, "realized_annual_volatility_pct": 62.858779332454304, "trading_costs_quote_units": 338.46843783117623, "borrowing_costs_quote_units": 176.04915639680559, "price_pnl_quote_units": -1693.8521793329364, "turnover_quote_units": 112822.81261039211, "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": 1, "trace": "reference-2025-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8243.381373182496, "return_pct": -17.566186268175045, "cagr_pct": -17.584370772540037, "max_drawdown_pct": 43.21275205975365, "mean_exposure_while_solvent": 1.1398498978279359, "realized_annual_volatility_pct": 50.1621557727246, "trading_costs_quote_units": 269.0673474888608, "borrowing_costs_quote_units": 81.01007211746482, "price_pnl_quote_units": -1406.541207211187, "turnover_quote_units": 89689.11582962025, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8965.837274886464, "return_pct": -10.341627251135355, "cagr_pct": -10.352804524253646, "max_drawdown_pct": 38.59770305736596, "mean_exposure_while_solvent": 1.1507767666485647, "realized_annual_volatility_pct": 50.895263161203005, "trading_costs_quote_units": 330.2713331155014, "borrowing_costs_quote_units": 172.94425407983078, "price_pnl_quote_units": -530.9471379182221, "turnover_quote_units": 110090.44437183376, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8872.99517259297, "return_pct": -11.27004827407031, "cagr_pct": -11.282164484271915, "max_drawdown_pct": 38.59770305736596, "mean_exposure_while_solvent": 1.1603777929757124, "realized_annual_volatility_pct": 51.14350501509436, "trading_costs_quote_units": 329.4752395384852, "borrowing_costs_quote_units": 182.63396968921464, "price_pnl_quote_units": -614.8956181793317, "turnover_quote_units": 109825.07984616174, "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": 1, "trace": "reference-2025-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7875.540818626918, "return_pct": -21.244591813730818, "cagr_pct": -21.26606972207805, "max_drawdown_pct": 41.760892973441145, "mean_exposure_while_solvent": 1.1961779470009974, "realized_annual_volatility_pct": 53.73427701125762, "trading_costs_quote_units": 320.7960963301438, "borrowing_costs_quote_units": 206.6519786192919, "price_pnl_quote_units": -1597.0111064236671, "turnover_quote_units": 106932.03211004786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9198.681192951364, "return_pct": -8.013188070486354, "cagr_pct": -8.021962429851571, "max_drawdown_pct": 39.103717788107126, "mean_exposure_while_solvent": 1.1302347777906354, "realized_annual_volatility_pct": 49.79425442305176, "trading_costs_quote_units": 278.18161412366976, "borrowing_costs_quote_units": 158.1156804481729, "price_pnl_quote_units": -365.0215124768103, "turnover_quote_units": 92727.20470788995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9103.42796962181, "return_pct": -8.96572030378191, "cagr_pct": -8.97548590445793, "max_drawdown_pct": 39.103717788107204, "mean_exposure_while_solvent": 1.1398358041177832, "realized_annual_volatility_pct": 50.04798210940356, "trading_costs_quote_units": 277.36492841129217, "borrowing_costs_quote_units": 168.17858929528276, "price_pnl_quote_units": -451.028512671617, "turnover_quote_units": 92454.97613709737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8449.386589063153, "return_pct": -15.506134109368464, "cagr_pct": -15.522391655256518, "max_drawdown_pct": 42.24083993842509, "mean_exposure_while_solvent": 1.1645936232754683, "realized_annual_volatility_pct": 51.57207028405464, "trading_costs_quote_units": 276.2445984650257, "borrowing_costs_quote_units": 191.5128197500592, "price_pnl_quote_units": -1082.855992721734, "turnover_quote_units": 92081.53282167524, "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": 1, "trace": "reference-2025-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9115.417466261864, "return_pct": -8.845825337381353, "cagr_pct": -8.855466795196696, "max_drawdown_pct": 39.33075658573733, "mean_exposure_while_solvent": 1.1138173988319653, "realized_annual_volatility_pct": 49.574535780126446, "trading_costs_quote_units": 275.75991335162394, "borrowing_costs_quote_units": 137.52860217917816, "price_pnl_quote_units": -471.2940182073334, "turnover_quote_units": 91919.97111720797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9021.026446783857, "return_pct": -9.789735532161426, "cagr_pct": -9.800349446411388, "max_drawdown_pct": 39.330756585737326, "mean_exposure_while_solvent": 1.123418425159113, "realized_annual_volatility_pct": 49.82937356372541, "trading_costs_quote_units": 274.9683045823034, "borrowing_costs_quote_units": 147.804692190297, "price_pnl_quote_units": -556.2005564435583, "turnover_quote_units": 91656.10152743448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8372.905254305673, "return_pct": -16.27094745694326, "cagr_pct": -16.287927180794718, "max_drawdown_pct": 42.45618264533899, "mean_exposure_while_solvent": 1.1481762443167982, "realized_annual_volatility_pct": 51.3598887709711, "trading_costs_quote_units": 273.90190129510233, "borrowing_costs_quote_units": 171.50385831048519, "price_pnl_quote_units": -1181.68898608874, "turnover_quote_units": 91300.63376503416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7653.220144809561, "return_pct": -23.467798551904384, "cagr_pct": -23.49117231791566, "max_drawdown_pct": 45.1720629534345, "mean_exposure_while_solvent": 1.3574004154424442, "realized_annual_volatility_pct": 62.86083434702999, "trading_costs_quote_units": 335.9861108858814, "borrowing_costs_quote_units": 349.0194563107865, "price_pnl_quote_units": -1661.7742879937773, "turnover_quote_units": 111995.37029529388, "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": 1, "trace": "reference-2025-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8185.250743406935, "return_pct": -18.147492565930655, "cagr_pct": -18.16621023676999, "max_drawdown_pct": 43.390054993074024, "mean_exposure_while_solvent": 1.1398619991610728, "realized_annual_volatility_pct": 50.163288601459996, "trading_costs_quote_units": 268.1209685461554, "borrowing_costs_quote_units": 161.45181012631085, "price_pnl_quote_units": -1385.176477920579, "turnover_quote_units": 89373.65618205171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8830.500151725815, "return_pct": -11.694998482741848, "cagr_pct": -11.707540758460938, "max_drawdown_pct": 38.9364656792515, "mean_exposure_while_solvent": 1.150802817540641, "realized_annual_volatility_pct": 50.89653159985746, "trading_costs_quote_units": 327.96304591252994, "borrowing_costs_quote_units": 343.1737371488716, "price_pnl_quote_units": -498.36306521276964, "turnover_quote_units": 109321.01530417663, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8730.63401539272, "return_pct": -12.693659846072801, "cagr_pct": -12.707194181290967, "max_drawdown_pct": 38.93646567925138, "mean_exposure_while_solvent": 1.1604054906226258, "realized_annual_volatility_pct": 51.14492366228405, "trading_costs_quote_units": 327.0314342664489, "borrowing_costs_quote_units": 362.2278697452342, "price_pnl_quote_units": -580.1066805956091, "turnover_quote_units": 109010.47808881634, "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": 1, "trace": "reference-2025-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7721.231337086326, "return_pct": -22.78768662913674, "cagr_pct": -22.810488163799747, "max_drawdown_pct": 42.170748287264146, "mean_exposure_while_solvent": 1.1962118155166994, "realized_annual_volatility_pct": 53.73743994333684, "trading_costs_quote_units": 318.0286839911941, "borrowing_costs_quote_units": 409.15059717524184, "price_pnl_quote_units": -1551.5893817472374, "turnover_quote_units": 106009.561330398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 153, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9078.563214073285, "return_pct": -9.214367859267147, "cagr_pct": -9.224390341428714, "max_drawdown_pct": 39.42338311089917, "mean_exposure_while_solvent": 1.1302573156752662, "realized_annual_volatility_pct": 49.79507113945439, "trading_costs_quote_units": 276.29127315021765, "borrowing_costs_quote_units": 314.11643910008684, "price_pnl_quote_units": -331.029073676427, "turnover_quote_units": 92097.09105007251, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8975.89167610062, "return_pct": -10.241083238993799, "cagr_pct": -10.252158167630668, "max_drawdown_pct": 39.42338311089919, "mean_exposure_while_solvent": 1.139859988757251, "realized_annual_volatility_pct": 50.048958891519305, "trading_costs_quote_units": 275.33284582987187, "borrowing_costs_quote_units": 333.94725497393347, "price_pnl_quote_units": -414.82822309557724, "turnover_quote_units": 91777.61527662398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8310.216298096062, "return_pct": -16.897837019039375, "cagr_pct": -16.91540273327574, "max_drawdown_pct": 42.63187571841116, "mean_exposure_while_solvent": 1.1646220696110983, "realized_annual_volatility_pct": 51.57417074832147, "trading_costs_quote_units": 274.02113867953165, "borrowing_costs_quote_units": 379.830369097596, "price_pnl_quote_units": -1035.9321941268051, "turnover_quote_units": 91340.37955984393, "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": 1, "trace": "reference-2025-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9011.135388481183, "return_pct": -9.888646115188171, "cagr_pct": -9.89936127976597, "max_drawdown_pct": 39.60803051172588, "mean_exposure_while_solvent": 1.1138371338857391, "realized_annual_volatility_pct": 49.57545908376392, "trading_costs_quote_units": 274.0869737321139, "borrowing_costs_quote_units": 273.4507384789971, "price_pnl_quote_units": -441.32689930770374, "turnover_quote_units": 91362.3245773713, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8909.226407136981, "return_pct": -10.907735928630192, "cagr_pct": -10.919487037612056, "max_drawdown_pct": 39.60803051172586, "mean_exposure_while_solvent": 1.1234398069677236, "realized_annual_volatility_pct": 49.83045797867559, "trading_costs_quote_units": 273.15347533565966, "borrowing_costs_quote_units": 293.74145201804123, "price_pnl_quote_units": -523.8786655093168, "turnover_quote_units": 91051.15844521995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8248.495098169646, "return_pct": -17.515049018303543, "cagr_pct": -17.53318639553259, "max_drawdown_pct": 42.80674311086198, "mean_exposure_while_solvent": 1.1482018878215712, "realized_annual_volatility_pct": 51.36210741502174, "trading_costs_quote_units": 271.8936446694235, "borrowing_costs_quote_units": 340.4366784841071, "price_pnl_quote_units": -1139.1745786768467, "turnover_quote_units": 90631.21488980786, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 116, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7383.647257343488, "return_pct": -26.163527426565125, "cagr_pct": -26.189100754446915, "max_drawdown_pct": 45.48328154801563, "mean_exposure_while_solvent": 1.357461806089502, "realized_annual_volatility_pct": 62.86497267268394, "trading_costs_quote_units": 331.11647600805605, "borrowing_costs_quote_units": 685.9328061307563, "price_pnl_quote_units": -1599.3034605177218, "turnover_quote_units": 110372.15866935202, "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": 1, "trace": "reference-2025-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8070.170555283497, "return_pct": -19.29829444716502, "cagr_pct": -19.318053666854095, "max_drawdown_pct": 43.74313585830355, "mean_exposure_while_solvent": 1.139886207087436, "realized_annual_volatility_pct": 50.165589776386234, "trading_costs_quote_units": 266.2643013287876, "borrowing_costs_quote_units": 320.64520672105647, "price_pnl_quote_units": -1342.9199366666733, "turnover_quote_units": 88754.76710959588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2025-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2025-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9255.264932191754, "return_pct": -7.447350678082454, "cagr_pct": -7.455530858939663, "max_drawdown_pct": 38.48258030635113, "mean_exposure_while_solvent": 1.1515587408817611, "realized_annual_volatility_pct": 50.447915511714804, "trading_costs_quote_units": 67.42978568616775, "borrowing_costs_quote_units": 88.3057200772583, "price_pnl_quote_units": -588.9995620448088, "turnover_quote_units": 112382.97614361293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9090.92373626579, "return_pct": -9.09076263734211, "cagr_pct": -9.100657518295966, "max_drawdown_pct": 38.482580306351075, "mean_exposure_while_solvent": 1.1611807932711649, "realized_annual_volatility_pct": 50.701959408308994, "trading_costs_quote_units": 67.00395540337695, "borrowing_costs_quote_units": 92.9369111445911, "price_pnl_quote_units": -749.1353971862349, "turnover_quote_units": 111673.25900562822, "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, "trace": "binance-2025-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8251.916244220878, "return_pct": -17.48083755779122, "cagr_pct": -17.49894338614189, "max_drawdown_pct": 41.262379932761384, "mean_exposure_while_solvent": 1.2200747471948037, "realized_annual_volatility_pct": 53.98583947855569, "trading_costs_quote_units": 66.77641999141403, "borrowing_costs_quote_units": 118.8378236971793, "price_pnl_quote_units": -1562.4695120905383, "turnover_quote_units": 111294.03331902348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9499.205047143134, "return_pct": -5.0079495285686555, "cagr_pct": -5.013523148059292, "max_drawdown_pct": 38.88625379780146, "mean_exposure_while_solvent": 1.1308861938531027, "realized_annual_volatility_pct": 49.3813679861201, "trading_costs_quote_units": 57.001390865402165, "borrowing_costs_quote_units": 80.7359249627047, "price_pnl_quote_units": -363.05763702875106, "turnover_quote_units": 95002.31810900371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9330.532326347904, "return_pct": -6.694676736520955, "cagr_pct": -6.702060418820137, "max_drawdown_pct": 38.88625379780149, "mean_exposure_while_solvent": 1.1405082462425065, "realized_annual_volatility_pct": 49.64091334659217, "trading_costs_quote_units": 56.5633984652488, "borrowing_costs_quote_units": 85.55445165097319, "price_pnl_quote_units": -527.3498235358603, "turnover_quote_units": 94272.3307754147, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8784.619341992637, "return_pct": -12.153806580073635, "cagr_pct": -12.166806243027771, "max_drawdown_pct": 41.647812551523735, "mean_exposure_while_solvent": 1.1884408418207015, "realized_annual_volatility_pct": 52.10896141787947, "trading_costs_quote_units": 57.63032154383896, "borrowing_costs_quote_units": 111.28745397185821, "price_pnl_quote_units": -1046.4628824916588, "turnover_quote_units": 96050.53590639822, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9341.434587076323, "return_pct": -6.585654129236773, "cagr_pct": -6.592921864175078, "max_drawdown_pct": 39.28397277805821, "mean_exposure_while_solvent": 1.1144745654301742, "realized_annual_volatility_pct": 49.15965518998475, "trading_costs_quote_units": 56.20222802239684, "borrowing_costs_quote_units": 69.96627697013331, "price_pnl_quote_units": -532.3969079311549, "turnover_quote_units": 93670.38003732801, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9175.56331888986, "return_pct": -8.244366811101411, "cagr_pct": -8.253382784639195, "max_drawdown_pct": 39.28397277805823, "mean_exposure_while_solvent": 1.124096617819578, "realized_annual_volatility_pct": 49.42033717168549, "trading_costs_quote_units": 55.77842596453196, "borrowing_costs_quote_units": 74.97603501090968, "price_pnl_quote_units": -693.6822201347072, "turnover_quote_units": 92964.04327421998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8638.717297745792, "return_pct": -13.612827022542074, "cagr_pct": -13.627262910647497, "max_drawdown_pct": 42.02755972674972, "mean_exposure_while_solvent": 1.1720292133977728, "realized_annual_volatility_pct": 51.89878676725107, "trading_costs_quote_units": 56.83589206077831, "borrowing_costs_quote_units": 100.52622481519504, "price_pnl_quote_units": -1203.9205853782355, "turnover_quote_units": 94726.48676796384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8183.218761228003, "return_pct": -18.167812387719973, "cagr_pct": -18.18654861046204, "max_drawdown_pct": 44.50861679318253, "mean_exposure_while_solvent": 1.3586111420658684, "realized_annual_volatility_pct": 62.35337666850215, "trading_costs_quote_units": 69.06297624079183, "borrowing_costs_quote_units": 181.36072373623085, "price_pnl_quote_units": -1566.3575387949784, "turnover_quote_units": 115104.96040131971, "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": 0, "trace": "binance-2025-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8605.859326542448, "return_pct": -13.941406734575523, "cagr_pct": -13.95616219913, "max_drawdown_pct": 41.75253925156296, "mean_exposure_while_solvent": 1.1407080123777211, "realized_annual_volatility_pct": 49.76531813763085, "trading_costs_quote_units": 54.93733974290942, "borrowing_costs_quote_units": 82.7143978138502, "price_pnl_quote_units": -1256.4889359007707, "turnover_quote_units": 91562.23290484905, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9185.188774550963, "return_pct": -8.14811225449037, "cagr_pct": -8.157027709343815, "max_drawdown_pct": 38.6510949813232, "mean_exposure_while_solvent": 1.1515717445206635, "realized_annual_volatility_pct": 50.448663412997895, "trading_costs_quote_units": 67.18475061336687, "borrowing_costs_quote_units": 175.91436147353653, "price_pnl_quote_units": -571.7121133621338, "turnover_quote_units": 111974.58435561146, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9017.736983809458, "return_pct": -9.82263016190542, "cagr_pct": -9.833277762679536, "max_drawdown_pct": 38.65109498132318, "mean_exposure_while_solvent": 1.1611946227552852, "realized_annual_volatility_pct": 50.70284058021246, "trading_costs_quote_units": 66.74361901056795, "borrowing_costs_quote_units": 185.09711059360927, "price_pnl_quote_units": -730.4222865863729, "turnover_quote_units": 111239.36501761328, "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, "trace": "binance-2025-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8161.252332718038, "return_pct": -18.387476672819624, "cagr_pct": -18.406413079537344, "max_drawdown_pct": 41.53603743539676, "mean_exposure_while_solvent": 1.220093622551617, "realized_annual_volatility_pct": 53.98760455546628, "trading_costs_quote_units": 66.46861561192651, "borrowing_costs_quote_units": 236.3423627320906, "price_pnl_quote_units": -1535.9366889379412, "turnover_quote_units": 110781.02601987746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9437.01717100195, "return_pct": -5.62982828998051, "cagr_pct": -5.636073278463234, "max_drawdown_pct": 39.04540820302438, "mean_exposure_while_solvent": 1.1308974212661214, "realized_annual_volatility_pct": 49.381852588369334, "trading_costs_quote_units": 56.80164307914566, "borrowing_costs_quote_units": 160.92896222134073, "price_pnl_quote_units": -345.2522236975619, "turnover_quote_units": 94669.4051319094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9264.974389592717, "return_pct": -7.350256104072828, "cagr_pct": -7.358333928949999, "max_drawdown_pct": 39.04540820302434, "mean_exposure_while_solvent": 1.140520299500743, "realized_annual_volatility_pct": 49.641538270580725, "trading_costs_quote_units": 56.34741281266361, "borrowing_costs_quote_units": 170.49361148170823, "price_pnl_quote_units": -508.18458611292624, "turnover_quote_units": 93912.35468777268, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8701.906410040428, "return_pct": -12.980935899595714, "cagr_pct": -12.994753199676188, "max_drawdown_pct": 41.911808012316534, "mean_exposure_while_solvent": 1.188457000229485, "realized_annual_volatility_pct": 52.11020352998686, "trading_costs_quote_units": 57.38291923862711, "borrowing_costs_quote_units": 221.5219295638387, "price_pnl_quote_units": -1019.188741157094, "turnover_quote_units": 95638.19873104518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9287.874026601236, "return_pct": -7.121259733987639, "cagr_pct": -7.129095693022094, "max_drawdown_pct": 39.42143877472453, "mean_exposure_while_solvent": 1.1144843908123925, "realized_annual_volatility_pct": 49.160228338884934, "trading_costs_quote_units": 56.024824707869264, "borrowing_costs_quote_units": 139.52233002420482, "price_pnl_quote_units": -516.5788186667017, "turnover_quote_units": 93374.70784644876, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9118.55021888102, "return_pct": -8.814497811189792, "cagr_pct": -8.824106801822545, "max_drawdown_pct": 39.42143877472451, "mean_exposure_while_solvent": 1.1241072690470144, "realized_annual_volatility_pct": 49.421051434926724, "trading_costs_quote_units": 55.584756330766275, "borrowing_costs_quote_units": 149.47723570533188, "price_pnl_quote_units": -676.38778908289, "turnover_quote_units": 92641.26055127702, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8564.380997003982, "return_pct": -14.356190029960182, "cagr_pct": -14.371346863910118, "max_drawdown_pct": 42.27015568388994, "mean_exposure_while_solvent": 1.172043969775756, "realized_annual_volatility_pct": 51.90011728955296, "trading_costs_quote_units": 56.6121042316003, "borrowing_costs_quote_units": 200.18833736203095, "price_pnl_quote_units": -1178.8185614023917, "turnover_quote_units": 94353.5070526672, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8037.69688989669, "return_pct": -19.623031101033106, "cagr_pct": -19.64308084597116, "max_drawdown_pct": 44.66720956921918, "mean_exposure_while_solvent": 1.358641888508587, "realized_annual_volatility_pct": 62.355906914331904, "trading_costs_quote_units": 68.56625415517394, "borrowing_costs_quote_units": 359.5258221224886, "price_pnl_quote_units": -1534.211033825644, "turnover_quote_units": 114277.09025862315, "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": 0, "trace": "binance-2025-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8545.240321010493, "return_pct": -14.547596789895067, "cagr_pct": -14.562938066890721, "max_drawdown_pct": 41.932675989738556, "mean_exposure_while_solvent": 1.1407200949163492, "realized_annual_volatility_pct": 49.76649633677694, "trading_costs_quote_units": 54.742003315496994, "borrowing_costs_quote_units": 164.846667273354, "price_pnl_quote_units": -1235.1710084006588, "turnover_quote_units": 91236.67219249503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9046.586188465639, "return_pct": -9.534138115343616, "cagr_pct": -9.544489812149374, "max_drawdown_pct": 38.98683518422138, "mean_exposure_while_solvent": 1.1515977574356013, "realized_annual_volatility_pct": 50.450195755004415, "trading_costs_quote_units": 66.69920049318254, "borrowing_costs_quote_units": 349.0610637708492, "price_pnl_quote_units": -537.6535472703295, "turnover_quote_units": 111165.33415530427, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8873.08513753725, "return_pct": -11.269148624627501, "cagr_pct": -11.281263930346453, "max_drawdown_pct": 38.98683518422139, "mean_exposure_while_solvent": 1.1612222877203708, "realized_annual_volatility_pct": 50.70464051039134, "trading_costs_quote_units": 66.23002308557982, "borrowing_costs_quote_units": 367.11182541775577, "price_pnl_quote_units": -693.5730139593969, "turnover_quote_units": 110383.37180929964, "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, "trace": "binance-2025-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7982.851895502002, "return_pct": -20.171481044979977, "cagr_pct": -20.19201805144365, "max_drawdown_pct": 42.07968438045121, "mean_exposure_while_solvent": 1.2201313814562134, "realized_annual_volatility_pct": 53.99117534511683, "trading_costs_quote_units": 65.8618351933734, "borrowing_costs_quote_units": 467.40863267540965, "price_pnl_quote_units": -1483.8776366291997, "turnover_quote_units": 109769.72532228893, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9313.826277070739, "return_pct": -6.861737229292608, "cagr_pct": -6.869298300578714, "max_drawdown_pct": 39.36256403194358, "mean_exposure_while_solvent": 1.1309198809556371, "realized_annual_volatility_pct": 49.382856005193574, "trading_costs_quote_units": 56.40549935887216, "borrowing_costs_quote_units": 319.7000796107191, "price_pnl_quote_units": -310.0681439596738, "turnover_quote_units": 94009.16559812028, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9135.199929676135, "return_pct": -8.648000703238646, "cagr_pct": -8.657436933428963, "max_drawdown_pct": 39.36256403194353, "mean_exposure_while_solvent": 1.1405444112404066, "realized_annual_volatility_pct": 49.64282368981978, "trading_costs_quote_units": 55.921346598578396, "borrowing_costs_quote_units": 338.5427369814821, "price_pnl_quote_units": -470.335986743807, "turnover_quote_units": 93202.24433096401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8538.763522150648, "return_pct": -14.612364778493525, "cagr_pct": -14.627768356176762, "max_drawdown_pct": 42.43636696712155, "mean_exposure_while_solvent": 1.1884893240541166, "realized_annual_volatility_pct": 52.11272767218471, "trading_costs_quote_units": 56.89496780639938, "borrowing_costs_quote_units": 438.8699269309656, "price_pnl_quote_units": -965.4715831120062, "turnover_quote_units": 94824.94634399892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9181.643184563865, "return_pct": -8.183568154361343, "cagr_pct": -8.192520649251833, "max_drawdown_pct": 39.69551539746314, "mean_exposure_while_solvent": 1.1145040458338862, "realized_annual_volatility_pct": 49.16140617780967, "trading_costs_quote_units": 55.672742853116745, "borrowing_costs_quote_units": 277.41276320048365, "price_pnl_quote_units": -485.27130938253055, "turnover_quote_units": 92787.90475519461, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9005.551926647999, "return_pct": -9.944480733520011, "cagr_pct": -9.955252998692497, "max_drawdown_pct": 39.69551539746311, "mean_exposure_while_solvent": 1.1241285761186557, "realized_annual_volatility_pct": 49.422513098879364, "trading_costs_quote_units": 55.20264335238135, "borrowing_costs_quote_units": 297.066433000164, "price_pnl_quote_units": -642.1789969994556, "turnover_quote_units": 92004.40558730226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8417.580225944926, "return_pct": -15.824197740550739, "cagr_pct": -15.84075658461101, "max_drawdown_pct": 42.75244052657528, "mean_exposure_while_solvent": 1.1720734889323656, "realized_annual_volatility_pct": 51.90281698231942, "trading_costs_quote_units": 56.170577640649476, "borrowing_costs_quote_units": 396.9485346702549, "price_pnl_quote_units": -1129.300661744168, "turnover_quote_units": 93617.62940108243, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7754.293183732092, "return_pct": -22.457068162679082, "cagr_pct": -22.479589044943513, "max_drawdown_pct": 44.98312274676386, "mean_exposure_while_solvent": 1.3587033947473177, "realized_annual_volatility_pct": 62.36099632426957, "trading_costs_quote_units": 67.58920158380218, "borrowing_costs_quote_units": 706.4881365980094, "price_pnl_quote_units": -1471.6294780861133, "turnover_quote_units": 112648.66930633702, "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": 0, "trace": "binance-2025-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8425.246151803474, "return_pct": -15.747538481965261, "cagr_pct": -15.764024833018969, "max_drawdown_pct": 42.29137850509894, "mean_exposure_while_solvent": 1.1407442652365256, "realized_annual_volatility_pct": 49.76888857635924, "trading_costs_quote_units": 54.356225250899925, "borrowing_costs_quote_units": 327.3803317329334, "price_pnl_quote_units": -1193.0172912127016, "turnover_quote_units": 90593.70875149993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9246.247231416193, "return_pct": -7.5375276858380635, "cagr_pct": -7.545802825955461, "max_drawdown_pct": 38.0997528176888, "mean_exposure_while_solvent": 1.1507064402258973, "realized_annual_volatility_pct": 50.55896460213544, "trading_costs_quote_units": 66.97619255275093, "borrowing_costs_quote_units": 87.84011174157577, "price_pnl_quote_units": -598.9364642894504, "turnover_quote_units": 111626.98758791824, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9153.283632394261, "return_pct": -8.467163676057387, "cagr_pct": -8.476411873427695, "max_drawdown_pct": 38.09975281768878, "mean_exposure_while_solvent": 1.160302679274809, "realized_annual_volatility_pct": 50.80481607931632, "trading_costs_quote_units": 66.81750425367778, "borrowing_costs_quote_units": 92.76411326862416, "price_pnl_quote_units": -687.1347500834388, "turnover_quote_units": 111362.50708946292, "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, "trace": "binance-2025-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8020.355164893732, "return_pct": -19.79644835106268, "cagr_pct": -19.81665262962114, "max_drawdown_pct": 41.946693662635205, "mean_exposure_while_solvent": 1.219452945110028, "realized_annual_volatility_pct": 54.35698517031123, "trading_costs_quote_units": 66.34015368039104, "borrowing_costs_quote_units": 117.2125851400555, "price_pnl_quote_units": -1796.09209628582, "turnover_quote_units": 110566.92280065184, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9423.666835395961, "return_pct": -5.763331646040393, "cagr_pct": -5.76972015248614, "max_drawdown_pct": 38.4384359042529, "mean_exposure_while_solvent": 1.1301741613221554, "realized_annual_volatility_pct": 49.47433601959502, "trading_costs_quote_units": 56.23521760719556, "borrowing_costs_quote_units": 79.88425850939997, "price_pnl_quote_units": -440.21368848745254, "turnover_quote_units": 93725.36267865928, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9328.91942457337, "return_pct": -6.710805754266291, "cagr_pct": -6.718206577681929, "max_drawdown_pct": 38.43843590425294, "mean_exposure_while_solvent": 1.1397704003710671, "realized_annual_volatility_pct": 49.72556804497352, "trading_costs_quote_units": 56.07351040739301, "borrowing_costs_quote_units": 84.96425923187275, "price_pnl_quote_units": -530.0428057873719, "turnover_quote_units": 93455.85067898834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8538.933606100989, "return_pct": -14.61066393899011, "cagr_pct": -14.626065881344253, "max_drawdown_pct": 42.43151594355671, "mean_exposure_while_solvent": 1.1878851506151105, "realized_annual_volatility_pct": 52.260493596804814, "trading_costs_quote_units": 57.18434194901701, "borrowing_costs_quote_units": 109.74328072295997, "price_pnl_quote_units": -1294.1387712270357, "turnover_quote_units": 95307.23658169503, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9329.542467970416, "return_pct": -6.704575320295847, "cagr_pct": -6.711969522694561, "max_drawdown_pct": 38.70017964580826, "mean_exposure_while_solvent": 1.113765184250276, "realized_annual_volatility_pct": 49.25671324004375, "trading_costs_quote_units": 55.726187136392824, "borrowing_costs_quote_units": 69.43078823024608, "price_pnl_quote_units": -545.3005566629523, "turnover_quote_units": 92876.97856065475, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9235.741402160298, "return_pct": -7.642585978397021, "cagr_pct": -7.650971621427163, "max_drawdown_pct": 38.70017964580824, "mean_exposure_while_solvent": 1.1233614232991878, "realized_annual_volatility_pct": 49.509040222455525, "trading_costs_quote_units": 55.56959782965466, "borrowing_costs_quote_units": 74.61589021111028, "price_pnl_quote_units": -634.0731097989451, "turnover_quote_units": 92615.99638275779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8453.646027687875, "return_pct": -15.463539723121244, "cagr_pct": -15.479756815783638, "max_drawdown_pct": 42.67628214847582, "mean_exposure_while_solvent": 1.171476173543231, "realized_annual_volatility_pct": 52.05443313547203, "trading_costs_quote_units": 56.678154003656516, "borrowing_costs_quote_units": 99.43966515454387, "price_pnl_quote_units": -1390.2361531539425, "turnover_quote_units": 94463.59000609422, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7998.37963580949, "return_pct": -20.016203641905108, "cagr_pct": -20.03660313048164, "max_drawdown_pct": 44.704432506198465, "mean_exposure_while_solvent": 1.3574369802268427, "realized_annual_volatility_pct": 62.38649793460207, "trading_costs_quote_units": 68.35575947731327, "borrowing_costs_quote_units": 178.29992173897725, "price_pnl_quote_units": -1754.9646829742187, "turnover_quote_units": 113926.2657955222, "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": 0, "trace": "binance-2025-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8399.508135418117, "return_pct": -16.004918645818833, "cagr_pct": -16.021648073051605, "max_drawdown_pct": 42.56801443940699, "mean_exposure_while_solvent": 1.1397942129655902, "realized_annual_volatility_pct": 49.82625787088368, "trading_costs_quote_units": 54.20823415744204, "borrowing_costs_quote_units": 81.55838262369356, "price_pnl_quote_units": -1464.7252478007451, "turnover_quote_units": 90347.05692907004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9176.245346197235, "return_pct": -8.237546538027651, "cagr_pct": -8.246555392949297, "max_drawdown_pct": 38.120246601238925, "mean_exposure_while_solvent": 1.1507194583497, "realized_annual_volatility_pct": 50.55956968513132, "trading_costs_quote_units": 66.73928888810244, "borrowing_costs_quote_units": 174.9870384542204, "price_pnl_quote_units": -582.0283264604435, "turnover_quote_units": 111232.14814683737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9079.613225243314, "return_pct": -9.203867747566852, "cagr_pct": -9.213879397636715, "max_drawdown_pct": 38.12024660123895, "mean_exposure_while_solvent": 1.1603165203100823, "realized_annual_volatility_pct": 50.80549817477519, "trading_costs_quote_units": 66.56663078741428, "borrowing_costs_quote_units": 184.75190815075666, "price_pnl_quote_units": -669.0682358185101, "turnover_quote_units": 110944.38464569046, "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, "trace": "binance-2025-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7932.199580597503, "return_pct": -20.678004194024968, "cagr_pct": -20.698987387593775, "max_drawdown_pct": 42.163833141596044, "mean_exposure_while_solvent": 1.219471875071296, "realized_annual_volatility_pct": 54.35867497208531, "trading_costs_quote_units": 66.03631989505038, "borrowing_costs_quote_units": 233.111551515655, "price_pnl_quote_units": -1768.6525479918103, "turnover_quote_units": 110060.53315841733, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9361.969837706056, "return_pct": -6.380301622939443, "cagr_pct": -6.387350567140383, "max_drawdown_pct": 38.54187820051541, "mean_exposure_while_solvent": 1.1301854239707207, "realized_annual_volatility_pct": 49.47472354307878, "trading_costs_quote_units": 56.04221785631002, "borrowing_costs_quote_units": 159.2316943666528, "price_pnl_quote_units": -422.7562500709905, "turnover_quote_units": 93403.69642718339, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9263.38191120744, "return_pct": -7.3661808879256, "cagr_pct": -7.374275508504752, "max_drawdown_pct": 38.54187820051544, "mean_exposure_while_solvent": 1.139782485931103, "realized_annual_volatility_pct": 49.72603713285093, "trading_costs_quote_units": 55.866016543142976, "borrowing_costs_quote_units": 169.3168132166585, "price_pnl_quote_units": -511.43525903276907, "turnover_quote_units": 93110.02757190492, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8458.49846552063, "return_pct": -15.415015344793703, "cagr_pct": -15.431186322436385, "max_drawdown_pct": 42.63909533757981, "mean_exposure_while_solvent": 1.187901371309053, "realized_annual_volatility_pct": 52.26168314454603, "trading_costs_quote_units": 56.93866537682127, "borrowing_costs_quote_units": 218.44825555086706, "price_pnl_quote_units": -1266.1146135516801, "turnover_quote_units": 94897.7756280355, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9276.057954663655, "return_pct": -7.239420453363454, "cagr_pct": -7.247381294391074, "max_drawdown_pct": 38.7822906668147, "mean_exposure_while_solvent": 1.1137750463540934, "realized_annual_volatility_pct": 49.257154398903324, "trading_costs_quote_units": 55.55551324432844, "borrowing_costs_quote_units": 138.45431106407707, "price_pnl_quote_units": -529.9322210279469, "turnover_quote_units": 92592.52207388075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9178.374738878447, "return_pct": -8.216252611215536, "cagr_pct": -8.225239237008923, "max_drawdown_pct": 38.78229066681471, "mean_exposure_while_solvent": 1.1233721083144756, "realized_annual_volatility_pct": 49.5095633753123, "trading_costs_quote_units": 55.38443726261884, "borrowing_costs_quote_units": 148.75822992875683, "price_pnl_quote_units": -617.4825939301973, "turnover_quote_units": 92307.39543769804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8380.877458031642, "return_pct": -16.191225419683576, "cagr_pct": -16.20813023728648, "max_drawdown_pct": 42.86348027085272, "mean_exposure_while_solvent": 1.1714909936924254, "realized_annual_volatility_pct": 52.05568127653697, "trading_costs_quote_units": 56.455884819663304, "borrowing_costs_quote_units": 198.0234920100135, "price_pnl_quote_units": -1364.643165138654, "turnover_quote_units": 94093.14136610548, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7856.3131355967425, "return_pct": -21.436868644032568, "cagr_pct": -21.458513381261476, "max_drawdown_pct": 44.86141479520849, "mean_exposure_while_solvent": 1.357467670607888, "realized_annual_volatility_pct": 62.38852034471225, "trading_costs_quote_units": 67.85040452654899, "borrowing_costs_quote_units": 353.46867956282773, "price_pnl_quote_units": -1722.367780313892, "turnover_quote_units": 113084.00754424819, "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": 0, "trace": "binance-2025-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8340.314559091634, "return_pct": -16.59685440908366, "cagr_pct": -16.6141394494206, "max_drawdown_pct": 42.7471283664519, "mean_exposure_while_solvent": 1.1398063098480518, "realized_annual_volatility_pct": 49.82738211646847, "trading_costs_quote_units": 54.01687510093651, "borrowing_costs_quote_units": 162.5436220848445, "price_pnl_quote_units": -1443.1249437225792, "turnover_quote_units": 90028.12516822753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9037.789173212303, "return_pct": -9.622108267876971, "cagr_pct": -9.632550306575219, "max_drawdown_pct": 38.331195817884435, "mean_exposure_while_solvent": 1.1507455002483464, "realized_annual_volatility_pct": 50.560816010205556, "trading_costs_quote_units": 66.27018905129626, "borrowing_costs_quote_units": 347.2218712434737, "price_pnl_quote_units": -548.7187664929278, "turnover_quote_units": 110450.31508549377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8934.006222177897, "return_pct": -10.659937778221028, "cagr_pct": -10.671438211231662, "max_drawdown_pct": 38.33119581788438, "mean_exposure_while_solvent": 1.160344208389384, "realized_annual_volatility_pct": 50.806899633014844, "trading_costs_quote_units": 66.070134058324, "borrowing_costs_quote_units": 366.4230285235471, "price_pnl_quote_units": -633.5006152402408, "turnover_quote_units": 110116.89009720662, "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, "trace": "binance-2025-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7758.736509183948, "return_pct": -22.412634908160513, "cagr_pct": -22.435117949350303, "max_drawdown_pct": 42.66433333621299, "mean_exposure_while_solvent": 1.219509743225485, "realized_annual_volatility_pct": 54.362094346393775, "trading_costs_quote_units": 65.43677619871856, "borrowing_costs_quote_units": 461.0248866944865, "price_pnl_quote_units": -1714.80182792287, "turnover_quote_units": 109061.29366453095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9239.751057500242, "return_pct": -7.602489424997582, "cagr_pct": -7.610832909593668, "max_drawdown_pct": 38.82142436611532, "mean_exposure_while_solvent": 1.1302079541578396, "realized_annual_volatility_pct": 49.47553217112598, "trading_costs_quote_units": 55.65979135024273, "borrowing_costs_quote_units": 316.32964440474836, "price_pnl_quote_units": -388.2595067447626, "turnover_quote_units": 92766.31891707121, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9133.648933054483, "return_pct": -8.663510669455176, "cagr_pct": -8.672963007733378, "max_drawdown_pct": 38.821424366115366, "mean_exposure_while_solvent": 1.1398066622988772, "realized_annual_volatility_pct": 49.72701030807181, "trading_costs_quote_units": 55.455072943424696, "borrowing_costs_quote_units": 336.203427277193, "price_pnl_quote_units": -474.69256672489246, "turnover_quote_units": 92425.1215723745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8299.849854673486, "return_pct": -17.001501453265135, "cagr_pct": -17.01916354892626, "max_drawdown_pct": 43.12011614249928, "mean_exposure_while_solvent": 1.1879338197482125, "realized_annual_volatility_pct": 52.264101288849275, "trading_costs_quote_units": 56.4534300634425, "borrowing_costs_quote_units": 432.7807855905142, "price_pnl_quote_units": -1210.9159296725732, "turnover_quote_units": 94089.05010573746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9169.977451145236, "return_pct": -8.30022548854764, "cagr_pct": -8.30929974240464, "max_drawdown_pct": 39.019117733067354, "mean_exposure_while_solvent": 1.1137947748461712, "realized_annual_volatility_pct": 49.25806757063167, "trading_costs_quote_units": 55.21710644387715, "borrowing_costs_quote_units": 275.28849283694996, "price_pnl_quote_units": -499.5169495739228, "turnover_quote_units": 92028.51073979527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9064.676552600318, "return_pct": -9.35323447399682, "cagr_pct": -9.363400082629509, "max_drawdown_pct": 39.0191177330673, "mean_exposure_while_solvent": 1.1233934829872088, "realized_annual_volatility_pct": 49.51064219122808, "trading_costs_quote_units": 55.01747148668165, "borrowing_costs_quote_units": 295.63356041651963, "price_pnl_quote_units": -584.6724154964852, "turnover_quote_units": 91695.78581113607, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8237.173874231832, "return_pct": -17.628261257681675, "cagr_pct": -17.64650292047045, "max_drawdown_pct": 43.30391865236686, "mean_exposure_while_solvent": 1.1715206404365441, "realized_annual_volatility_pct": 52.05821528985872, "trading_costs_quote_units": 56.01661198397999, "borrowing_costs_quote_units": 392.65172437346354, "price_pnl_quote_units": -1314.1577894107295, "turnover_quote_units": 93361.01997329996, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7579.627923065772, "return_pct": -24.203720769342286, "cagr_pct": -24.227705940310997, "max_drawdown_pct": 45.17412948011486, "mean_exposure_while_solvent": 1.3575290646881721, "realized_annual_volatility_pct": 62.39259342686798, "trading_costs_quote_units": 66.85989882037413, "borrowing_costs_quote_units": 694.6265127008824, "price_pnl_quote_units": -1658.8856654129925, "turnover_quote_units": 111433.16470062351, "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": 0, "trace": "binance-2025-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8223.14319240597, "return_pct": -17.768568075940294, "cagr_pct": -17.78693873564131, "max_drawdown_pct": 43.103785963949136, "mean_exposure_while_solvent": 1.1398305088713188, "realized_annual_volatility_pct": 49.82966639057677, "trading_costs_quote_units": 53.6382433383673, "borrowing_costs_quote_units": 322.8099488267716, "price_pnl_quote_units": -1400.4086154288852, "turnover_quote_units": 89397.07223061218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9034.042786851614, "return_pct": -9.659572131483852, "cagr_pct": -9.670052614382698, "max_drawdown_pct": 39.05028764554746, "mean_exposure_while_solvent": 1.1515587408817611, "realized_annual_volatility_pct": 50.45621327472936, "trading_costs_quote_units": 332.8467134126231, "borrowing_costs_quote_units": 87.08025421276443, "price_pnl_quote_units": -546.0302455230085, "turnover_quote_units": 110948.90447087435, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8872.510271998044, "return_pct": -11.274897280019559, "cagr_pct": -11.287018365097973, "max_drawdown_pct": 39.05028764554751, "mean_exposure_while_solvent": 1.1611807932711649, "realized_annual_volatility_pct": 50.7080920457175, "trading_costs_quote_units": 330.74117010744686, "borrowing_costs_quote_units": 91.65377042825766, "price_pnl_quote_units": -705.0947874662564, "turnover_quote_units": 110247.05670248232, "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, "trace": "binance-2025-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8044.280018785919, "return_pct": -19.5571998121408, "cagr_pct": -19.577190782198763, "max_drawdown_pct": 41.84310783726194, "mean_exposure_while_solvent": 1.2200747471948037, "realized_annual_volatility_pct": 53.98947676193122, "trading_costs_quote_units": 329.498664886581, "borrowing_costs_quote_units": 117.02992426845053, "price_pnl_quote_units": -1509.1913920590446, "turnover_quote_units": 109832.8882955271, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9320.578555651971, "return_pct": -6.794214443480284, "cagr_pct": -6.801703858609205, "max_drawdown_pct": 39.44880955125561, "mean_exposure_while_solvent": 1.1308861938531027, "realized_annual_volatility_pct": 49.39142651130499, "trading_costs_quote_units": 282.15437603934214, "borrowing_costs_quote_units": 79.95484561757532, "price_pnl_quote_units": -317.31222269112556, "turnover_quote_units": 94051.45867978071, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9153.922659780403, "return_pct": -8.460773402195976, "cagr_pct": -8.470014947536676, "max_drawdown_pct": 39.44880955125568, "mean_exposure_while_solvent": 1.1405082462425065, "realized_annual_volatility_pct": 49.64875939201816, "trading_costs_quote_units": 279.97736927945783, "borrowing_costs_quote_units": 84.73807266870054, "price_pnl_quote_units": -481.3618982714275, "turnover_quote_units": 93325.78975981919, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8610.86017294979, "return_pct": -13.891398270502108, "cagr_pct": -13.906105189243936, "max_drawdown_pct": 42.223368786812856, "mean_exposure_while_solvent": 1.1884408418207015, "realized_annual_volatility_pct": 52.10865298951807, "trading_costs_quote_units": 285.1681710052189, "borrowing_costs_quote_units": 110.05914262032945, "price_pnl_quote_units": -993.9125134246863, "turnover_quote_units": 95056.05700173962, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9167.355567712393, "return_pct": -8.32644432287607, "cagr_pct": -8.335545918819347, "max_drawdown_pct": 39.84015520411421, "mean_exposure_while_solvent": 1.1144745654301742, "realized_annual_volatility_pct": 49.16706130935758, "trading_costs_quote_units": 278.23182532493024, "borrowing_costs_quote_units": 69.31796661822091, "price_pnl_quote_units": -485.0946403444622, "turnover_quote_units": 92743.94177497673, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 9003.4393638214, "return_pct": -9.965606361785994, "cagr_pct": -9.97640022126398, "max_drawdown_pct": 39.8401552041143, "mean_exposure_while_solvent": 1.124096617819578, "realized_annual_volatility_pct": 49.42553466923283, "trading_costs_quote_units": 276.12495543471624, "borrowing_costs_quote_units": 74.29138557517365, "price_pnl_quote_units": -646.1442951687031, "turnover_quote_units": 92041.65181157207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8469.304397570473, "return_pct": -15.306956024295271, "cagr_pct": -15.323024193725438, "max_drawdown_pct": 42.5967823117085, "mean_exposure_while_solvent": 1.1720292133977728, "realized_annual_volatility_pct": 51.895920914094084, "trading_costs_quote_units": 281.2713663101045, "borrowing_costs_quote_units": 99.43955651233964, "price_pnl_quote_units": -1149.9846796071197, "turnover_quote_units": 93757.12210336814, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 7977.828207158251, "return_pct": -20.221717928417494, "cagr_pct": -20.24229935214366, "max_drawdown_pct": 44.64686905409621, "mean_exposure_while_solvent": 1.3586111420658684, "realized_annual_volatility_pct": 62.36491793796657, "trading_costs_quote_units": 340.7917191729789, "borrowing_costs_quote_units": 178.63342554812942, "price_pnl_quote_units": -1502.7466481206359, "turnover_quote_units": 113597.23972432622, "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": 0, "trace": "binance-2025-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8441.313478524056, "return_pct": -15.586865214759438, "cagr_pct": -15.603199366151163, "max_drawdown_pct": 42.30251273346472, "mean_exposure_while_solvent": 1.1407080123777211, "realized_annual_volatility_pct": 49.77745641739958, "trading_costs_quote_units": 271.94457418240074, "borrowing_costs_quote_units": 81.93362437666593, "price_pnl_quote_units": -1204.8083229168703, "turnover_quote_units": 90648.19139413354, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8965.631689121285, "return_pct": -10.34368310878715, "cagr_pct": -10.3548624732336, "max_drawdown_pct": 39.217294924028934, "mean_exposure_while_solvent": 1.1515717445206632, "realized_annual_volatility_pct": 50.45698548329051, "trading_costs_quote_units": 331.6440829801092, "borrowing_costs_quote_units": 173.47484476110384, "price_pnl_quote_units": -529.2493831374965, "turnover_quote_units": 110548.02766003646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8801.073904982337, "return_pct": -11.989260950176629, "cagr_pct": -12.002096891393133, "max_drawdown_pct": 39.217294924028955, "mean_exposure_while_solvent": 1.1611946227552852, "realized_annual_volatility_pct": 50.70899483540875, "trading_costs_quote_units": 329.4635871944621, "borrowing_costs_quote_units": 182.54347925222598, "price_pnl_quote_units": -686.919028570962, "turnover_quote_units": 109821.1957314874, "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, "trace": "binance-2025-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7955.86171133351, "return_pct": -20.441382886664893, "cagr_pct": -20.46215810352455, "max_drawdown_pct": 42.11423201221817, "mean_exposure_while_solvent": 1.220093622551617, "realized_annual_volatility_pct": 53.991266682167925, "trading_costs_quote_units": 327.98885673531765, "borrowing_costs_quote_units": 232.75072886796355, "price_pnl_quote_units": -1483.3987030631902, "turnover_quote_units": 109329.61891177256, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9259.553344219572, "return_pct": -7.4044665578042785, "cagr_pct": -7.412601545067894, "max_drawdown_pct": 39.60657556682473, "mean_exposure_while_solvent": 1.1308974212661214, "realized_annual_volatility_pct": 49.391934703305125, "trading_costs_quote_units": 281.1697402293705, "borrowing_costs_quote_units": 159.37323530129154, "price_pnl_quote_units": -299.9036802497459, "turnover_quote_units": 93723.24674312351, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9089.60083743862, "return_pct": -9.103991625613794, "cagr_pct": -9.11390017241677, "max_drawdown_pct": 39.60657556682465, "mean_exposure_while_solvent": 1.140520299500743, "realized_annual_volatility_pct": 49.64940538701194, "trading_costs_quote_units": 278.9127572711959, "borrowing_costs_quote_units": 168.86806211698115, "price_pnl_quote_units": -462.61834317321524, "turnover_quote_units": 92970.91909039865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8529.753253520004, "return_pct": -14.702467464799952, "cagr_pct": -14.717957619337781, "max_drawdown_pct": 42.48495932589799, "mean_exposure_while_solvent": 1.188457000229485, "realized_annual_volatility_pct": 52.10992056829624, "trading_costs_quote_units": 283.9491950370805, "borrowing_costs_quote_units": 219.07961048169872, "price_pnl_quote_units": -967.2179409612044, "turnover_quote_units": 94649.73167902684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 9114.787057663634, "return_pct": -8.852129423363653, "cagr_pct": -8.861777413112224, "max_drawdown_pct": 39.976422195624025, "mean_exposure_while_solvent": 1.1144843908123925, "realized_annual_volatility_pct": 49.16765913849597, "trading_costs_quote_units": 277.357070802123, "borrowing_costs_quote_units": 138.2303953580707, "price_pnl_quote_units": -469.62547617617497, "turnover_quote_units": 92452.35693404102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8947.491632966734, "return_pct": -10.525083670332657, "cagr_pct": -10.536447352797303, "max_drawdown_pct": 39.97642219562413, "mean_exposure_while_solvent": 1.1241072690470144, "realized_annual_volatility_pct": 49.42627110536473, "trading_costs_quote_units": 275.17006667582064, "borrowing_costs_quote_units": 148.113283942535, "price_pnl_quote_units": -629.2250164149003, "turnover_quote_units": 91723.35555860685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8396.396853071015, "return_pct": -16.036031469289846, "cagr_pct": -16.052790219216355, "max_drawdown_pct": 42.83717886135597, "mean_exposure_while_solvent": 1.172043969775756, "realized_annual_volatility_pct": 51.89727810484883, "trading_costs_quote_units": 280.16844047417857, "borrowing_costs_quote_units": 198.02655940535792, "price_pnl_quote_units": -1125.408147049452, "turnover_quote_units": 93389.48015805946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7835.9069337892215, "return_pct": -21.64093066210778, "cagr_pct": -21.662751865230028, "max_drawdown_pct": 44.8052391309531, "mean_exposure_while_solvent": 1.358641888508587, "realized_annual_volatility_pct": 62.367469106131864, "trading_costs_quote_units": 338.35354203256657, "borrowing_costs_quote_units": 354.13068803670785, "price_pnl_quote_units": -1471.6088361414836, "turnover_quote_units": 112784.51401085552, "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": 0, "trace": "binance-2025-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8381.815604494232, "return_pct": -16.181843955057683, "cagr_pct": -16.198739952201848, "max_drawdown_pct": 42.481181845627304, "mean_exposure_while_solvent": 1.1407200949163492, "realized_annual_volatility_pct": 49.77865699132737, "trading_costs_quote_units": 270.98149142270603, "borrowing_costs_quote_units": 163.29164688614824, "price_pnl_quote_units": -1183.9112571969224, "turnover_quote_units": 90327.16380756864, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8830.321356927216, "return_pct": -11.696786430727846, "cagr_pct": -11.709330494156475, "max_drawdown_pct": 39.550040137161346, "mean_exposure_while_solvent": 1.1515977574356013, "realized_annual_volatility_pct": 50.458566367080415, "trading_costs_quote_units": 329.2609644478285, "borrowing_costs_quote_units": 344.2273242700168, "price_pnl_quote_units": -496.19035435494976, "turnover_quote_units": 109753.65481594279, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8659.874537818476, "return_pct": -13.401254621815239, "cagr_pct": -13.415483978217328, "max_drawdown_pct": 39.55004013716131, "mean_exposure_while_solvent": 1.1612222877203708, "realized_annual_volatility_pct": 50.71083764290031, "trading_costs_quote_units": 326.943043735192, "borrowing_costs_quote_units": 362.0546069100765, "price_pnl_quote_units": -651.127811536273, "turnover_quote_units": 108981.01457839736, "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, "trace": "binance-2025-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7781.874572474118, "return_pct": -22.181254275258823, "cagr_pct": -22.20353979405145, "max_drawdown_pct": 42.65285210234276, "mean_exposure_while_solvent": 1.2201313814562134, "realized_annual_volatility_pct": 53.99488685157746, "trading_costs_quote_units": 325.0124208662958, "borrowing_costs_quote_units": 460.32073150674756, "price_pnl_quote_units": -1432.7922751528606, "turnover_quote_units": 108337.47362209865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9138.664448618101, "return_pct": -8.613355513818988, "cagr_pct": -8.622755751900833, "max_drawdown_pct": 39.920972691672986, "mean_exposure_while_solvent": 1.1309198809556371, "realized_annual_volatility_pct": 49.392985216214186, "trading_costs_quote_units": 279.21696253670274, "borrowing_costs_quote_units": 316.61417115262236, "price_pnl_quote_units": -265.5044176925852, "turnover_quote_units": 93072.32084556756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8962.265853005589, "return_pct": -10.377341469944113, "cagr_pct": -10.38855506580751, "max_drawdown_pct": 39.92097269167301, "mean_exposure_while_solvent": 1.1405444112404066, "realized_annual_volatility_pct": 49.650732575479886, "trading_costs_quote_units": 276.81255295179255, "borrowing_costs_quote_units": 335.32012881039395, "price_pnl_quote_units": -425.60146523223676, "turnover_quote_units": 92270.85098393084, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8369.771840505016, "return_pct": -16.30228159494984, "cagr_pct": -16.319290736379834, "max_drawdown_pct": 43.00474520718369, "mean_exposure_while_solvent": 1.1884893240541166, "realized_annual_volatility_pct": 52.11249532368297, "trading_costs_quote_units": 281.544910373876, "borrowing_costs_quote_units": 434.04174534427364, "price_pnl_quote_units": -914.6415037768362, "turnover_quote_units": 93848.30345795865, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 9010.522638420212, "return_pct": -9.894773615797881, "cagr_pct": -9.905495048741834, "max_drawdown_pct": 40.24811642492122, "mean_exposure_while_solvent": 1.1145040458338862, "realized_annual_volatility_pct": 49.16888625456177, "trading_costs_quote_units": 275.6209732898426, "borrowing_costs_quote_units": 274.84752135545455, "price_pnl_quote_units": -439.0088669344972, "turnover_quote_units": 91873.65776328088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8836.597493439926, "return_pct": -11.634025065600738, "cagr_pct": -11.646506351268656, "max_drawdown_pct": 40.24811642492121, "mean_exposure_while_solvent": 1.1241285761186557, "realized_annual_volatility_pct": 49.427776740047705, "trading_costs_quote_units": 273.28597510049804, "borrowing_costs_quote_units": 294.3596776004582, "price_pnl_quote_units": -595.7568538591223, "turnover_quote_units": 91095.3250334993, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8252.41139679732, "return_pct": -17.47588603202679, "cagr_pct": -17.49398729287177, "max_drawdown_pct": 43.3150971097647, "mean_exposure_while_solvent": 1.1720734889323656, "realized_annual_volatility_pct": 51.900030813626074, "trading_costs_quote_units": 277.99230878220243, "borrowing_costs_quote_units": 392.67063358665797, "price_pnl_quote_units": -1076.9256608338255, "turnover_quote_units": 92664.10292740088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7559.513527991405, "return_pct": -24.40486472008595, "cagr_pct": -24.42901558379364, "max_drawdown_pct": 45.12070726130016, "mean_exposure_while_solvent": 1.3587033947473177, "realized_annual_volatility_pct": 62.372599639025104, "trading_costs_quote_units": 333.5574731844039, "borrowing_costs_quote_units": 695.9312700946504, "price_pnl_quote_units": -1410.9977287295642, "turnover_quote_units": 111185.82439480124, "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": 0, "trace": "binance-2025-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8264.035696642877, "return_pct": -17.359643033571224, "cagr_pct": -17.377636969218806, "max_drawdown_pct": 42.836959797689964, "mean_exposure_while_solvent": 1.1407442652365256, "realized_annual_volatility_pct": 49.78109376552852, "trading_costs_quote_units": 269.07939421217145, "borrowing_costs_quote_units": 324.2960740786992, "price_pnl_quote_units": -1142.5888350662797, "turnover_quote_units": 89693.13140405709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9026.087503770907, "return_pct": -9.739124962290935, "cagr_pct": -9.74968702081088, "max_drawdown_pct": 38.38784578126584, "mean_exposure_while_solvent": 1.1507064402258973, "realized_annual_volatility_pct": 50.542305600545966, "trading_costs_quote_units": 330.6275652179408, "borrowing_costs_quote_units": 86.62047096807325, "price_pnl_quote_units": -556.6644600430737, "turnover_quote_units": 110209.18840598024, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8934.460211478434, "return_pct": -10.655397885215656, "cagr_pct": -10.666893718272572, "max_drawdown_pct": 38.38784578126583, "mean_exposure_while_solvent": 1.160302679274809, "realized_annual_volatility_pct": 50.78843217228476, "trading_costs_quote_units": 329.8375637801089, "borrowing_costs_quote_units": 91.48216160082887, "price_pnl_quote_units": -644.2200631406363, "turnover_quote_units": 109945.85459336966, "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, "trace": "binance-2025-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7817.144434312896, "return_pct": -21.82855565687104, "cagr_pct": -21.850538575726464, "max_drawdown_pct": 42.432149226026496, "mean_exposure_while_solvent": 1.219452945110028, "realized_annual_volatility_pct": 54.33900151003448, "trading_costs_quote_units": 327.3413397670834, "borrowing_costs_quote_units": 115.41831577497396, "price_pnl_quote_units": -1740.0959101450624, "turnover_quote_units": 109113.77992236117, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9247.204893762455, "return_pct": -7.527951062375449, "cagr_pct": -7.53621612277378, "max_drawdown_pct": 38.900556659400046, "mean_exposure_while_solvent": 1.1301741613221554, "realized_annual_volatility_pct": 49.46325048390026, "trading_costs_quote_units": 278.3747454681667, "borrowing_costs_quote_units": 79.10984591858211, "price_pnl_quote_units": -395.3105148507873, "turnover_quote_units": 92791.58182272226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9153.332953640527, "return_pct": -8.466670463594728, "cagr_pct": -8.475918147567974, "max_drawdown_pct": 38.900556659400046, "mean_exposure_while_solvent": 1.1397704003710671, "realized_annual_volatility_pct": 49.71474223364122, "trading_costs_quote_units": 277.5654691740665, "borrowing_costs_quote_units": 84.1515755086734, "price_pnl_quote_units": -484.95000167672197, "turnover_quote_units": 92521.82305802222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8368.683692375065, "return_pct": -16.31316307624935, "cagr_pct": -16.330182430455654, "max_drawdown_pct": 42.911205082730376, "mean_exposure_while_solvent": 1.1878851506151105, "realized_annual_volatility_pct": 52.25575251618818, "trading_costs_quote_units": 282.95188569038453, "borrowing_costs_quote_units": 108.52134765287563, "price_pnl_quote_units": -1239.8430742816804, "turnover_quote_units": 94317.29523012813, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9155.917150367113, "return_pct": -8.440828496328868, "cagr_pct": -8.450049276508874, "max_drawdown_pct": 39.15762537653843, "mean_exposure_while_solvent": 1.113765184250276, "realized_annual_volatility_pct": 49.2471094984893, "trading_costs_quote_units": 275.8764316175953, "borrowing_costs_quote_units": 68.78347659319957, "price_pnl_quote_units": -499.42294142208016, "turnover_quote_units": 91958.81053919847, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 9062.971907304493, "return_pct": -9.370280926955077, "cagr_pct": -9.380464088203205, "max_drawdown_pct": 39.157625376538476, "mean_exposure_while_solvent": 1.1233614232991878, "realized_annual_volatility_pct": 49.49969004486037, "trading_costs_quote_units": 275.092516670073, "borrowing_costs_quote_units": 73.93003313739489, "price_pnl_quote_units": -588.0055428880233, "turnover_quote_units": 91697.50555669103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8286.068647262182, "return_pct": -17.139313527378185, "cagr_pct": -17.157103523837854, "max_drawdown_pct": 43.151399468635766, "mean_exposure_while_solvent": 1.171476173543231, "realized_annual_volatility_pct": 52.05112154003908, "trading_costs_quote_units": 280.46947716848507, "borrowing_costs_quote_units": 98.35076323410789, "price_pnl_quote_units": -1335.1111123352316, "turnover_quote_units": 93489.82572282832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7797.666838633419, "return_pct": -22.02333161366581, "cagr_pct": -22.045481867160348, "max_drawdown_pct": 44.850596856523886, "mean_exposure_while_solvent": 1.3574369802268427, "realized_annual_volatility_pct": 62.38157572786381, "trading_costs_quote_units": 337.31757466211104, "borrowing_costs_quote_units": 175.63148367575548, "price_pnl_quote_units": -1689.3841030287117, "turnover_quote_units": 112439.19155403691, "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": 0, "trace": "binance-2025-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8238.898042335126, "return_pct": -17.611019576648744, "cagr_pct": -17.62924536872255, "max_drawdown_pct": 43.11056786164522, "mean_exposure_while_solvent": 1.1397942129655902, "realized_annual_volatility_pct": 49.82473277441055, "trading_costs_quote_units": 268.34160150799175, "borrowing_costs_quote_units": 80.78562340933443, "price_pnl_quote_units": -1411.9747327475488, "turnover_quote_units": 89447.20050266392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8957.725055720002, "return_pct": -10.422749442799972, "cagr_pct": -10.434009196837165, "max_drawdown_pct": 38.557994665900374, "mean_exposure_while_solvent": 1.1507194583497, "realized_annual_volatility_pct": 50.54292525450481, "trading_costs_quote_units": 329.4645981832134, "borrowing_costs_quote_units": 172.55887167382505, "price_pnl_quote_units": -540.2514744229474, "turnover_quote_units": 109821.53272773778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8862.517068790483, "return_pct": -11.37482931209517, "cagr_pct": -11.387050794888802, "max_drawdown_pct": 38.55799466590031, "mean_exposure_while_solvent": 1.1603165203100823, "realized_annual_volatility_pct": 50.789128280272614, "trading_costs_quote_units": 328.6060673916563, "borrowing_costs_quote_units": 182.2003042497066, "price_pnl_quote_units": -626.6765595681592, "turnover_quote_units": 109535.35579721873, "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, "trace": "binance-2025-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7731.187354708858, "return_pct": -22.688126452911415, "cagr_pct": -22.71084364379743, "max_drawdown_pct": 42.701841753955115, "mean_exposure_while_solvent": 1.219471875071296, "realized_annual_volatility_pct": 54.34070408709821, "trading_costs_quote_units": 325.8511435949507, "borrowing_costs_quote_units": 229.54669397899642, "price_pnl_quote_units": -1713.4148077171665, "turnover_quote_units": 108617.0478649836, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9186.647652960826, "return_pct": -8.133523470391735, "cagr_pct": -8.142423680103535, "max_drawdown_pct": 39.06108910921697, "mean_exposure_while_solvent": 1.1301854239707207, "realized_annual_volatility_pct": 49.46364914710505, "trading_costs_quote_units": 277.42327668109635, "borrowing_costs_quote_units": 157.6891520358237, "price_pnl_quote_units": -378.23991832226227, "turnover_quote_units": 92474.42556036545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9089.006541604003, "return_pct": -9.109934583959966, "cagr_pct": -9.119849269259074, "max_drawdown_pct": 39.06108910921699, "mean_exposure_while_solvent": 1.139782485931103, "realized_annual_volatility_pct": 49.71522214292136, "trading_costs_quote_units": 276.54251615350853, "borrowing_costs_quote_units": 167.69843745594162, "price_pnl_quote_units": -466.7525047865605, "turnover_quote_units": 92180.8387178362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8289.826791631407, "return_pct": -17.101732083685928, "cagr_pct": -17.11948722747817, "max_drawdown_pct": 43.171005884733646, "mean_exposure_while_solvent": 1.187901371309053, "realized_annual_volatility_pct": 52.25695377292282, "trading_costs_quote_units": 281.74155053833124, "borrowing_costs_quote_units": 216.01842200823825, "price_pnl_quote_units": -1212.413235822016, "turnover_quote_units": 93913.85017944375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9103.408545414313, "return_pct": -8.965914545856869, "cagr_pct": -8.975680347510577, "max_drawdown_pct": 39.29678032837869, "mean_exposure_while_solvent": 1.1137750463540934, "realized_annual_volatility_pct": 49.24756370774975, "trading_costs_quote_units": 275.03475818911966, "borrowing_costs_quote_units": 137.16428068649526, "price_pnl_quote_units": -484.39241571009086, "turnover_quote_units": 91678.2527297065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 9006.652148403375, "return_pct": -9.933478515966254, "cagr_pct": -9.94423953259054, "max_drawdown_pct": 39.29678032837873, "mean_exposure_while_solvent": 1.1233721083144756, "realized_annual_volatility_pct": 49.50022592740653, "trading_costs_quote_units": 274.179384245285, "borrowing_costs_quote_units": 147.39171654894108, "price_pnl_quote_units": -571.77675080241, "turnover_quote_units": 91393.12808176165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8214.71366985753, "return_pct": -17.852863301424694, "cagr_pct": -17.871311329883287, "max_drawdown_pct": 43.39080132759554, "mean_exposure_while_solvent": 1.1714909936924254, "realized_annual_volatility_pct": 52.052383283584646, "trading_costs_quote_units": 279.3741679150445, "borrowing_costs_quote_units": 195.8570896060428, "price_pnl_quote_units": -1310.0550726213714, "turnover_quote_units": 93124.72263834815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7659.155675064659, "return_pct": -23.408443249353418, "cagr_pct": -23.43176734937209, "max_drawdown_pct": 45.007284228120035, "mean_exposure_while_solvent": 1.357467670607888, "realized_annual_volatility_pct": 62.383617978714966, "trading_costs_quote_units": 334.8374545497553, "borrowing_costs_quote_units": 348.1906796925263, "price_pnl_quote_units": -1657.8161906930463, "turnover_quote_units": 111612.48484991843, "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": 0, "trace": "binance-2025-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8180.799317142263, "return_pct": -18.192006828577366, "cagr_pct": -18.210765133208913, "max_drawdown_pct": 43.28814998382804, "mean_exposure_while_solvent": 1.1398063098480518, "realized_annual_volatility_pct": 49.82587272049807, "trading_costs_quote_units": 267.3981329094718, "borrowing_costs_quote_units": 161.00446779684262, "price_pnl_quote_units": -1390.798082151429, "turnover_quote_units": 89132.71096982392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8822.509488434996, "return_pct": -11.774905115650036, "cagr_pct": -11.787527246926569, "max_drawdown_pct": 38.89698502899195, "mean_exposure_while_solvent": 1.1507455002483464, "realized_annual_volatility_pct": 50.544200408690735, "trading_costs_quote_units": 327.16172243183087, "borrowing_costs_quote_units": 342.40958553168963, "price_pnl_quote_units": -507.9192036014644, "turnover_quote_units": 109053.90747727697, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 120, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8720.322146240265, "return_pct": -12.796778537597342, "cagr_pct": -12.81041456850535, "max_drawdown_pct": 38.896985028991914, "mean_exposure_while_solvent": 1.160344208389384, "realized_annual_volatility_pct": 50.79055745899801, "trading_costs_quote_units": 326.16879610996085, "borrowing_costs_quote_units": 361.36854360209156, "price_pnl_quote_units": -592.1405140476764, "turnover_quote_units": 108722.93203665368, "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, "trace": "binance-2025-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7562.047120292891, "return_pct": -24.379528797071092, "cagr_pct": -24.40365882390169, "max_drawdown_pct": 43.23761535604631, "mean_exposure_while_solvent": 1.219509743225485, "realized_annual_volatility_pct": 54.34414843594363, "trading_costs_quote_units": 322.9105013445664, "borrowing_costs_quote_units": 453.9887050990077, "price_pnl_quote_units": -1661.0536732635276, "turnover_quote_units": 107636.83378152215, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 170, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 9066.684267273275, "return_pct": -9.33315732726725, "cagr_pct": -9.343302257899868, "max_drawdown_pct": 39.38098548270893, "mean_exposure_while_solvent": 1.1302079541578396, "realized_annual_volatility_pct": 49.46447971041637, "trading_costs_quote_units": 275.53791284673264, "borrowing_costs_quote_units": 313.26945559989986, "price_pnl_quote_units": -344.5083642800834, "turnover_quote_units": 91845.9709489109, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 103, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8961.668753376009, "return_pct": -10.383312466239914, "cagr_pct": -10.394532133250694, "max_drawdown_pct": 39.38098548270899, "mean_exposure_while_solvent": 1.1398066622988772, "realized_annual_volatility_pct": 49.71621662628615, "trading_costs_quote_units": 274.5165073290701, "borrowing_costs_quote_units": 332.99437044208474, "price_pnl_quote_units": -430.82036885282554, "turnover_quote_units": 91505.50244302335, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8134.287169375608, "return_pct": -18.65712830624392, "cagr_pct": -18.676309527059807, "max_drawdown_pct": 43.68723343028975, "mean_exposure_while_solvent": 1.1879338197482125, "realized_annual_volatility_pct": 52.25939471324915, "trading_costs_quote_units": 279.35094556192985, "borrowing_costs_quote_units": 427.97658085305255, "price_pnl_quote_units": -1158.3853042094304, "turnover_quote_units": 93116.9818539766, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 145, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8999.261286064027, "return_pct": -10.007387139359725, "cagr_pct": -10.018223689844067, "max_drawdown_pct": 39.5742202930554, "mean_exposure_while_solvent": 1.1137947748461712, "realized_annual_volatility_pct": 49.248502638430026, "trading_costs_quote_units": 273.3658781498619, "borrowing_costs_quote_units": 272.72664115003283, "price_pnl_quote_units": -454.64619463606005, "turnover_quote_units": 91121.95938328734, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 91, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8895.02670363096, "return_pct": -11.049732963690406, "cagr_pct": -11.061627363817014, "max_drawdown_pct": 39.57422029305532, "mean_exposure_while_solvent": 1.1233934829872088, "realized_annual_volatility_pct": 49.50132987064743, "trading_costs_quote_units": 272.3696303782033, "borrowing_costs_quote_units": 292.92114601750075, "price_pnl_quote_units": -539.6825199733364, "turnover_quote_units": 90789.87679273445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 98, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8073.797813531266, "return_pct": -19.26202186468734, "cagr_pct": -19.281748540304275, "max_drawdown_pct": 43.866741244048015, "mean_exposure_while_solvent": 1.1715206404365441, "realized_annual_volatility_pct": 52.05494388101104, "trading_costs_quote_units": 277.20942887164455, "borrowing_costs_quote_units": 388.36401166779353, "price_pnl_quote_units": -1260.6287459293158, "turnover_quote_units": 92403.14295721486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7389.382977433963, "return_pct": -26.106170225660374, "cagr_pct": -26.131697910322842, "max_drawdown_pct": 45.31941043665076, "mean_exposure_while_solvent": 1.3575290646881721, "realized_annual_volatility_pct": 62.387729578977556, "trading_costs_quote_units": 329.97606254471094, "borrowing_costs_quote_units": 684.3007378881426, "price_pnl_quote_units": -1596.3402221331799, "turnover_quote_units": 109992.02084823715, "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": 0, "trace": "binance-2025-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2025", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8065.792667086111, "return_pct": -19.3420733291389, "cagr_pct": -19.36187180279546, "max_drawdown_pct": 43.64177877725288, "mean_exposure_while_solvent": 1.1398305088713188, "realized_annual_volatility_pct": 49.82818811709139, "trading_costs_quote_units": 265.5313048841276, "borrowing_costs_quote_units": 319.7568902476891, "price_pnl_quote_units": -1348.919137782066, "turnover_quote_units": 88510.43496137588, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 110, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2025-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2025-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8540.37620811442, "return_pct": -14.596237918855802, "cagr_pct": -38.93672406134165, "max_drawdown_pct": 38.23111080854652, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.580838983812406, "trading_costs_quote_units": 21.766100407619337, "borrowing_costs_quote_units": 30.266626263673725, "price_pnl_quote_units": -1407.5910652142884, "turnover_quote_units": 36276.83401269891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8540.37620811442, "return_pct": -14.596237918855802, "cagr_pct": -38.93672406134165, "max_drawdown_pct": 38.23111080854652, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.580838983812406, "trading_costs_quote_units": 21.766100407619337, "borrowing_costs_quote_units": 30.266626263673725, "price_pnl_quote_units": -1407.5910652142884, "turnover_quote_units": 36276.83401269891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8540.37620811442, "return_pct": -14.596237918855802, "cagr_pct": -38.93672406134165, "max_drawdown_pct": 38.23111080854652, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.580838983812406, "trading_costs_quote_units": 21.766100407619337, "borrowing_costs_quote_units": 30.266626263673725, "price_pnl_quote_units": -1407.5910652142884, "turnover_quote_units": 36276.83401269891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8540.37620811442, "return_pct": -14.596237918855802, "cagr_pct": -38.93672406134165, "max_drawdown_pct": 38.23111080854652, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.580838983812406, "trading_costs_quote_units": 21.766100407619337, "borrowing_costs_quote_units": 30.266626263673725, "price_pnl_quote_units": -1407.5910652142884, "turnover_quote_units": 36276.83401269891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8540.37620811442, "return_pct": -14.596237918855802, "cagr_pct": -38.93672406134165, "max_drawdown_pct": 38.23111080854652, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.580838983812406, "trading_costs_quote_units": 21.766100407619337, "borrowing_costs_quote_units": 30.266626263673725, "price_pnl_quote_units": -1407.5910652142884, "turnover_quote_units": 36276.83401269891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8540.37620811442, "return_pct": -14.596237918855802, "cagr_pct": -38.93672406134165, "max_drawdown_pct": 38.23111080854652, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.580838983812406, "trading_costs_quote_units": 21.766100407619337, "borrowing_costs_quote_units": 30.266626263673725, "price_pnl_quote_units": -1407.5910652142884, "turnover_quote_units": 36276.83401269891, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8343.99289328853, "return_pct": -16.56007106711469, "cagr_pct": -43.22000174143976, "max_drawdown_pct": 38.23111080854651, "mean_exposure_while_solvent": 1.1998380220497011, "realized_annual_volatility_pct": 54.18988740711483, "trading_costs_quote_units": 21.576883188692197, "borrowing_costs_quote_units": 28.211547604543036, "price_pnl_quote_units": -1606.2186759182396, "turnover_quote_units": 35961.471981153656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8343.99289328853, "return_pct": -16.56007106711469, "cagr_pct": -43.22000174143976, "max_drawdown_pct": 38.23111080854651, "mean_exposure_while_solvent": 1.1998380220497011, "realized_annual_volatility_pct": 54.18988740711483, "trading_costs_quote_units": 21.576883188692197, "borrowing_costs_quote_units": 28.211547604543036, "price_pnl_quote_units": -1606.2186759182396, "turnover_quote_units": 35961.471981153656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8343.99289328853, "return_pct": -16.56007106711469, "cagr_pct": -43.22000174143976, "max_drawdown_pct": 38.23111080854651, "mean_exposure_while_solvent": 1.1998380220497011, "realized_annual_volatility_pct": 54.18988740711483, "trading_costs_quote_units": 21.576883188692197, "borrowing_costs_quote_units": 28.211547604543036, "price_pnl_quote_units": -1606.2186759182396, "turnover_quote_units": 35961.471981153656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8106.962463588638, "return_pct": -18.930375364113626, "cagr_pct": -48.11187327186659, "max_drawdown_pct": 46.66722338650676, "mean_exposure_while_solvent": 1.2846793545678763, "realized_annual_volatility_pct": 66.01959016800272, "trading_costs_quote_units": 26.49976023914, "borrowing_costs_quote_units": 35.55508104662714, "price_pnl_quote_units": -1830.982695125589, "turnover_quote_units": 44166.26706523331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8491.499077990873, "return_pct": -15.085009220091273, "cagr_pct": -40.02261823236459, "max_drawdown_pct": 38.393624341344925, "mean_exposure_while_solvent": 1.1828847739385269, "realized_annual_volatility_pct": 53.39246089522176, "trading_costs_quote_units": 21.305781985664865, "borrowing_costs_quote_units": 26.43036018649259, "price_pnl_quote_units": -1460.7647798369578, "turnover_quote_units": 35509.63664277477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8511.242210688219, "return_pct": -14.88757789311781, "cagr_pct": -39.585583691005596, "max_drawdown_pct": 38.258425997220904, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.58181793838928, "trading_costs_quote_units": 21.75076930166057, "borrowing_costs_quote_units": 60.44065804115149, "price_pnl_quote_units": -1406.5663619689628, "turnover_quote_units": 36251.282169434286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8511.242210688219, "return_pct": -14.88757789311781, "cagr_pct": -39.585583691005596, "max_drawdown_pct": 38.258425997220904, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.58181793838928, "trading_costs_quote_units": 21.75076930166057, "borrowing_costs_quote_units": 60.44065804115149, "price_pnl_quote_units": -1406.5663619689628, "turnover_quote_units": 36251.282169434286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8511.242210688219, "return_pct": -14.88757789311781, "cagr_pct": -39.585583691005596, "max_drawdown_pct": 38.258425997220904, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.58181793838928, "trading_costs_quote_units": 21.75076930166057, "borrowing_costs_quote_units": 60.44065804115149, "price_pnl_quote_units": -1406.5663619689628, "turnover_quote_units": 36251.282169434286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8511.242210688219, "return_pct": -14.88757789311781, "cagr_pct": -39.585583691005596, "max_drawdown_pct": 38.258425997220904, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.58181793838928, "trading_costs_quote_units": 21.75076930166057, "borrowing_costs_quote_units": 60.44065804115149, "price_pnl_quote_units": -1406.5663619689628, "turnover_quote_units": 36251.282169434286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8511.242210688219, "return_pct": -14.88757789311781, "cagr_pct": -39.585583691005596, "max_drawdown_pct": 38.258425997220904, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.58181793838928, "trading_costs_quote_units": 21.75076930166057, "borrowing_costs_quote_units": 60.44065804115149, "price_pnl_quote_units": -1406.5663619689628, "turnover_quote_units": 36251.282169434286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8511.242210688219, "return_pct": -14.88757789311781, "cagr_pct": -39.585583691005596, "max_drawdown_pct": 38.258425997220904, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.58181793838928, "trading_costs_quote_units": 21.75076930166057, "borrowing_costs_quote_units": 60.44065804115149, "price_pnl_quote_units": -1406.5663619689628, "turnover_quote_units": 36251.282169434286, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8317.19687169077, "return_pct": -16.828031283092294, "cagr_pct": -43.788110838074374, "max_drawdown_pct": 38.25842599722087, "mean_exposure_while_solvent": 1.1998552821860196, "realized_annual_volatility_pct": 54.191243700884925, "trading_costs_quote_units": 21.56344543833359, "borrowing_costs_quote_units": 56.3423978741106, "price_pnl_quote_units": -1604.8972849967938, "turnover_quote_units": 35939.075730555975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8317.19687169077, "return_pct": -16.828031283092294, "cagr_pct": -43.788110838074374, "max_drawdown_pct": 38.25842599722087, "mean_exposure_while_solvent": 1.1998552821860196, "realized_annual_volatility_pct": 54.191243700884925, "trading_costs_quote_units": 21.56344543833359, "borrowing_costs_quote_units": 56.3423978741106, "price_pnl_quote_units": -1604.8972849967938, "turnover_quote_units": 35939.075730555975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8317.19687169077, "return_pct": -16.828031283092294, "cagr_pct": -43.788110838074374, "max_drawdown_pct": 38.25842599722087, "mean_exposure_while_solvent": 1.1998552821860196, "realized_annual_volatility_pct": 54.191243700884925, "trading_costs_quote_units": 21.56344543833359, "borrowing_costs_quote_units": 56.3423978741106, "price_pnl_quote_units": -1604.8972849967938, "turnover_quote_units": 35939.075730555975, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8069.813879412534, "return_pct": -19.30186120587466, "cagr_pct": -48.851577920874476, "max_drawdown_pct": 46.727013835328016, "mean_exposure_while_solvent": 1.2847038194530707, "realized_annual_volatility_pct": 66.02235959673007, "trading_costs_quote_units": 26.46527190975128, "borrowing_costs_quote_units": 70.96546528918552, "price_pnl_quote_units": -1832.7553833885247, "turnover_quote_units": 44108.78651625214, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8466.57903085219, "return_pct": -15.334209691478096, "cagr_pct": -40.57117282142564, "max_drawdown_pct": 38.45040512174346, "mean_exposure_while_solvent": 1.1829005902302736, "realized_annual_volatility_pct": 53.393430798178485, "trading_costs_quote_units": 21.291243920245137, "borrowing_costs_quote_units": 52.79266455105907, "price_pnl_quote_units": -1459.3370606765047, "turnover_quote_units": 35485.4065337419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8453.256249732814, "return_pct": -15.467437502671855, "cagr_pct": -40.86303702400699, "max_drawdown_pct": 38.33670115980266, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.58381473443218, "trading_costs_quote_units": 21.72016792906537, "borrowing_costs_quote_units": 120.51205547351148, "price_pnl_quote_units": -1404.5115268646002, "turnover_quote_units": 36200.2798817756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8453.256249732814, "return_pct": -15.467437502671855, "cagr_pct": -40.86303702400699, "max_drawdown_pct": 38.33670115980266, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.58381473443218, "trading_costs_quote_units": 21.72016792906537, "borrowing_costs_quote_units": 120.51205547351148, "price_pnl_quote_units": -1404.5115268646002, "turnover_quote_units": 36200.2798817756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8453.256249732814, "return_pct": -15.467437502671855, "cagr_pct": -40.86303702400699, "max_drawdown_pct": 38.33670115980266, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.58381473443218, "trading_costs_quote_units": 21.72016792906537, "borrowing_costs_quote_units": 120.51205547351148, "price_pnl_quote_units": -1404.5115268646002, "turnover_quote_units": 36200.2798817756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8453.256249732814, "return_pct": -15.467437502671855, "cagr_pct": -40.86303702400699, "max_drawdown_pct": 38.33670115980266, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.58381473443218, "trading_costs_quote_units": 21.72016792906537, "borrowing_costs_quote_units": 120.51205547351148, "price_pnl_quote_units": -1404.5115268646002, "turnover_quote_units": 36200.2798817756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8453.256249732814, "return_pct": -15.467437502671855, "cagr_pct": -40.86303702400699, "max_drawdown_pct": 38.33670115980266, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.58381473443218, "trading_costs_quote_units": 21.72016792906537, "borrowing_costs_quote_units": 120.51205547351148, "price_pnl_quote_units": -1404.5115268646002, "turnover_quote_units": 36200.2798817756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8453.256249732814, "return_pct": -15.467437502671855, "cagr_pct": -40.86303702400699, "max_drawdown_pct": 38.33670115980266, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.58381473443218, "trading_costs_quote_units": 21.72016792906537, "borrowing_costs_quote_units": 120.51205547351148, "price_pnl_quote_units": -1404.5115268646002, "turnover_quote_units": 36200.2798817756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8263.84818184293, "return_pct": -17.361518181570702, "cagr_pct": -44.90763617685276, "max_drawdown_pct": 38.33670115980259, "mean_exposure_while_solvent": 1.1998898099684807, "realized_annual_volatility_pct": 54.19399506242254, "trading_costs_quote_units": 21.53662297309447, "borrowing_costs_quote_units": 112.36291349857508, "price_pnl_quote_units": -1602.252281685409, "turnover_quote_units": 35894.37162182414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8263.84818184293, "return_pct": -17.361518181570702, "cagr_pct": -44.90763617685276, "max_drawdown_pct": 38.33670115980259, "mean_exposure_while_solvent": 1.1998898099684807, "realized_annual_volatility_pct": 54.19399506242254, "trading_costs_quote_units": 21.53662297309447, "borrowing_costs_quote_units": 112.36291349857508, "price_pnl_quote_units": -1602.252281685409, "turnover_quote_units": 35894.37162182414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8263.84818184293, "return_pct": -17.361518181570702, "cagr_pct": -44.90763617685276, "max_drawdown_pct": 38.33670115980259, "mean_exposure_while_solvent": 1.1998898099684807, "realized_annual_volatility_pct": 54.19399506242254, "trading_costs_quote_units": 21.53662297309447, "borrowing_costs_quote_units": 112.36291349857508, "price_pnl_quote_units": -1602.252281685409, "turnover_quote_units": 35894.37162182414, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7996.004893788322, "return_pct": -20.039951062116778, "cagr_pct": -50.29992436510962, "max_drawdown_pct": 46.89647069023609, "mean_exposure_while_solvent": 1.2847527598427095, "realized_annual_volatility_pct": 66.02793141312743, "trading_costs_quote_units": 26.398755926483943, "borrowing_costs_quote_units": 141.35453077376906, "price_pnl_quote_units": -1836.2418195114212, "turnover_quote_units": 43997.926544139904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8416.942923028448, "return_pct": -15.830570769715525, "cagr_pct": -41.653605962810694, "max_drawdown_pct": 38.56385374100078, "mean_exposure_while_solvent": 1.1829322296987828, "realized_annual_volatility_pct": 53.39540720572894, "trading_costs_quote_units": 21.264265007656793, "borrowing_costs_quote_units": 105.31377729647434, "price_pnl_quote_units": -1456.4790346674145, "turnover_quote_units": 35440.44167942798, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8565.81186716349, "return_pct": -14.341881328365103, "cagr_pct": -38.36637069397336, "max_drawdown_pct": 38.60114167655939, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.726378038389875, "trading_costs_quote_units": 21.82566734887436, "borrowing_costs_quote_units": 29.85738376728661, "price_pnl_quote_units": -1382.5050817203464, "turnover_quote_units": 36376.11224812392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8565.81186716349, "return_pct": -14.341881328365103, "cagr_pct": -38.36637069397336, "max_drawdown_pct": 38.60114167655939, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.726378038389875, "trading_costs_quote_units": 21.82566734887436, "borrowing_costs_quote_units": 29.85738376728661, "price_pnl_quote_units": -1382.5050817203464, "turnover_quote_units": 36376.11224812392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8565.81186716349, "return_pct": -14.341881328365103, "cagr_pct": -38.36637069397336, "max_drawdown_pct": 38.60114167655939, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.726378038389875, "trading_costs_quote_units": 21.82566734887436, "borrowing_costs_quote_units": 29.85738376728661, "price_pnl_quote_units": -1382.5050817203464, "turnover_quote_units": 36376.11224812392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8565.81186716349, "return_pct": -14.341881328365103, "cagr_pct": -38.36637069397336, "max_drawdown_pct": 38.60114167655939, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.726378038389875, "trading_costs_quote_units": 21.82566734887436, "borrowing_costs_quote_units": 29.85738376728661, "price_pnl_quote_units": -1382.5050817203464, "turnover_quote_units": 36376.11224812392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8565.81186716349, "return_pct": -14.341881328365103, "cagr_pct": -38.36637069397336, "max_drawdown_pct": 38.60114167655939, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.726378038389875, "trading_costs_quote_units": 21.82566734887436, "borrowing_costs_quote_units": 29.85738376728661, "price_pnl_quote_units": -1382.5050817203464, "turnover_quote_units": 36376.11224812392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8565.81186716349, "return_pct": -14.341881328365103, "cagr_pct": -38.36637069397336, "max_drawdown_pct": 38.60114167655939, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.726378038389875, "trading_costs_quote_units": 21.82566734887436, "borrowing_costs_quote_units": 29.85738376728661, "price_pnl_quote_units": -1382.5050817203464, "turnover_quote_units": 36376.11224812392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8372.600718188773, "return_pct": -16.27399281811227, "cagr_pct": -42.609183650422516, "max_drawdown_pct": 38.6011416765594, "mean_exposure_while_solvent": 1.1954667065839355, "realized_annual_volatility_pct": 54.33270918500731, "trading_costs_quote_units": 21.658059729260323, "borrowing_costs_quote_units": 27.830308953961303, "price_pnl_quote_units": -1577.9109131280034, "turnover_quote_units": 36096.76621543389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8372.600718188773, "return_pct": -16.27399281811227, "cagr_pct": -42.609183650422516, "max_drawdown_pct": 38.6011416765594, "mean_exposure_while_solvent": 1.1954667065839355, "realized_annual_volatility_pct": 54.33270918500731, "trading_costs_quote_units": 21.658059729260323, "borrowing_costs_quote_units": 27.830308953961303, "price_pnl_quote_units": -1577.9109131280034, "turnover_quote_units": 36096.76621543389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8372.600718188773, "return_pct": -16.27399281811227, "cagr_pct": -42.609183650422516, "max_drawdown_pct": 38.6011416765594, "mean_exposure_while_solvent": 1.1954667065839355, "realized_annual_volatility_pct": 54.33270918500731, "trading_costs_quote_units": 21.658059729260323, "borrowing_costs_quote_units": 27.830308953961303, "price_pnl_quote_units": -1577.9109131280034, "turnover_quote_units": 36096.76621543389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8023.777799889768, "return_pct": -19.762222001102316, "cagr_pct": -49.75825835145324, "max_drawdown_pct": 46.34375252872678, "mean_exposure_while_solvent": 1.2817290152164111, "realized_annual_volatility_pct": 65.81366980301144, "trading_costs_quote_units": 26.63543002672155, "borrowing_costs_quote_units": 35.439911547011754, "price_pnl_quote_units": -1914.146858536509, "turnover_quote_units": 44392.38337786926, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8519.733988477486, "return_pct": -14.80266011522513, "cagr_pct": -39.396945208704246, "max_drawdown_pct": 38.06147885843507, "mean_exposure_while_solvent": 1.1783230007463839, "realized_annual_volatility_pct": 53.355349304228625, "trading_costs_quote_units": 21.499003640552033, "borrowing_costs_quote_units": 26.215177828686976, "price_pnl_quote_units": -1432.5518300532729, "turnover_quote_units": 35831.67273425337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8536.804418894095, "return_pct": -14.63195581105905, "cagr_pct": -39.01652707030222, "max_drawdown_pct": 38.64495734994484, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.72699803861295, "trading_costs_quote_units": 21.807425262448753, "borrowing_costs_quote_units": 59.62383897234262, "price_pnl_quote_units": -1381.7643168711245, "turnover_quote_units": 36345.70877074789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8536.804418894095, "return_pct": -14.63195581105905, "cagr_pct": -39.01652707030222, "max_drawdown_pct": 38.64495734994484, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.72699803861295, "trading_costs_quote_units": 21.807425262448753, "borrowing_costs_quote_units": 59.62383897234262, "price_pnl_quote_units": -1381.7643168711245, "turnover_quote_units": 36345.70877074789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8536.804418894095, "return_pct": -14.63195581105905, "cagr_pct": -39.01652707030222, "max_drawdown_pct": 38.64495734994484, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.72699803861295, "trading_costs_quote_units": 21.807425262448753, "borrowing_costs_quote_units": 59.62383897234262, "price_pnl_quote_units": -1381.7643168711245, "turnover_quote_units": 36345.70877074789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8536.804418894095, "return_pct": -14.63195581105905, "cagr_pct": -39.01652707030222, "max_drawdown_pct": 38.64495734994484, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.72699803861295, "trading_costs_quote_units": 21.807425262448753, "borrowing_costs_quote_units": 59.62383897234262, "price_pnl_quote_units": -1381.7643168711245, "turnover_quote_units": 36345.70877074789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8536.804418894095, "return_pct": -14.63195581105905, "cagr_pct": -39.01652707030222, "max_drawdown_pct": 38.64495734994484, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.72699803861295, "trading_costs_quote_units": 21.807425262448753, "borrowing_costs_quote_units": 59.62383897234262, "price_pnl_quote_units": -1381.7643168711245, "turnover_quote_units": 36345.70877074789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8536.804418894095, "return_pct": -14.63195581105905, "cagr_pct": -39.01652707030222, "max_drawdown_pct": 38.64495734994484, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.72699803861295, "trading_costs_quote_units": 21.807425262448753, "borrowing_costs_quote_units": 59.62383897234262, "price_pnl_quote_units": -1381.7643168711245, "turnover_quote_units": 36345.70877074789, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8345.922130255636, "return_pct": -16.540778697443635, "cagr_pct": -43.17894946633929, "max_drawdown_pct": 38.64495734994483, "mean_exposure_while_solvent": 1.1954837265636573, "realized_annual_volatility_pct": 54.33371884709349, "trading_costs_quote_units": 21.641700375951316, "borrowing_costs_quote_units": 55.58141662089104, "price_pnl_quote_units": -1576.8547527475248, "turnover_quote_units": 36069.50062658555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8345.922130255636, "return_pct": -16.540778697443635, "cagr_pct": -43.17894946633929, "max_drawdown_pct": 38.64495734994483, "mean_exposure_while_solvent": 1.1954837265636573, "realized_annual_volatility_pct": 54.33371884709349, "trading_costs_quote_units": 21.641700375951316, "borrowing_costs_quote_units": 55.58141662089104, "price_pnl_quote_units": -1576.8547527475248, "turnover_quote_units": 36069.50062658555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8345.922130255636, "return_pct": -16.540778697443635, "cagr_pct": -43.17894946633929, "max_drawdown_pct": 38.64495734994483, "mean_exposure_while_solvent": 1.1954837265636573, "realized_annual_volatility_pct": 54.33371884709349, "trading_costs_quote_units": 21.641700375951316, "borrowing_costs_quote_units": 55.58141662089104, "price_pnl_quote_units": -1576.8547527475248, "turnover_quote_units": 36069.50062658555, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7987.00156728738, "return_pct": -20.129984327126206, "cagr_pct": -50.47466362413597, "max_drawdown_pct": 46.402397141913845, "mean_exposure_while_solvent": 1.2817534791116942, "realized_annual_volatility_pct": 65.81605481481915, "trading_costs_quote_units": 26.60206173935583, "borrowing_costs_quote_units": 70.73568082028893, "price_pnl_quote_units": -1915.660690152974, "turnover_quote_units": 44336.76956559302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8494.944062096542, "return_pct": -15.050559379034588, "cagr_pct": -39.946515347762876, "max_drawdown_pct": 38.119835516241686, "mean_exposure_while_solvent": 1.1783385361907783, "realized_annual_volatility_pct": 53.356088132906464, "trading_costs_quote_units": 21.48102948488643, "borrowing_costs_quote_units": 52.36344631842925, "price_pnl_quote_units": -1431.2114621001401, "turnover_quote_units": 35801.71580814406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8479.068211072761, "return_pct": -15.20931788927239, "cagr_pct": -40.29668220684761, "max_drawdown_pct": 38.73251897406864, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.72827672721468, "trading_costs_quote_units": 21.771039867286323, "borrowing_costs_quote_units": 118.88505478510918, "price_pnl_quote_units": -1380.2756942748422, "turnover_quote_units": 36285.0664454772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8479.068211072761, "return_pct": -15.20931788927239, "cagr_pct": -40.29668220684761, "max_drawdown_pct": 38.73251897406864, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.72827672721468, "trading_costs_quote_units": 21.771039867286323, "borrowing_costs_quote_units": 118.88505478510918, "price_pnl_quote_units": -1380.2756942748422, "turnover_quote_units": 36285.0664454772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8479.068211072761, "return_pct": -15.20931788927239, "cagr_pct": -40.29668220684761, "max_drawdown_pct": 38.73251897406864, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.72827672721468, "trading_costs_quote_units": 21.771039867286323, "borrowing_costs_quote_units": 118.88505478510918, "price_pnl_quote_units": -1380.2756942748422, "turnover_quote_units": 36285.0664454772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8479.068211072761, "return_pct": -15.20931788927239, "cagr_pct": -40.29668220684761, "max_drawdown_pct": 38.73251897406864, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.72827672721468, "trading_costs_quote_units": 21.771039867286323, "borrowing_costs_quote_units": 118.88505478510918, "price_pnl_quote_units": -1380.2756942748422, "turnover_quote_units": 36285.0664454772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8479.068211072761, "return_pct": -15.20931788927239, "cagr_pct": -40.29668220684761, "max_drawdown_pct": 38.73251897406864, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.72827672721468, "trading_costs_quote_units": 21.771039867286323, "borrowing_costs_quote_units": 118.88505478510918, "price_pnl_quote_units": -1380.2756942748422, "turnover_quote_units": 36285.0664454772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8479.068211072761, "return_pct": -15.20931788927239, "cagr_pct": -40.29668220684761, "max_drawdown_pct": 38.73251897406864, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.72827672721468, "trading_costs_quote_units": 21.771039867286323, "borrowing_costs_quote_units": 118.88505478510918, "price_pnl_quote_units": -1380.2756942748422, "turnover_quote_units": 36285.0664454772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8292.805286068748, "return_pct": -17.071947139312527, "cagr_pct": -44.301870533429174, "max_drawdown_pct": 38.73251897406862, "mean_exposure_while_solvent": 1.1955177738902016, "realized_annual_volatility_pct": 54.33577656136399, "trading_costs_quote_units": 21.609070654715673, "borrowing_costs_quote_units": 110.8469127761256, "price_pnl_quote_units": -1574.7387305004288, "turnover_quote_units": 36015.11775785948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8292.805286068748, "return_pct": -17.071947139312527, "cagr_pct": -44.301870533429174, "max_drawdown_pct": 38.73251897406862, "mean_exposure_while_solvent": 1.1955177738902016, "realized_annual_volatility_pct": 54.33577656136399, "trading_costs_quote_units": 21.609070654715673, "borrowing_costs_quote_units": 110.8469127761256, "price_pnl_quote_units": -1574.7387305004288, "turnover_quote_units": 36015.11775785948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8292.805286068748, "return_pct": -17.071947139312527, "cagr_pct": -44.301870533429174, "max_drawdown_pct": 38.73251897406862, "mean_exposure_while_solvent": 1.1955177738902016, "realized_annual_volatility_pct": 54.33577656136399, "trading_costs_quote_units": 21.609070654715673, "borrowing_costs_quote_units": 110.8469127761256, "price_pnl_quote_units": -1574.7387305004288, "turnover_quote_units": 36015.11775785948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7913.934099441929, "return_pct": -20.860659005580708, "cagr_pct": -51.87735232256715, "max_drawdown_pct": 46.519525866420565, "mean_exposure_while_solvent": 1.281802417524834, "realized_annual_volatility_pct": 65.82085843478467, "trading_costs_quote_units": 26.53565334970021, "borrowing_costs_quote_units": 140.89719309851452, "price_pnl_quote_units": -1918.6330541098516, "turnover_quote_units": 44226.088916167006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8445.566994159075, "return_pct": -15.544330058409251, "cagr_pct": -41.03104221339905, "max_drawdown_pct": 38.23641646956817, "mean_exposure_while_solvent": 1.1783696137930852, "realized_annual_volatility_pct": 53.357603296631815, "trading_costs_quote_units": 21.445174160817686, "borrowing_costs_quote_units": 104.45992401098275, "price_pnl_quote_units": -1428.5279076691272, "turnover_quote_units": 35741.95693469616, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8458.681950093029, "return_pct": -15.413180499069712, "cagr_pct": -40.744293327976486, "max_drawdown_pct": 38.3702101848543, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.57249830486812, "trading_costs_quote_units": 108.26958033116247, "borrowing_costs_quote_units": 30.07485806091785, "price_pnl_quote_units": -1402.9736115148876, "turnover_quote_units": 36089.86011038749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8458.681950093029, "return_pct": -15.413180499069712, "cagr_pct": -40.744293327976486, "max_drawdown_pct": 38.3702101848543, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.57249830486812, "trading_costs_quote_units": 108.26958033116247, "borrowing_costs_quote_units": 30.07485806091785, "price_pnl_quote_units": -1402.9736115148876, "turnover_quote_units": 36089.86011038749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8458.681950093029, "return_pct": -15.413180499069712, "cagr_pct": -40.744293327976486, "max_drawdown_pct": 38.3702101848543, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.57249830486812, "trading_costs_quote_units": 108.26958033116247, "borrowing_costs_quote_units": 30.07485806091785, "price_pnl_quote_units": -1402.9736115148876, "turnover_quote_units": 36089.86011038749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8458.681950093029, "return_pct": -15.413180499069712, "cagr_pct": -40.744293327976486, "max_drawdown_pct": 38.3702101848543, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.57249830486812, "trading_costs_quote_units": 108.26958033116247, "borrowing_costs_quote_units": 30.07485806091785, "price_pnl_quote_units": -1402.9736115148876, "turnover_quote_units": 36089.86011038749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8458.681950093029, "return_pct": -15.413180499069712, "cagr_pct": -40.744293327976486, "max_drawdown_pct": 38.3702101848543, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.57249830486812, "trading_costs_quote_units": 108.26958033116247, "borrowing_costs_quote_units": 30.07485806091785, "price_pnl_quote_units": -1402.9736115148876, "turnover_quote_units": 36089.86011038749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8458.681950093029, "return_pct": -15.413180499069712, "cagr_pct": -40.744293327976486, "max_drawdown_pct": 38.3702101848543, "mean_exposure_while_solvent": 1.2125598871072782, "realized_annual_volatility_pct": 54.57249830486812, "trading_costs_quote_units": 108.26958033116247, "borrowing_costs_quote_units": 30.07485806091785, "price_pnl_quote_units": -1402.9736115148876, "turnover_quote_units": 36089.86011038749, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8265.124596094252, "return_pct": -17.34875403905748, "cagr_pct": -44.881029202492606, "max_drawdown_pct": 38.37021018485428, "mean_exposure_while_solvent": 1.1998380220497011, "realized_annual_volatility_pct": 54.17812871756929, "trading_costs_quote_units": 107.33407815999746, "borrowing_costs_quote_units": 28.035514482698687, "price_pnl_quote_units": -1599.5058112630527, "turnover_quote_units": 35778.02605333249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8265.124596094252, "return_pct": -17.34875403905748, "cagr_pct": -44.881029202492606, "max_drawdown_pct": 38.37021018485428, "mean_exposure_while_solvent": 1.1998380220497011, "realized_annual_volatility_pct": 54.17812871756929, "trading_costs_quote_units": 107.33407815999746, "borrowing_costs_quote_units": 28.035514482698687, "price_pnl_quote_units": -1599.5058112630527, "turnover_quote_units": 35778.02605333249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8265.124596094252, "return_pct": -17.34875403905748, "cagr_pct": -44.881029202492606, "max_drawdown_pct": 38.37021018485428, "mean_exposure_while_solvent": 1.1998380220497011, "realized_annual_volatility_pct": 54.17812871756929, "trading_costs_quote_units": 107.33407815999746, "borrowing_costs_quote_units": 28.035514482698687, "price_pnl_quote_units": -1599.5058112630527, "turnover_quote_units": 35778.02605333249, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8010.387182034994, "return_pct": -19.896128179650063, "cagr_pct": -50.01991943424755, "max_drawdown_pct": 46.76872478903701, "mean_exposure_while_solvent": 1.2846793545678763, "realized_annual_volatility_pct": 66.02814890374273, "trading_costs_quote_units": 131.7395087323643, "borrowing_costs_quote_units": 35.283463707575436, "price_pnl_quote_units": -1822.5898455250638, "turnover_quote_units": 43913.16957745473, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8412.36035708004, "return_pct": -15.876396429199591, "cagr_pct": -41.75285822691958, "max_drawdown_pct": 38.481966400364364, "mean_exposure_while_solvent": 1.1828847739385266, "realized_annual_volatility_pct": 53.38074855543671, "trading_costs_quote_units": 105.98756422667789, "borrowing_costs_quote_units": 26.275728031985206, "price_pnl_quote_units": -1455.3763506613, "turnover_quote_units": 35329.188075559316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8429.804572268298, "return_pct": -15.701954277317022, "cagr_pct": -41.37442544360987, "max_drawdown_pct": 38.414368001809166, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.573486725744694, "trading_costs_quote_units": 108.19389249683114, "borrowing_costs_quote_units": 60.05777463076468, "price_pnl_quote_units": -1401.9437606041095, "turnover_quote_units": 36064.63083227705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8429.804572268298, "return_pct": -15.701954277317022, "cagr_pct": -41.37442544360987, "max_drawdown_pct": 38.414368001809166, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.573486725744694, "trading_costs_quote_units": 108.19389249683114, "borrowing_costs_quote_units": 60.05777463076468, "price_pnl_quote_units": -1401.9437606041095, "turnover_quote_units": 36064.63083227705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8429.804572268298, "return_pct": -15.701954277317022, "cagr_pct": -41.37442544360987, "max_drawdown_pct": 38.414368001809166, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.573486725744694, "trading_costs_quote_units": 108.19389249683114, "borrowing_costs_quote_units": 60.05777463076468, "price_pnl_quote_units": -1401.9437606041095, "turnover_quote_units": 36064.63083227705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8429.804572268298, "return_pct": -15.701954277317022, "cagr_pct": -41.37442544360987, "max_drawdown_pct": 38.414368001809166, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.573486725744694, "trading_costs_quote_units": 108.19389249683114, "borrowing_costs_quote_units": 60.05777463076468, "price_pnl_quote_units": -1401.9437606041095, "turnover_quote_units": 36064.63083227705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8429.804572268298, "return_pct": -15.701954277317022, "cagr_pct": -41.37442544360987, "max_drawdown_pct": 38.414368001809166, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.573486725744694, "trading_costs_quote_units": 108.19389249683114, "borrowing_costs_quote_units": 60.05777463076468, "price_pnl_quote_units": -1401.9437606041095, "turnover_quote_units": 36064.63083227705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8429.804572268298, "return_pct": -15.701954277317022, "cagr_pct": -41.37442544360987, "max_drawdown_pct": 38.414368001809166, "mean_exposure_while_solvent": 1.212578224342633, "realized_annual_volatility_pct": 54.573486725744694, "trading_costs_quote_units": 108.19389249683114, "borrowing_costs_quote_units": 60.05777463076468, "price_pnl_quote_units": -1401.9437606041095, "turnover_quote_units": 36064.63083227705, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8238.558545686752, "return_pct": -17.614414543132483, "cagr_pct": -45.43300159756692, "max_drawdown_pct": 38.414368001809116, "mean_exposure_while_solvent": 1.1998552821860196, "realized_annual_volatility_pct": 54.17949675386083, "trading_costs_quote_units": 107.26775009750234, "borrowing_costs_quote_units": 55.99087310622741, "price_pnl_quote_units": -1598.1828311095212, "turnover_quote_units": 35755.91669916746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8238.558545686752, "return_pct": -17.614414543132483, "cagr_pct": -45.43300159756692, "max_drawdown_pct": 38.414368001809116, "mean_exposure_while_solvent": 1.1998552821860196, "realized_annual_volatility_pct": 54.17949675386083, "trading_costs_quote_units": 107.26775009750234, "borrowing_costs_quote_units": 55.99087310622741, "price_pnl_quote_units": -1598.1828311095212, "turnover_quote_units": 35755.91669916746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8238.558545686752, "return_pct": -17.614414543132483, "cagr_pct": -45.43300159756692, "max_drawdown_pct": 38.414368001809116, "mean_exposure_while_solvent": 1.1998552821860196, "realized_annual_volatility_pct": 54.17949675386083, "trading_costs_quote_units": 107.26775009750234, "borrowing_costs_quote_units": 55.99087310622741, "price_pnl_quote_units": -1598.1828311095212, "turnover_quote_units": 35755.91669916746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7973.676818199259, "return_pct": -20.26323181800741, "cagr_pct": -50.73250682832637, "max_drawdown_pct": 46.82845233540173, "mean_exposure_while_solvent": 1.2847038194530707, "realized_annual_volatility_pct": 66.0309525791158, "trading_costs_quote_units": 131.56907324435707, "borrowing_costs_quote_units": 70.42348074521966, "price_pnl_quote_units": -1824.3306278111613, "turnover_quote_units": 43856.35774811902, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8387.653315506028, "return_pct": -16.123466844939728, "cagr_pct": -42.286001945096125, "max_drawdown_pct": 38.53876167423802, "mean_exposure_while_solvent": 1.1829005902302736, "realized_annual_volatility_pct": 53.381713773748906, "trading_costs_quote_units": 105.91575083694141, "borrowing_costs_quote_units": 52.48381847677061, "price_pnl_quote_units": -1453.94711518026, "turnover_quote_units": 35305.25027898047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8372.329586367146, "return_pct": -16.276704136328533, "cagr_pct": -42.61499358201628, "max_drawdown_pct": 38.502613343043514, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.57550256020909, "trading_costs_quote_units": 108.04281496401117, "borrowing_costs_quote_units": 119.74889294943783, "price_pnl_quote_units": -1399.8787057194002, "turnover_quote_units": 36014.27165467038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8372.329586367146, "return_pct": -16.276704136328533, "cagr_pct": -42.61499358201628, "max_drawdown_pct": 38.502613343043514, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.57550256020909, "trading_costs_quote_units": 108.04281496401117, "borrowing_costs_quote_units": 119.74889294943783, "price_pnl_quote_units": -1399.8787057194002, "turnover_quote_units": 36014.27165467038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8372.329586367146, "return_pct": -16.276704136328533, "cagr_pct": -42.61499358201628, "max_drawdown_pct": 38.502613343043514, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.57550256020909, "trading_costs_quote_units": 108.04281496401117, "borrowing_costs_quote_units": 119.74889294943783, "price_pnl_quote_units": -1399.8787057194002, "turnover_quote_units": 36014.27165467038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8372.329586367146, "return_pct": -16.276704136328533, "cagr_pct": -42.61499358201628, "max_drawdown_pct": 38.502613343043514, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.57550256020909, "trading_costs_quote_units": 108.04281496401117, "borrowing_costs_quote_units": 119.74889294943783, "price_pnl_quote_units": -1399.8787057194002, "turnover_quote_units": 36014.27165467038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8372.329586367146, "return_pct": -16.276704136328533, "cagr_pct": -42.61499358201628, "max_drawdown_pct": 38.502613343043514, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.57550256020909, "trading_costs_quote_units": 108.04281496401117, "borrowing_costs_quote_units": 119.74889294943783, "price_pnl_quote_units": -1399.8787057194002, "turnover_quote_units": 36014.27165467038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8372.329586367146, "return_pct": -16.276704136328533, "cagr_pct": -42.61499358201628, "max_drawdown_pct": 38.502613343043514, "mean_exposure_while_solvent": 1.212614906783808, "realized_annual_volatility_pct": 54.57550256020909, "trading_costs_quote_units": 108.04281496401117, "borrowing_costs_quote_units": 119.74889294943783, "price_pnl_quote_units": -1399.8787057194002, "turnover_quote_units": 36014.27165467038, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8185.667928402639, "return_pct": -18.14332071597361, "cagr_pct": -46.52071338766518, "max_drawdown_pct": 38.50261334304348, "mean_exposure_while_solvent": 1.1998898099684807, "realized_annual_volatility_pct": 54.18227171628123, "trading_costs_quote_units": 107.13535403142109, "borrowing_costs_quote_units": 111.66202404625407, "price_pnl_quote_units": -1595.5346935196828, "turnover_quote_units": 35711.784677140364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8185.667928402639, "return_pct": -18.14332071597361, "cagr_pct": -46.52071338766518, "max_drawdown_pct": 38.50261334304348, "mean_exposure_while_solvent": 1.1998898099684807, "realized_annual_volatility_pct": 54.18227171628123, "trading_costs_quote_units": 107.13535403142109, "borrowing_costs_quote_units": 111.66202404625407, "price_pnl_quote_units": -1595.5346935196828, "turnover_quote_units": 35711.784677140364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8185.667928402639, "return_pct": -18.14332071597361, "cagr_pct": -46.52071338766518, "max_drawdown_pct": 38.50261334304348, "mean_exposure_while_solvent": 1.1998898099684807, "realized_annual_volatility_pct": 54.18227171628123, "trading_costs_quote_units": 107.13535403142109, "borrowing_costs_quote_units": 111.66202404625407, "price_pnl_quote_units": -1595.5346935196828, "turnover_quote_units": 35711.784677140364, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7900.732242649955, "return_pct": -20.99267757350045, "cagr_pct": -52.12787390438138, "max_drawdown_pct": 47.04715849874006, "mean_exposure_while_solvent": 1.2847527598427095, "realized_annual_volatility_pct": 66.03659051543718, "trading_costs_quote_units": 131.24037728946294, "borrowing_costs_quote_units": 140.27544188643947, "price_pnl_quote_units": -1827.7519381741383, "turnover_quote_units": 43746.79242982097, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8338.434962210118, "return_pct": -16.615650377898817, "cagr_pct": -43.338156301421634, "max_drawdown_pct": 38.65228812315408, "mean_exposure_while_solvent": 1.1829322296987828, "realized_annual_volatility_pct": 53.383677905756365, "trading_costs_quote_units": 105.78252075355773, "borrowing_costs_quote_units": 104.69769597365998, "price_pnl_quote_units": -1451.0848210626584, "turnover_quote_units": 35260.840251185924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8483.564126247704, "return_pct": -15.164358737522965, "cagr_pct": -40.19765906590289, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.70077037937343, "trading_costs_quote_units": 108.56452965219675, "borrowing_costs_quote_units": 29.66690938897428, "price_pnl_quote_units": -1378.2044347111173, "turnover_quote_units": 36188.17655073224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8483.564126247704, "return_pct": -15.164358737522965, "cagr_pct": -40.19765906590289, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.70077037937343, "trading_costs_quote_units": 108.56452965219675, "borrowing_costs_quote_units": 29.66690938897428, "price_pnl_quote_units": -1378.2044347111173, "turnover_quote_units": 36188.17655073224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8483.564126247704, "return_pct": -15.164358737522965, "cagr_pct": -40.19765906590289, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.70077037937343, "trading_costs_quote_units": 108.56452965219675, "borrowing_costs_quote_units": 29.66690938897428, "price_pnl_quote_units": -1378.2044347111173, "turnover_quote_units": 36188.17655073224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8483.564126247704, "return_pct": -15.164358737522965, "cagr_pct": -40.19765906590289, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.70077037937343, "trading_costs_quote_units": 108.56452965219675, "borrowing_costs_quote_units": 29.66690938897428, "price_pnl_quote_units": -1378.2044347111173, "turnover_quote_units": 36188.17655073224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8483.564126247704, "return_pct": -15.164358737522965, "cagr_pct": -40.19765906590289, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.70077037937343, "trading_costs_quote_units": 108.56452965219675, "borrowing_costs_quote_units": 29.66690938897428, "price_pnl_quote_units": -1378.2044347111173, "turnover_quote_units": 36188.17655073224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8483.564126247704, "return_pct": -15.164358737522965, "cagr_pct": -40.19765906590289, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.2080920042553378, "realized_annual_volatility_pct": 54.70077037937343, "trading_costs_quote_units": 108.56452965219675, "borrowing_costs_quote_units": 29.66690938897428, "price_pnl_quote_units": -1378.2044347111173, "turnover_quote_units": 36188.17655073224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8293.115762432335, "return_pct": -17.068842375676653, "cagr_pct": -44.29535112142062, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.1954667065839355, "realized_annual_volatility_pct": 54.306334930265734, "trading_costs_quote_units": 107.73605091543713, "borrowing_costs_quote_units": 27.65538913165299, "price_pnl_quote_units": -1571.4927975205705, "turnover_quote_units": 35912.016971812365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8293.115762432335, "return_pct": -17.068842375676653, "cagr_pct": -44.29535112142062, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.1954667065839355, "realized_annual_volatility_pct": 54.306334930265734, "trading_costs_quote_units": 107.73605091543713, "borrowing_costs_quote_units": 27.65538913165299, "price_pnl_quote_units": -1571.4927975205705, "turnover_quote_units": 35912.016971812365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8293.115762432335, "return_pct": -17.068842375676653, "cagr_pct": -44.29535112142062, "max_drawdown_pct": 38.76895264719293, "mean_exposure_while_solvent": 1.1954667065839355, "realized_annual_volatility_pct": 54.306334930265734, "trading_costs_quote_units": 107.73605091543713, "borrowing_costs_quote_units": 27.65538913165299, "price_pnl_quote_units": -1571.4927975205705, "turnover_quote_units": 35912.016971812365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7927.576188770016, "return_pct": -20.72423811229983, "cagr_pct": -51.61754157477143, "max_drawdown_pct": 46.44072468347955, "mean_exposure_while_solvent": 1.2817290152164111, "realized_annual_volatility_pct": 65.79240581976018, "trading_costs_quote_units": 132.4085747049798, "borrowing_costs_quote_units": 35.1732852142451, "price_pnl_quote_units": -1904.8419513107576, "turnover_quote_units": 44136.19156832657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8439.904718974594, "return_pct": -15.600952810254054, "cagr_pct": -41.15455146434455, "max_drawdown_pct": 38.15046667780126, "mean_exposure_while_solvent": 1.1783230007463839, "realized_annual_volatility_pct": 53.34663846841743, "trading_costs_quote_units": 106.94636275901847, "borrowing_costs_quote_units": 26.061088367174786, "price_pnl_quote_units": -1427.087829899221, "turnover_quote_units": 35648.78758633949, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8454.825484253193, "return_pct": -15.451745157468066, "cagr_pct": -40.828710328242984, "max_drawdown_pct": 38.81277571081141, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.70139671950825, "trading_costs_quote_units": 108.47442139042114, "borrowing_costs_quote_units": 59.243561428245066, "price_pnl_quote_units": -1377.4565329281459, "turnover_quote_units": 36158.14046347371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8454.825484253193, "return_pct": -15.451745157468066, "cagr_pct": -40.828710328242984, "max_drawdown_pct": 38.81277571081141, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.70139671950825, "trading_costs_quote_units": 108.47442139042114, "borrowing_costs_quote_units": 59.243561428245066, "price_pnl_quote_units": -1377.4565329281459, "turnover_quote_units": 36158.14046347371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8454.825484253193, "return_pct": -15.451745157468066, "cagr_pct": -40.828710328242984, "max_drawdown_pct": 38.81277571081141, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.70139671950825, "trading_costs_quote_units": 108.47442139042114, "borrowing_costs_quote_units": 59.243561428245066, "price_pnl_quote_units": -1377.4565329281459, "turnover_quote_units": 36158.14046347371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8454.825484253193, "return_pct": -15.451745157468066, "cagr_pct": -40.828710328242984, "max_drawdown_pct": 38.81277571081141, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.70139671950825, "trading_costs_quote_units": 108.47442139042114, "borrowing_costs_quote_units": 59.243561428245066, "price_pnl_quote_units": -1377.4565329281459, "turnover_quote_units": 36158.14046347371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8454.825484253193, "return_pct": -15.451745157468066, "cagr_pct": -40.828710328242984, "max_drawdown_pct": 38.81277571081141, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.70139671950825, "trading_costs_quote_units": 108.47442139042114, "borrowing_costs_quote_units": 59.243561428245066, "price_pnl_quote_units": -1377.4565329281459, "turnover_quote_units": 36158.14046347371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8454.825484253193, "return_pct": -15.451745157468066, "cagr_pct": -40.828710328242984, "max_drawdown_pct": 38.81277571081141, "mean_exposure_while_solvent": 1.2081100922382835, "realized_annual_volatility_pct": 54.70139671950825, "trading_costs_quote_units": 108.47442139042114, "borrowing_costs_quote_units": 59.243561428245066, "price_pnl_quote_units": -1377.4565329281459, "turnover_quote_units": 36158.14046347371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8266.679183840191, "return_pct": -17.33320816159809, "cagr_pct": -44.84861187323176, "max_drawdown_pct": 38.81277571081142, "mean_exposure_while_solvent": 1.1954837265636573, "realized_annual_volatility_pct": 54.30735172653486, "trading_costs_quote_units": 107.65524889242958, "borrowing_costs_quote_units": 55.2321352415175, "price_pnl_quote_units": -1570.4334320258658, "turnover_quote_units": 35885.08296414321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8266.679183840191, "return_pct": -17.33320816159809, "cagr_pct": -44.84861187323176, "max_drawdown_pct": 38.81277571081142, "mean_exposure_while_solvent": 1.1954837265636573, "realized_annual_volatility_pct": 54.30735172653486, "trading_costs_quote_units": 107.65524889242958, "borrowing_costs_quote_units": 55.2321352415175, "price_pnl_quote_units": -1570.4334320258658, "turnover_quote_units": 35885.08296414321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8266.679183840191, "return_pct": -17.33320816159809, "cagr_pct": -44.84861187323176, "max_drawdown_pct": 38.81277571081142, "mean_exposure_while_solvent": 1.1954837265636573, "realized_annual_volatility_pct": 54.30735172653486, "trading_costs_quote_units": 107.65524889242958, "borrowing_costs_quote_units": 55.2321352415175, "price_pnl_quote_units": -1570.4334320258658, "turnover_quote_units": 35885.08296414321, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7891.224796032336, "return_pct": -21.087752039676644, "cagr_pct": -52.30773905138991, "max_drawdown_pct": 46.499339456501, "mean_exposure_while_solvent": 1.2817534791116942, "realized_annual_volatility_pct": 65.79481684964655, "trading_costs_quote_units": 132.2436505259183, "borrowing_costs_quote_units": 70.20361447690706, "price_pnl_quote_units": -1906.327938964843, "turnover_quote_units": 44081.21684197275, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8415.340087144385, "return_pct": -15.84659912855615, "cagr_pct": -41.68833431895569, "max_drawdown_pct": 38.20883597027598, "mean_exposure_while_solvent": 1.1783385361907783, "realized_annual_volatility_pct": 53.347400845659855, "trading_costs_quote_units": 106.85751859588969, "borrowing_costs_quote_units": 52.055725094039516, "price_pnl_quote_units": -1425.74666916569, "turnover_quote_units": 35619.17286529657, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8397.62440200079, "return_pct": -16.023755979992092, "cagr_pct": -42.07124095444604, "max_drawdown_pct": 38.90035185843467, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.70268817078263, "trading_costs_quote_units": 108.29469103424778, "borrowing_costs_quote_units": 118.12717618911164, "price_pnl_quote_units": -1375.9537307758576, "turnover_quote_units": 36098.23034474925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8397.62440200079, "return_pct": -16.023755979992092, "cagr_pct": -42.07124095444604, "max_drawdown_pct": 38.90035185843467, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.70268817078263, "trading_costs_quote_units": 108.29469103424778, "borrowing_costs_quote_units": 118.12717618911164, "price_pnl_quote_units": -1375.9537307758576, "turnover_quote_units": 36098.23034474925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8397.62440200079, "return_pct": -16.023755979992092, "cagr_pct": -42.07124095444604, "max_drawdown_pct": 38.90035185843467, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.70268817078263, "trading_costs_quote_units": 108.29469103424778, "borrowing_costs_quote_units": 118.12717618911164, "price_pnl_quote_units": -1375.9537307758576, "turnover_quote_units": 36098.23034474925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8397.62440200079, "return_pct": -16.023755979992092, "cagr_pct": -42.07124095444604, "max_drawdown_pct": 38.90035185843467, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.70268817078263, "trading_costs_quote_units": 108.29469103424778, "borrowing_costs_quote_units": 118.12717618911164, "price_pnl_quote_units": -1375.9537307758576, "turnover_quote_units": 36098.23034474925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8397.62440200079, "return_pct": -16.023755979992092, "cagr_pct": -42.07124095444604, "max_drawdown_pct": 38.90035185843467, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.70268817078263, "trading_costs_quote_units": 108.29469103424778, "borrowing_costs_quote_units": 118.12717618911164, "price_pnl_quote_units": -1375.9537307758576, "turnover_quote_units": 36098.23034474925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8397.62440200079, "return_pct": -16.023755979992092, "cagr_pct": -42.07124095444604, "max_drawdown_pct": 38.90035185843467, "mean_exposure_while_solvent": 1.20814627602879, "realized_annual_volatility_pct": 54.70268817078263, "trading_costs_quote_units": 108.29469103424778, "borrowing_costs_quote_units": 118.12717618911164, "price_pnl_quote_units": -1375.9537307758576, "turnover_quote_units": 36098.23034474925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8214.044282502578, "return_pct": -17.859557174974217, "cagr_pct": -45.938997100129804, "max_drawdown_pct": 38.900351858434654, "mean_exposure_while_solvent": 1.1955177738902016, "realized_annual_volatility_pct": 54.309423797180465, "trading_costs_quote_units": 107.49408312229335, "borrowing_costs_quote_units": 110.1505766783792, "price_pnl_quote_units": -1568.3110576967586, "turnover_quote_units": 35831.361040764445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8214.044282502578, "return_pct": -17.859557174974217, "cagr_pct": -45.938997100129804, "max_drawdown_pct": 38.900351858434654, "mean_exposure_while_solvent": 1.1955177738902016, "realized_annual_volatility_pct": 54.309423797180465, "trading_costs_quote_units": 107.49408312229335, "borrowing_costs_quote_units": 110.1505766783792, "price_pnl_quote_units": -1568.3110576967586, "turnover_quote_units": 35831.361040764445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8214.044282502578, "return_pct": -17.859557174974217, "cagr_pct": -45.938997100129804, "max_drawdown_pct": 38.900351858434654, "mean_exposure_while_solvent": 1.1955177738902016, "realized_annual_volatility_pct": 54.309423797180465, "trading_costs_quote_units": 107.49408312229335, "borrowing_costs_quote_units": 110.1505766783792, "price_pnl_quote_units": -1568.3110576967586, "turnover_quote_units": 35831.361040764445, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7819.001620703028, "return_pct": -21.809983792969724, "cagr_pct": -53.65910129055117, "max_drawdown_pct": 46.61640835167765, "mean_exposure_while_solvent": 1.281802417524834, "realized_annual_volatility_pct": 65.7996726117822, "trading_costs_quote_units": 131.91542317105444, "borrowing_costs_quote_units": 139.83778604962532, "price_pnl_quote_units": -1909.2451700763013, "turnover_quote_units": 43971.807723684804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8366.411823989067, "return_pct": -16.335881760109327, "cagr_pct": -42.74170236355649, "max_drawdown_pct": 38.3254419113913, "mean_exposure_while_solvent": 1.1783696137930852, "realized_annual_volatility_pct": 53.34896318512396, "trading_costs_quote_units": 106.68028890596342, "borrowing_costs_quote_units": 103.84630750144083, "price_pnl_quote_units": -1423.0615796035281, "turnover_quote_units": 35560.096301987796, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-2026_partial-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2026_partial-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8616.29956736989, "return_pct": -13.837004326301106, "cagr_pct": -37.22355260484906, "max_drawdown_pct": 38.15007414033145, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.28186342904118, "trading_costs_quote_units": 21.733625000536414, "borrowing_costs_quote_units": 30.231502815117242, "price_pnl_quote_units": -1331.7353048144585, "turnover_quote_units": 36222.70833422736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8616.29956736989, "return_pct": -13.837004326301106, "cagr_pct": -37.22355260484906, "max_drawdown_pct": 38.15007414033145, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.28186342904118, "trading_costs_quote_units": 21.733625000536414, "borrowing_costs_quote_units": 30.231502815117242, "price_pnl_quote_units": -1331.7353048144585, "turnover_quote_units": 36222.70833422736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8616.29956736989, "return_pct": -13.837004326301106, "cagr_pct": -37.22355260484906, "max_drawdown_pct": 38.15007414033145, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.28186342904118, "trading_costs_quote_units": 21.733625000536414, "borrowing_costs_quote_units": 30.231502815117242, "price_pnl_quote_units": -1331.7353048144585, "turnover_quote_units": 36222.70833422736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8616.29956736989, "return_pct": -13.837004326301106, "cagr_pct": -37.22355260484906, "max_drawdown_pct": 38.15007414033145, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.28186342904118, "trading_costs_quote_units": 21.733625000536414, "borrowing_costs_quote_units": 30.231502815117242, "price_pnl_quote_units": -1331.7353048144585, "turnover_quote_units": 36222.70833422736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8616.29956736989, "return_pct": -13.837004326301106, "cagr_pct": -37.22355260484906, "max_drawdown_pct": 38.15007414033145, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.28186342904118, "trading_costs_quote_units": 21.733625000536414, "borrowing_costs_quote_units": 30.231502815117242, "price_pnl_quote_units": -1331.7353048144585, "turnover_quote_units": 36222.70833422736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8616.29956736989, "return_pct": -13.837004326301106, "cagr_pct": -37.22355260484906, "max_drawdown_pct": 38.15007414033145, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.28186342904118, "trading_costs_quote_units": 21.733625000536414, "borrowing_costs_quote_units": 30.231502815117242, "price_pnl_quote_units": -1331.7353048144585, "turnover_quote_units": 36222.70833422736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8418.857771809873, "return_pct": -15.811422281901265, "cagr_pct": -41.612098841624395, "max_drawdown_pct": 38.15007414033148, "mean_exposure_while_solvent": 1.1998338383202225, "realized_annual_volatility_pct": 53.89560858972906, "trading_costs_quote_units": 21.546557396582173, "borrowing_costs_quote_units": 28.181600209452736, "price_pnl_quote_units": -1531.4140705840932, "turnover_quote_units": 35910.92899430362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8418.857771809873, "return_pct": -15.811422281901265, "cagr_pct": -41.612098841624395, "max_drawdown_pct": 38.15007414033148, "mean_exposure_while_solvent": 1.1998338383202225, "realized_annual_volatility_pct": 53.89560858972906, "trading_costs_quote_units": 21.546557396582173, "borrowing_costs_quote_units": 28.181600209452736, "price_pnl_quote_units": -1531.4140705840932, "turnover_quote_units": 35910.92899430362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8418.857771809873, "return_pct": -15.811422281901265, "cagr_pct": -41.612098841624395, "max_drawdown_pct": 38.15007414033148, "mean_exposure_while_solvent": 1.1998338383202225, "realized_annual_volatility_pct": 53.89560858972906, "trading_costs_quote_units": 21.546557396582173, "borrowing_costs_quote_units": 28.181600209452736, "price_pnl_quote_units": -1531.4140705840932, "turnover_quote_units": 35910.92899430362, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8130.459618376382, "return_pct": -18.69540381623618, "cagr_pct": -47.6402598326267, "max_drawdown_pct": 46.54559572984216, "mean_exposure_while_solvent": 1.2846985569247678, "realized_annual_volatility_pct": 65.76769819939268, "trading_costs_quote_units": 26.449175513115794, "borrowing_costs_quote_units": 35.481351333925524, "price_pnl_quote_units": -1807.6098547765778, "turnover_quote_units": 44081.95918852632, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8566.070100569485, "return_pct": -14.33929899430515, "cagr_pct": -38.36056172562842, "max_drawdown_pct": 38.22395977382402, "mean_exposure_while_solvent": 1.1828816710809487, "realized_annual_volatility_pct": 53.152537611325215, "trading_costs_quote_units": 21.281047528371843, "borrowing_costs_quote_units": 26.395863435306598, "price_pnl_quote_units": -1386.2529884668445, "turnover_quote_units": 35468.41254728641, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8586.913614827079, "return_pct": -14.130863851729213, "cagr_pct": -37.890457146054544, "max_drawdown_pct": 38.194249721137155, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.282774331679185, "trading_costs_quote_units": 21.71778181167489, "borrowing_costs_quote_units": 60.370538925781524, "price_pnl_quote_units": -1330.9980644354664, "turnover_quote_units": 36196.303019458144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8586.913614827079, "return_pct": -14.130863851729213, "cagr_pct": -37.890457146054544, "max_drawdown_pct": 38.194249721137155, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.282774331679185, "trading_costs_quote_units": 21.71778181167489, "borrowing_costs_quote_units": 60.370538925781524, "price_pnl_quote_units": -1330.9980644354664, "turnover_quote_units": 36196.303019458144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8586.913614827079, "return_pct": -14.130863851729213, "cagr_pct": -37.890457146054544, "max_drawdown_pct": 38.194249721137155, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.282774331679185, "trading_costs_quote_units": 21.71778181167489, "borrowing_costs_quote_units": 60.370538925781524, "price_pnl_quote_units": -1330.9980644354664, "turnover_quote_units": 36196.303019458144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8586.913614827079, "return_pct": -14.130863851729213, "cagr_pct": -37.890457146054544, "max_drawdown_pct": 38.194249721137155, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.282774331679185, "trading_costs_quote_units": 21.71778181167489, "borrowing_costs_quote_units": 60.370538925781524, "price_pnl_quote_units": -1330.9980644354664, "turnover_quote_units": 36196.303019458144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8586.913614827079, "return_pct": -14.130863851729213, "cagr_pct": -37.890457146054544, "max_drawdown_pct": 38.194249721137155, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.282774331679185, "trading_costs_quote_units": 21.71778181167489, "borrowing_costs_quote_units": 60.370538925781524, "price_pnl_quote_units": -1330.9980644354664, "turnover_quote_units": 36196.303019458144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8586.913614827079, "return_pct": -14.130863851729213, "cagr_pct": -37.890457146054544, "max_drawdown_pct": 38.194249721137155, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.282774331679185, "trading_costs_quote_units": 21.71778181167489, "borrowing_costs_quote_units": 60.370538925781524, "price_pnl_quote_units": -1330.9980644354664, "turnover_quote_units": 36196.303019458144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8391.828350085976, "return_pct": -16.081716499140242, "cagr_pct": -42.196144508527794, "max_drawdown_pct": 38.19424972113718, "mean_exposure_while_solvent": 1.1998510971909457, "realized_annual_volatility_pct": 53.8968961682105, "trading_costs_quote_units": 21.532604468004543, "borrowing_costs_quote_units": 56.28260903269174, "price_pnl_quote_units": -1530.3564364133351, "turnover_quote_units": 35887.67411334091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8391.828350085976, "return_pct": -16.081716499140242, "cagr_pct": -42.196144508527794, "max_drawdown_pct": 38.19424972113718, "mean_exposure_while_solvent": 1.1998510971909457, "realized_annual_volatility_pct": 53.8968961682105, "trading_costs_quote_units": 21.532604468004543, "borrowing_costs_quote_units": 56.28260903269174, "price_pnl_quote_units": -1530.3564364133351, "turnover_quote_units": 35887.67411334091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8391.828350085976, "return_pct": -16.081716499140242, "cagr_pct": -42.196144508527794, "max_drawdown_pct": 38.19424972113718, "mean_exposure_while_solvent": 1.1998510971909457, "realized_annual_volatility_pct": 53.8968961682105, "trading_costs_quote_units": 21.532604468004543, "borrowing_costs_quote_units": 56.28260903269174, "price_pnl_quote_units": -1530.3564364133351, "turnover_quote_units": 35887.67411334091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8093.200649463841, "return_pct": -19.067993505361592, "cagr_pct": -48.386741790558936, "max_drawdown_pct": 46.63891198413531, "mean_exposure_while_solvent": 1.2847230246781258, "realized_annual_volatility_pct": 65.77050433582409, "trading_costs_quote_units": 26.41478668590426, "borrowing_costs_quote_units": 70.8183659432375, "price_pnl_quote_units": -1809.5661979070055, "turnover_quote_units": 44024.64447650709, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8540.938013295483, "return_pct": -14.590619867045174, "cagr_pct": -38.924165419740575, "max_drawdown_pct": 38.28088468333695, "mean_exposure_while_solvent": 1.182897486159139, "realized_annual_volatility_pct": 53.15344414047257, "trading_costs_quote_units": 21.26598702467303, "borrowing_costs_quote_units": 52.723763195856236, "price_pnl_quote_units": -1385.0722364839894, "turnover_quote_units": 35443.311707788365, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8528.42527341487, "return_pct": -14.715747265851299, "cagr_pct": -39.203460406898316, "max_drawdown_pct": 38.28253689913982, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.28463529361085, "trading_costs_quote_units": 21.687235387323405, "borrowing_costs_quote_units": 120.37231827653365, "price_pnl_quote_units": -1329.5151729212773, "turnover_quote_units": 36145.39231220569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8528.42527341487, "return_pct": -14.715747265851299, "cagr_pct": -39.203460406898316, "max_drawdown_pct": 38.28253689913982, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.28463529361085, "trading_costs_quote_units": 21.687235387323405, "borrowing_costs_quote_units": 120.37231827653365, "price_pnl_quote_units": -1329.5151729212773, "turnover_quote_units": 36145.39231220569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8528.42527341487, "return_pct": -14.715747265851299, "cagr_pct": -39.203460406898316, "max_drawdown_pct": 38.28253689913982, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.28463529361085, "trading_costs_quote_units": 21.687235387323405, "borrowing_costs_quote_units": 120.37231827653365, "price_pnl_quote_units": -1329.5151729212773, "turnover_quote_units": 36145.39231220569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8528.42527341487, "return_pct": -14.715747265851299, "cagr_pct": -39.203460406898316, "max_drawdown_pct": 38.28253689913982, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.28463529361085, "trading_costs_quote_units": 21.687235387323405, "borrowing_costs_quote_units": 120.37231827653365, "price_pnl_quote_units": -1329.5151729212773, "turnover_quote_units": 36145.39231220569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8528.42527341487, "return_pct": -14.715747265851299, "cagr_pct": -39.203460406898316, "max_drawdown_pct": 38.28253689913982, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.28463529361085, "trading_costs_quote_units": 21.687235387323405, "borrowing_costs_quote_units": 120.37231827653365, "price_pnl_quote_units": -1329.5151729212773, "turnover_quote_units": 36145.39231220569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8528.42527341487, "return_pct": -14.715747265851299, "cagr_pct": -39.203460406898316, "max_drawdown_pct": 38.28253689913982, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.28463529361085, "trading_costs_quote_units": 21.687235387323405, "borrowing_costs_quote_units": 120.37231827653365, "price_pnl_quote_units": -1329.5151729212773, "turnover_quote_units": 36145.39231220569, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8338.014093500009, "return_pct": -16.619859064999908, "cagr_pct": -43.34709661903495, "max_drawdown_pct": 38.28253689913985, "mean_exposure_while_solvent": 1.1998856224408727, "realized_annual_volatility_pct": 53.899510367873496, "trading_costs_quote_units": 21.505825770489157, "borrowing_costs_quote_units": 112.24375038791385, "price_pnl_quote_units": -1528.2363303415816, "turnover_quote_units": 35843.04295081527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8338.014093500009, "return_pct": -16.619859064999908, "cagr_pct": -43.34709661903495, "max_drawdown_pct": 38.28253689913985, "mean_exposure_while_solvent": 1.1998856224408727, "realized_annual_volatility_pct": 53.899510367873496, "trading_costs_quote_units": 21.505825770489157, "borrowing_costs_quote_units": 112.24375038791385, "price_pnl_quote_units": -1528.2363303415816, "turnover_quote_units": 35843.04295081527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8338.014093500009, "return_pct": -16.619859064999908, "cagr_pct": -43.34709661903495, "max_drawdown_pct": 38.28253689913985, "mean_exposure_while_solvent": 1.1998856224408727, "realized_annual_volatility_pct": 53.899510367873496, "trading_costs_quote_units": 21.505825770489157, "borrowing_costs_quote_units": 112.24375038791385, "price_pnl_quote_units": -1528.2363303415816, "turnover_quote_units": 35843.04295081527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8019.172063712384, "return_pct": -19.808279362876156, "cagr_pct": -49.84836218260233, "max_drawdown_pct": 46.8923593100667, "mean_exposure_while_solvent": 1.284771970805787, "realized_annual_volatility_pct": 65.77614957195802, "trading_costs_quote_units": 26.34888368312061, "borrowing_costs_quote_units": 141.06176110858667, "price_pnl_quote_units": -1813.4172914959167, "turnover_quote_units": 43914.80613853433, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8490.878330074971, "return_pct": -15.091216699250287, "cagr_pct": -40.036324149800194, "max_drawdown_pct": 38.39462980754984, "mean_exposure_while_solvent": 1.18292912319921, "realized_annual_volatility_pct": 53.15529388687877, "trading_costs_quote_units": 21.239447894073372, "borrowing_costs_quote_units": 105.17633043069856, "price_pnl_quote_units": -1382.7058916002545, "turnover_quote_units": 35399.07982345563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.97033594294, "return_pct": -13.550296640570592, "cagr_pct": -36.56820113654108, "max_drawdown_pct": 38.55348898557403, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.431259950966336, "trading_costs_quote_units": 21.791563980957296, "borrowing_costs_quote_units": 29.836255227173083, "price_pnl_quote_units": -1303.4018448489308, "turnover_quote_units": 36319.27330159549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.97033594294, "return_pct": -13.550296640570592, "cagr_pct": -36.56820113654108, "max_drawdown_pct": 38.55348898557403, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.431259950966336, "trading_costs_quote_units": 21.791563980957296, "borrowing_costs_quote_units": 29.836255227173083, "price_pnl_quote_units": -1303.4018448489308, "turnover_quote_units": 36319.27330159549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.97033594294, "return_pct": -13.550296640570592, "cagr_pct": -36.56820113654108, "max_drawdown_pct": 38.55348898557403, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.431259950966336, "trading_costs_quote_units": 21.791563980957296, "borrowing_costs_quote_units": 29.836255227173083, "price_pnl_quote_units": -1303.4018448489308, "turnover_quote_units": 36319.27330159549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.97033594294, "return_pct": -13.550296640570592, "cagr_pct": -36.56820113654108, "max_drawdown_pct": 38.55348898557403, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.431259950966336, "trading_costs_quote_units": 21.791563980957296, "borrowing_costs_quote_units": 29.836255227173083, "price_pnl_quote_units": -1303.4018448489308, "turnover_quote_units": 36319.27330159549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.97033594294, "return_pct": -13.550296640570592, "cagr_pct": -36.56820113654108, "max_drawdown_pct": 38.55348898557403, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.431259950966336, "trading_costs_quote_units": 21.791563980957296, "borrowing_costs_quote_units": 29.836255227173083, "price_pnl_quote_units": -1303.4018448489308, "turnover_quote_units": 36319.27330159549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8644.97033594294, "return_pct": -13.550296640570592, "cagr_pct": -36.56820113654108, "max_drawdown_pct": 38.55348898557403, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.431259950966336, "trading_costs_quote_units": 21.791563980957296, "borrowing_costs_quote_units": 29.836255227173083, "price_pnl_quote_units": -1303.4018448489308, "turnover_quote_units": 36319.27330159549, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8451.558953883117, "return_pct": -15.48441046116883, "cagr_pct": -40.90014978644328, "max_drawdown_pct": 38.55348898557405, "mean_exposure_while_solvent": 1.1954595936665193, "realized_annual_volatility_pct": 54.04430852684261, "trading_costs_quote_units": 21.628075977614852, "borrowing_costs_quote_units": 27.8156736980579, "price_pnl_quote_units": -1498.9972964412086, "turnover_quote_units": 36046.79329602476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8451.558953883117, "return_pct": -15.48441046116883, "cagr_pct": -40.90014978644328, "max_drawdown_pct": 38.55348898557405, "mean_exposure_while_solvent": 1.1954595936665193, "realized_annual_volatility_pct": 54.04430852684261, "trading_costs_quote_units": 21.628075977614852, "borrowing_costs_quote_units": 27.8156736980579, "price_pnl_quote_units": -1498.9972964412086, "turnover_quote_units": 36046.79329602476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8451.558953883117, "return_pct": -15.48441046116883, "cagr_pct": -40.90014978644328, "max_drawdown_pct": 38.55348898557405, "mean_exposure_while_solvent": 1.1954595936665193, "realized_annual_volatility_pct": 54.04430852684261, "trading_costs_quote_units": 21.628075977614852, "borrowing_costs_quote_units": 27.8156736980579, "price_pnl_quote_units": -1498.9972964412086, "turnover_quote_units": 36046.79329602476, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8053.752416690378, "return_pct": -19.462475833096228, "cagr_pct": -49.16916150217327, "max_drawdown_pct": 46.21806330011287, "mean_exposure_while_solvent": 1.2817420577529872, "realized_annual_volatility_pct": 65.55884803897553, "trading_costs_quote_units": 26.59095811122671, "borrowing_costs_quote_units": 35.39271122166395, "price_pnl_quote_units": -1884.2639139767386, "turnover_quote_units": 44318.26351871119, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8597.378551117126, "return_pct": -14.026214488828737, "cagr_pct": -37.653514155453465, "max_drawdown_pct": 37.89712514992705, "mean_exposure_while_solvent": 1.1783130057347324, "realized_annual_volatility_pct": 53.114765941749134, "trading_costs_quote_units": 21.48323379975302, "borrowing_costs_quote_units": 26.192945711545097, "price_pnl_quote_units": -1354.9452693715846, "turnover_quote_units": 35805.38966625504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8615.700336761955, "return_pct": -13.842996632380455, "cagr_pct": -37.237200361807446, "max_drawdown_pct": 38.5973315133552, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.43182023371247, "trading_costs_quote_units": 21.77210135099349, "borrowing_costs_quote_units": 59.58167337459499, "price_pnl_quote_units": -1302.945888512463, "turnover_quote_units": 36286.83558498915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8615.700336761955, "return_pct": -13.842996632380455, "cagr_pct": -37.237200361807446, "max_drawdown_pct": 38.5973315133552, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.43182023371247, "trading_costs_quote_units": 21.77210135099349, "borrowing_costs_quote_units": 59.58167337459499, "price_pnl_quote_units": -1302.945888512463, "turnover_quote_units": 36286.83558498915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8615.700336761955, "return_pct": -13.842996632380455, "cagr_pct": -37.237200361807446, "max_drawdown_pct": 38.5973315133552, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.43182023371247, "trading_costs_quote_units": 21.77210135099349, "borrowing_costs_quote_units": 59.58167337459499, "price_pnl_quote_units": -1302.945888512463, "turnover_quote_units": 36286.83558498915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8615.700336761955, "return_pct": -13.842996632380455, "cagr_pct": -37.237200361807446, "max_drawdown_pct": 38.5973315133552, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.43182023371247, "trading_costs_quote_units": 21.77210135099349, "borrowing_costs_quote_units": 59.58167337459499, "price_pnl_quote_units": -1302.945888512463, "turnover_quote_units": 36286.83558498915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8615.700336761955, "return_pct": -13.842996632380455, "cagr_pct": -37.237200361807446, "max_drawdown_pct": 38.5973315133552, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.43182023371247, "trading_costs_quote_units": 21.77210135099349, "borrowing_costs_quote_units": 59.58167337459499, "price_pnl_quote_units": -1302.945888512463, "turnover_quote_units": 36286.83558498915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8615.700336761955, "return_pct": -13.842996632380455, "cagr_pct": -37.237200361807446, "max_drawdown_pct": 38.5973315133552, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.43182023371247, "trading_costs_quote_units": 21.77210135099349, "borrowing_costs_quote_units": 59.58167337459499, "price_pnl_quote_units": -1302.945888512463, "turnover_quote_units": 36286.83558498915, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8424.634480810688, "return_pct": -15.753655191893124, "cagr_pct": -41.486758633087824, "max_drawdown_pct": 38.59733151335525, "mean_exposure_while_solvent": 1.1954766120069038, "realized_annual_volatility_pct": 54.045256101810914, "trading_costs_quote_units": 21.610492333296452, "borrowing_costs_quote_units": 55.55221499637363, "price_pnl_quote_units": -1498.2028118596345, "turnover_quote_units": 36017.48722216075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8424.634480810688, "return_pct": -15.753655191893124, "cagr_pct": -41.486758633087824, "max_drawdown_pct": 38.59733151335525, "mean_exposure_while_solvent": 1.1954766120069038, "realized_annual_volatility_pct": 54.045256101810914, "trading_costs_quote_units": 21.610492333296452, "borrowing_costs_quote_units": 55.55221499637363, "price_pnl_quote_units": -1498.2028118596345, "turnover_quote_units": 36017.48722216075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8424.634480810688, "return_pct": -15.753655191893124, "cagr_pct": -41.486758633087824, "max_drawdown_pct": 38.59733151335525, "mean_exposure_while_solvent": 1.1954766120069038, "realized_annual_volatility_pct": 54.045256101810914, "trading_costs_quote_units": 21.610492333296452, "borrowing_costs_quote_units": 55.55221499637363, "price_pnl_quote_units": -1498.2028118596345, "turnover_quote_units": 36017.48722216075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8016.836638609643, "return_pct": -19.831633613903566, "cagr_pct": -49.89400900177107, "max_drawdown_pct": 46.276841523490184, "mean_exposure_while_solvent": 1.2817665228292858, "realized_annual_volatility_pct": 65.56126990829839, "trading_costs_quote_units": 26.557718573075228, "borrowing_costs_quote_units": 70.64153834279627, "price_pnl_quote_units": -1885.964104474479, "turnover_quote_units": 44262.864288458666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8572.366880085538, "return_pct": -14.276331199144622, "cagr_pct": -38.21880021006076, "max_drawdown_pct": 37.9556295727914, "mean_exposure_while_solvent": 1.1783285393690832, "realized_annual_volatility_pct": 53.11544788047744, "trading_costs_quote_units": 21.46527452519868, "borrowing_costs_quote_units": 52.31904241613067, "price_pnl_quote_units": -1353.8488029731243, "turnover_quote_units": 35775.45754199779, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8557.439918581153, "return_pct": -14.425600814188478, "cagr_pct": -38.55449629110173, "max_drawdown_pct": 38.68494681776509, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.43297954748051, "trading_costs_quote_units": 21.73514237598286, "borrowing_costs_quote_units": 118.80106952353755, "price_pnl_quote_units": -1302.0238695193264, "turnover_quote_units": 36225.23729330477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8557.439918581153, "return_pct": -14.425600814188478, "cagr_pct": -38.55449629110173, "max_drawdown_pct": 38.68494681776509, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.43297954748051, "trading_costs_quote_units": 21.73514237598286, "borrowing_costs_quote_units": 118.80106952353755, "price_pnl_quote_units": -1302.0238695193264, "turnover_quote_units": 36225.23729330477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8557.439918581153, "return_pct": -14.425600814188478, "cagr_pct": -38.55449629110173, "max_drawdown_pct": 38.68494681776509, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.43297954748051, "trading_costs_quote_units": 21.73514237598286, "borrowing_costs_quote_units": 118.80106952353755, "price_pnl_quote_units": -1302.0238695193264, "turnover_quote_units": 36225.23729330477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8557.439918581153, "return_pct": -14.425600814188478, "cagr_pct": -38.55449629110173, "max_drawdown_pct": 38.68494681776509, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.43297954748051, "trading_costs_quote_units": 21.73514237598286, "borrowing_costs_quote_units": 118.80106952353755, "price_pnl_quote_units": -1302.0238695193264, "turnover_quote_units": 36225.23729330477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8557.439918581153, "return_pct": -14.425600814188478, "cagr_pct": -38.55449629110173, "max_drawdown_pct": 38.68494681776509, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.43297954748051, "trading_costs_quote_units": 21.73514237598286, "borrowing_costs_quote_units": 118.80106952353755, "price_pnl_quote_units": -1302.0238695193264, "turnover_quote_units": 36225.23729330477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8557.439918581153, "return_pct": -14.425600814188478, "cagr_pct": -38.55449629110173, "max_drawdown_pct": 38.68494681776509, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.43297954748051, "trading_costs_quote_units": 21.73514237598286, "borrowing_costs_quote_units": 118.80106952353755, "price_pnl_quote_units": -1302.0238695193264, "turnover_quote_units": 36225.23729330477, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8371.026486186205, "return_pct": -16.28973513813795, "cagr_pct": -42.64291140288532, "max_drawdown_pct": 38.68494681776513, "mean_exposure_while_solvent": 1.195510656053575, "realized_annual_volatility_pct": 54.047189695705, "trading_costs_quote_units": 21.5772746076391, "borrowing_costs_quote_units": 110.78876636513861, "price_pnl_quote_units": -1496.6074728410097, "turnover_quote_units": 35962.124346065175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8371.026486186205, "return_pct": -16.28973513813795, "cagr_pct": -42.64291140288532, "max_drawdown_pct": 38.68494681776513, "mean_exposure_while_solvent": 1.195510656053575, "realized_annual_volatility_pct": 54.047189695705, "trading_costs_quote_units": 21.5772746076391, "borrowing_costs_quote_units": 110.78876636513861, "price_pnl_quote_units": -1496.6074728410097, "turnover_quote_units": 35962.124346065175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8371.026486186205, "return_pct": -16.28973513813795, "cagr_pct": -42.64291140288532, "max_drawdown_pct": 38.68494681776513, "mean_exposure_while_solvent": 1.195510656053575, "realized_annual_volatility_pct": 54.047189695705, "trading_costs_quote_units": 21.5772746076391, "borrowing_costs_quote_units": 110.78876636513861, "price_pnl_quote_units": -1496.6074728410097, "turnover_quote_units": 35962.124346065175, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7943.491949350068, "return_pct": -20.56508050649931, "cagr_pct": -51.313225411983375, "max_drawdown_pct": 46.39423711452937, "mean_exposure_while_solvent": 1.2818154636049894, "realized_annual_volatility_pct": 65.56614737470623, "trading_costs_quote_units": 26.49156630995533, "borrowing_costs_quote_units": 140.70993607244114, "price_pnl_quote_units": -1889.306548267537, "turnover_quote_units": 44152.61051659222, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8522.548100064196, "return_pct": -14.774518999358044, "cagr_pct": -39.33434356314705, "max_drawdown_pct": 38.072505740147776, "mean_exposure_while_solvent": 1.178359613350115, "realized_annual_volatility_pct": 53.11684939812443, "trading_costs_quote_units": 21.42944886371476, "borrowing_costs_quote_units": 104.37135687649332, "price_pnl_quote_units": -1351.6510941955953, "turnover_quote_units": 35715.748106191255, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8533.932178351388, "return_pct": -14.660678216486122, "cagr_pct": -39.08064887467422, "max_drawdown_pct": 38.31598323419192, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.273516514705236, "trading_costs_quote_units": 108.10839371732177, "borrowing_costs_quote_units": 30.040103754139203, "price_pnl_quote_units": -1327.9193241771575, "turnover_quote_units": 36036.131239107264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8533.932178351388, "return_pct": -14.660678216486122, "cagr_pct": -39.08064887467422, "max_drawdown_pct": 38.31598323419192, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.273516514705236, "trading_costs_quote_units": 108.10839371732177, "borrowing_costs_quote_units": 30.040103754139203, "price_pnl_quote_units": -1327.9193241771575, "turnover_quote_units": 36036.131239107264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8533.932178351388, "return_pct": -14.660678216486122, "cagr_pct": -39.08064887467422, "max_drawdown_pct": 38.31598323419192, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.273516514705236, "trading_costs_quote_units": 108.10839371732177, "borrowing_costs_quote_units": 30.040103754139203, "price_pnl_quote_units": -1327.9193241771575, "turnover_quote_units": 36036.131239107264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8533.932178351388, "return_pct": -14.660678216486122, "cagr_pct": -39.08064887467422, "max_drawdown_pct": 38.31598323419192, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.273516514705236, "trading_costs_quote_units": 108.10839371732177, "borrowing_costs_quote_units": 30.040103754139203, "price_pnl_quote_units": -1327.9193241771575, "turnover_quote_units": 36036.131239107264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8533.932178351388, "return_pct": -14.660678216486122, "cagr_pct": -39.08064887467422, "max_drawdown_pct": 38.31598323419192, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.273516514705236, "trading_costs_quote_units": 108.10839371732177, "borrowing_costs_quote_units": 30.040103754139203, "price_pnl_quote_units": -1327.9193241771575, "turnover_quote_units": 36036.131239107264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8533.932178351388, "return_pct": -14.660678216486122, "cagr_pct": -39.08064887467422, "max_drawdown_pct": 38.31598323419192, "mean_exposure_while_solvent": 1.212557363733885, "realized_annual_volatility_pct": 54.273516514705236, "trading_costs_quote_units": 108.10839371732177, "borrowing_costs_quote_units": 30.040103754139203, "price_pnl_quote_units": -1327.9193241771575, "turnover_quote_units": 36036.131239107264, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8339.328832540621, "return_pct": -16.60671167459379, "cagr_pct": -43.31916504799404, "max_drawdown_pct": 38.31598323419193, "mean_exposure_while_solvent": 1.1998338383202225, "realized_annual_volatility_pct": 53.88374524119713, "trading_costs_quote_units": 107.18352968001739, "borrowing_costs_quote_units": 28.00588190921104, "price_pnl_quote_units": -1525.4817558701584, "turnover_quote_units": 35727.84322667246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8339.328832540621, "return_pct": -16.60671167459379, "cagr_pct": -43.31916504799404, "max_drawdown_pct": 38.31598323419193, "mean_exposure_while_solvent": 1.1998338383202225, "realized_annual_volatility_pct": 53.88374524119713, "trading_costs_quote_units": 107.18352968001739, "borrowing_costs_quote_units": 28.00588190921104, "price_pnl_quote_units": -1525.4817558701584, "turnover_quote_units": 35727.84322667246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8339.328832540621, "return_pct": -16.60671167459379, "cagr_pct": -43.31916504799404, "max_drawdown_pct": 38.31598323419193, "mean_exposure_while_solvent": 1.1998338383202225, "realized_annual_volatility_pct": 53.88374524119713, "trading_costs_quote_units": 107.18352968001739, "borrowing_costs_quote_units": 28.00588190921104, "price_pnl_quote_units": -1525.4817558701584, "turnover_quote_units": 35727.84322667246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8033.627626298204, "return_pct": -19.663723737017957, "cagr_pct": -49.565192927922666, "max_drawdown_pct": 46.66302565395494, "mean_exposure_while_solvent": 1.2846985569247678, "realized_annual_volatility_pct": 65.77633701578013, "trading_costs_quote_units": 131.48876000372604, "borrowing_costs_quote_units": 35.210475019531174, "price_pnl_quote_units": -1799.6731386785416, "turnover_quote_units": 43829.58666790867, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 8486.274731053087, "return_pct": -15.137252689469127, "cagr_pct": -40.13790368584505, "max_drawdown_pct": 38.31232073473079, "mean_exposure_while_solvent": 1.1828816710809487, "realized_annual_volatility_pct": 53.140489534392756, "trading_costs_quote_units": 105.86481981934999, "borrowing_costs_quote_units": 26.241518848580967, "price_pnl_quote_units": -1381.6189302789833, "turnover_quote_units": 35288.27327311666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8504.806564315437, "return_pct": -14.95193435684563, "cagr_pct": -39.72828044963752, "max_drawdown_pct": 38.360155431984964, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.27443672685719, "trading_costs_quote_units": 108.03016556948256, "borrowing_costs_quote_units": 59.98840084699452, "price_pnl_quote_units": -1327.1748692680885, "turnover_quote_units": 36010.05518982751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8504.806564315437, "return_pct": -14.95193435684563, "cagr_pct": -39.72828044963752, "max_drawdown_pct": 38.360155431984964, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.27443672685719, "trading_costs_quote_units": 108.03016556948256, "borrowing_costs_quote_units": 59.98840084699452, "price_pnl_quote_units": -1327.1748692680885, "turnover_quote_units": 36010.05518982751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8504.806564315437, "return_pct": -14.95193435684563, "cagr_pct": -39.72828044963752, "max_drawdown_pct": 38.360155431984964, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.27443672685719, "trading_costs_quote_units": 108.03016556948256, "borrowing_costs_quote_units": 59.98840084699452, "price_pnl_quote_units": -1327.1748692680885, "turnover_quote_units": 36010.05518982751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8504.806564315437, "return_pct": -14.95193435684563, "cagr_pct": -39.72828044963752, "max_drawdown_pct": 38.360155431984964, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.27443672685719, "trading_costs_quote_units": 108.03016556948256, "borrowing_costs_quote_units": 59.98840084699452, "price_pnl_quote_units": -1327.1748692680885, "turnover_quote_units": 36010.05518982751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8504.806564315437, "return_pct": -14.95193435684563, "cagr_pct": -39.72828044963752, "max_drawdown_pct": 38.360155431984964, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.27443672685719, "trading_costs_quote_units": 108.03016556948256, "borrowing_costs_quote_units": 59.98840084699452, "price_pnl_quote_units": -1327.1748692680885, "turnover_quote_units": 36010.05518982751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8504.806564315437, "return_pct": -14.95193435684563, "cagr_pct": -39.72828044963752, "max_drawdown_pct": 38.360155431984964, "mean_exposure_while_solvent": 1.212575699987131, "realized_annual_volatility_pct": 54.27443672685719, "trading_costs_quote_units": 108.03016556948256, "borrowing_costs_quote_units": 59.98840084699452, "price_pnl_quote_units": -1327.1748692680885, "turnover_quote_units": 36010.05518982751, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8312.532874838274, "return_pct": -16.874671251617258, "cagr_pct": -43.88659671863812, "max_drawdown_pct": 38.36015543198496, "mean_exposure_while_solvent": 1.1998510971909457, "realized_annual_volatility_pct": 53.88504433015156, "trading_costs_quote_units": 107.11464591077701, "borrowing_costs_quote_units": 55.93172073861685, "price_pnl_quote_units": -1524.420758512335, "turnover_quote_units": 35704.88197025901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8312.532874838274, "return_pct": -16.874671251617258, "cagr_pct": -43.88659671863812, "max_drawdown_pct": 38.36015543198496, "mean_exposure_while_solvent": 1.1998510971909457, "realized_annual_volatility_pct": 53.88504433015156, "trading_costs_quote_units": 107.11464591077701, "borrowing_costs_quote_units": 55.93172073861685, "price_pnl_quote_units": -1524.420758512335, "turnover_quote_units": 35704.88197025901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8312.532874838274, "return_pct": -16.874671251617258, "cagr_pct": -43.88659671863812, "max_drawdown_pct": 38.36015543198496, "mean_exposure_while_solvent": 1.1998510971909457, "realized_annual_volatility_pct": 53.88504433015156, "trading_costs_quote_units": 107.11464591077701, "borrowing_costs_quote_units": 55.93172073861685, "price_pnl_quote_units": -1524.420758512335, "turnover_quote_units": 35704.88197025901, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 7996.808079361005, "return_pct": -20.031919206389947, "cagr_pct": -50.2843155573644, "max_drawdown_pct": 46.7899068550677, "mean_exposure_while_solvent": 1.2847230246781258, "realized_annual_volatility_pct": 65.77917771768259, "trading_costs_quote_units": 131.31881586237458, "borrowing_costs_quote_units": 70.2778597268564, "price_pnl_quote_units": -1801.5952450497753, "turnover_quote_units": 43772.93862079153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 8461.359017634732, "return_pct": -15.38640982365268, "cagr_pct": -40.68564489812553, "max_drawdown_pct": 38.36924822660662, "mean_exposure_while_solvent": 1.182897486159139, "realized_annual_volatility_pct": 53.14139117157778, "trading_costs_quote_units": 105.79041434842469, "borrowing_costs_quote_units": 52.41550028635033, "price_pnl_quote_units": -1380.435067730495, "turnover_quote_units": 35263.471449474884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8446.833272486654, "return_pct": -15.531667275133454, "cagr_pct": -41.00339721964658, "max_drawdown_pct": 38.44845980941418, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.27631699857501, "trading_costs_quote_units": 107.87935920659964, "borrowing_costs_quote_units": 119.61064105053299, "price_pnl_quote_units": -1325.6767272562113, "turnover_quote_units": 35959.7864021999, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8446.833272486654, "return_pct": -15.531667275133454, "cagr_pct": -41.00339721964658, "max_drawdown_pct": 38.44845980941418, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.27631699857501, "trading_costs_quote_units": 107.87935920659964, "borrowing_costs_quote_units": 119.61064105053299, "price_pnl_quote_units": -1325.6767272562113, "turnover_quote_units": 35959.7864021999, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8446.833272486654, "return_pct": -15.531667275133454, "cagr_pct": -41.00339721964658, "max_drawdown_pct": 38.44845980941418, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.27631699857501, "trading_costs_quote_units": 107.87935920659964, "borrowing_costs_quote_units": 119.61064105053299, "price_pnl_quote_units": -1325.6767272562113, "turnover_quote_units": 35959.7864021999, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8446.833272486654, "return_pct": -15.531667275133454, "cagr_pct": -41.00339721964658, "max_drawdown_pct": 38.44845980941418, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.27631699857501, "trading_costs_quote_units": 107.87935920659964, "borrowing_costs_quote_units": 119.61064105053299, "price_pnl_quote_units": -1325.6767272562113, "turnover_quote_units": 35959.7864021999, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8446.833272486654, "return_pct": -15.531667275133454, "cagr_pct": -41.00339721964658, "max_drawdown_pct": 38.44845980941418, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.27631699857501, "trading_costs_quote_units": 107.87935920659964, "borrowing_costs_quote_units": 119.61064105053299, "price_pnl_quote_units": -1325.6767272562113, "turnover_quote_units": 35959.7864021999, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8446.833272486654, "return_pct": -15.531667275133454, "cagr_pct": -41.00339721964658, "max_drawdown_pct": 38.44845980941418, "mean_exposure_while_solvent": 1.2126123804629407, "realized_annual_volatility_pct": 54.27631699857501, "trading_costs_quote_units": 107.87935920659964, "borrowing_costs_quote_units": 119.61064105053299, "price_pnl_quote_units": -1325.6767272562113, "turnover_quote_units": 35959.7864021999, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8259.180392307255, "return_pct": -17.408196076927453, "cagr_pct": -45.004862303220044, "max_drawdown_pct": 38.448459809414196, "mean_exposure_while_solvent": 1.1998856224408727, "realized_annual_volatility_pct": 53.88768224833328, "trading_costs_quote_units": 106.9824657903047, "borrowing_costs_quote_units": 111.54412964352906, "price_pnl_quote_units": -1522.293012258913, "turnover_quote_units": 35660.82193010158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8259.180392307255, "return_pct": -17.408196076927453, "cagr_pct": -45.004862303220044, "max_drawdown_pct": 38.448459809414196, "mean_exposure_while_solvent": 1.1998856224408727, "realized_annual_volatility_pct": 53.88768224833328, "trading_costs_quote_units": 106.9824657903047, "borrowing_costs_quote_units": 111.54412964352906, "price_pnl_quote_units": -1522.293012258913, "turnover_quote_units": 35660.82193010158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8259.180392307255, "return_pct": -17.408196076927453, "cagr_pct": -45.004862303220044, "max_drawdown_pct": 38.448459809414196, "mean_exposure_while_solvent": 1.1998856224408727, "realized_annual_volatility_pct": 53.88768224833328, "trading_costs_quote_units": 106.9824657903047, "borrowing_costs_quote_units": 111.54412964352906, "price_pnl_quote_units": -1522.293012258913, "turnover_quote_units": 35660.82193010158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 7923.645018936052, "return_pct": -20.763549810639482, "cagr_pct": -51.69250748157194, "max_drawdown_pct": 47.04289732712055, "mean_exposure_while_solvent": 1.284771970805787, "realized_annual_volatility_pct": 65.78488923907983, "trading_costs_quote_units": 130.99315173797822, "borrowing_costs_quote_units": 139.98559471797824, "price_pnl_quote_units": -1805.3762346079973, "turnover_quote_units": 43664.3839126594, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 8411.719095693159, "return_pct": -15.882809043068413, "cagr_pct": -41.76673792765211, "max_drawdown_pct": 38.483081486003655, "mean_exposure_while_solvent": 1.18292912319921, "realized_annual_volatility_pct": 53.14322824841244, "trading_costs_quote_units": 105.65936381540646, "borrowing_costs_quote_units": 104.56140077034253, "price_pnl_quote_units": -1378.060139721099, "turnover_quote_units": 35219.78793846881, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8562.046918125641, "return_pct": -14.379530818743591, "cagr_pct": -38.45102105594479, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.405678008635014, "trading_costs_quote_units": 108.39535566932683, "borrowing_costs_quote_units": 29.646143785300676, "price_pnl_quote_units": -1299.9115824197402, "turnover_quote_units": 36131.78522310892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8562.046918125641, "return_pct": -14.379530818743591, "cagr_pct": -38.45102105594479, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.405678008635014, "trading_costs_quote_units": 108.39535566932683, "borrowing_costs_quote_units": 29.646143785300676, "price_pnl_quote_units": -1299.9115824197402, "turnover_quote_units": 36131.78522310892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8562.046918125641, "return_pct": -14.379530818743591, "cagr_pct": -38.45102105594479, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.405678008635014, "trading_costs_quote_units": 108.39535566932683, "borrowing_costs_quote_units": 29.646143785300676, "price_pnl_quote_units": -1299.9115824197402, "turnover_quote_units": 36131.78522310892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8562.046918125641, "return_pct": -14.379530818743591, "cagr_pct": -38.45102105594479, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.405678008635014, "trading_costs_quote_units": 108.39535566932683, "borrowing_costs_quote_units": 29.646143785300676, "price_pnl_quote_units": -1299.9115824197402, "turnover_quote_units": 36131.78522310892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8562.046918125641, "return_pct": -14.379530818743591, "cagr_pct": -38.45102105594479, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.405678008635014, "trading_costs_quote_units": 108.39535566932683, "borrowing_costs_quote_units": 29.646143785300676, "price_pnl_quote_units": -1299.9115824197402, "turnover_quote_units": 36131.78522310892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8562.046918125641, "return_pct": -14.379530818743591, "cagr_pct": -38.45102105594479, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.2080878334535383, "realized_annual_volatility_pct": 54.405678008635014, "trading_costs_quote_units": 108.39535566932683, "borrowing_costs_quote_units": 29.646143785300676, "price_pnl_quote_units": -1299.9115824197402, "turnover_quote_units": 36131.78522310892, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8371.395639064403, "return_pct": -16.28604360935596, "cagr_pct": -42.635003552220894, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.1954595936665193, "realized_annual_volatility_pct": 54.018233474572895, "trading_costs_quote_units": 107.5872669572617, "borrowing_costs_quote_units": 27.641039066316473, "price_pnl_quote_units": -1493.3760549120288, "turnover_quote_units": 35862.42231908724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8371.395639064403, "return_pct": -16.28604360935596, "cagr_pct": -42.635003552220894, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.1954595936665193, "realized_annual_volatility_pct": 54.018233474572895, "trading_costs_quote_units": 107.5872669572617, "borrowing_costs_quote_units": 27.641039066316473, "price_pnl_quote_units": -1493.3760549120288, "turnover_quote_units": 35862.42231908724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8371.395639064403, "return_pct": -16.28604360935596, "cagr_pct": -42.635003552220894, "max_drawdown_pct": 38.721279301116454, "mean_exposure_while_solvent": 1.1954595936665193, "realized_annual_volatility_pct": 54.018233474572895, "trading_costs_quote_units": 107.5872669572617, "borrowing_costs_quote_units": 27.641039066316473, "price_pnl_quote_units": -1493.3760549120288, "turnover_quote_units": 35862.42231908724, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 7957.251027322101, "return_pct": -20.42748972677898, "cagr_pct": -51.04909898761436, "max_drawdown_pct": 46.315323542095946, "mean_exposure_while_solvent": 1.2817420577529874, "realized_annual_volatility_pct": 65.53762840451229, "trading_costs_quote_units": 132.18835742779802, "borrowing_costs_quote_units": 35.12654640099605, "price_pnl_quote_units": -1875.434068849102, "turnover_quote_units": 44062.785809265995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 8516.84616562418, "return_pct": -14.831538343758199, "cagr_pct": -39.46114091467678, "max_drawdown_pct": 37.986376963326165, "mean_exposure_while_solvent": 1.1783130057347324, "realized_annual_volatility_pct": 53.10630310567495, "trading_costs_quote_units": 106.86811584194587, "borrowing_costs_quote_units": 26.039059265124497, "price_pnl_quote_units": -1350.2466592687479, "turnover_quote_units": 35622.7052806486, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8533.052099350785, "return_pct": -14.669479006492148, "cagr_pct": -39.100287160734574, "max_drawdown_pct": 38.76512931051811, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.40624446056035, "trading_costs_quote_units": 108.29919591113321, "borrowing_costs_quote_units": 59.202145333650854, "price_pnl_quote_units": -1299.446559404426, "turnover_quote_units": 36099.73197037773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8533.052099350785, "return_pct": -14.669479006492148, "cagr_pct": -39.100287160734574, "max_drawdown_pct": 38.76512931051811, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.40624446056035, "trading_costs_quote_units": 108.29919591113321, "borrowing_costs_quote_units": 59.202145333650854, "price_pnl_quote_units": -1299.446559404426, "turnover_quote_units": 36099.73197037773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8533.052099350785, "return_pct": -14.669479006492148, "cagr_pct": -39.100287160734574, "max_drawdown_pct": 38.76512931051811, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.40624446056035, "trading_costs_quote_units": 108.29919591113321, "borrowing_costs_quote_units": 59.202145333650854, "price_pnl_quote_units": -1299.446559404426, "turnover_quote_units": 36099.73197037773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8533.052099350785, "return_pct": -14.669479006492148, "cagr_pct": -39.100287160734574, "max_drawdown_pct": 38.76512931051811, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.40624446056035, "trading_costs_quote_units": 108.29919591113321, "borrowing_costs_quote_units": 59.202145333650854, "price_pnl_quote_units": -1299.446559404426, "turnover_quote_units": 36099.73197037773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8533.052099350785, "return_pct": -14.669479006492148, "cagr_pct": -39.100287160734574, "max_drawdown_pct": 38.76512931051811, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.40624446056035, "trading_costs_quote_units": 108.29919591113321, "borrowing_costs_quote_units": 59.202145333650854, "price_pnl_quote_units": -1299.446559404426, "turnover_quote_units": 36099.73197037773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8533.052099350785, "return_pct": -14.669479006492148, "cagr_pct": -39.100287160734574, "max_drawdown_pct": 38.76512931051811, "mean_exposure_while_solvent": 1.2081059201435542, "realized_annual_volatility_pct": 54.40624446056035, "trading_costs_quote_units": 108.29919591113321, "borrowing_costs_quote_units": 59.202145333650854, "price_pnl_quote_units": -1299.446559404426, "turnover_quote_units": 36099.73197037773, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8344.719308831773, "return_pct": -16.55280691168227, "cagr_pct": -43.20454669800991, "max_drawdown_pct": 38.7651293105181, "mean_exposure_while_solvent": 1.1954766120069038, "realized_annual_volatility_pct": 54.019188112223205, "trading_costs_quote_units": 107.50039469130846, "borrowing_costs_quote_units": 55.2035267342164, "price_pnl_quote_units": -1492.576769742697, "turnover_quote_units": 35833.46489710282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8344.719308831773, "return_pct": -16.55280691168227, "cagr_pct": -43.20454669800991, "max_drawdown_pct": 38.7651293105181, "mean_exposure_while_solvent": 1.1954766120069038, "realized_annual_volatility_pct": 54.019188112223205, "trading_costs_quote_units": 107.50039469130846, "borrowing_costs_quote_units": 55.2035267342164, "price_pnl_quote_units": -1492.576769742697, "turnover_quote_units": 35833.46489710282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8344.719308831773, "return_pct": -16.55280691168227, "cagr_pct": -43.20454669800991, "max_drawdown_pct": 38.7651293105181, "mean_exposure_while_solvent": 1.1954766120069038, "realized_annual_volatility_pct": 54.019188112223205, "trading_costs_quote_units": 107.50039469130846, "borrowing_costs_quote_units": 55.2035267342164, "price_pnl_quote_units": -1492.576769742697, "turnover_quote_units": 35833.46489710282, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 7920.761444378154, "return_pct": -20.792385556218463, "cagr_pct": -51.747445892285945, "max_drawdown_pct": 46.37407181279691, "mean_exposure_while_solvent": 1.2817665228292858, "realized_annual_volatility_pct": 65.54007673975681, "trading_costs_quote_units": 132.02406975976788, "borrowing_costs_quote_units": 70.11039245845186, "price_pnl_quote_units": -1877.1040934036353, "turnover_quote_units": 44008.023253255946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 8492.061738937187, "return_pct": -15.079382610628123, "cagr_pct": -40.010193016025106, "max_drawdown_pct": 38.04489404543989, "mean_exposure_while_solvent": 1.1783285393690832, "realized_annual_volatility_pct": 53.107008886848206, "trading_costs_quote_units": 106.77934500571236, "borrowing_costs_quote_units": 52.01172663818165, "price_pnl_quote_units": -1349.1471894189228, "turnover_quote_units": 35593.11500190411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8475.333228038673, "return_pct": -15.24666771961327, "cagr_pct": -40.37886086266218, "max_drawdown_pct": 38.85275932098384, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.407415792733815, "trading_costs_quote_units": 108.11662063331057, "borrowing_costs_quote_units": 118.04470964515599, "price_pnl_quote_units": -1298.5054416828716, "turnover_quote_units": 36038.87354443687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8475.333228038673, "return_pct": -15.24666771961327, "cagr_pct": -40.37886086266218, "max_drawdown_pct": 38.85275932098384, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.407415792733815, "trading_costs_quote_units": 108.11662063331057, "borrowing_costs_quote_units": 118.04470964515599, "price_pnl_quote_units": -1298.5054416828716, "turnover_quote_units": 36038.87354443687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8475.333228038673, "return_pct": -15.24666771961327, "cagr_pct": -40.37886086266218, "max_drawdown_pct": 38.85275932098384, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.407415792733815, "trading_costs_quote_units": 108.11662063331057, "borrowing_costs_quote_units": 118.04470964515599, "price_pnl_quote_units": -1298.5054416828716, "turnover_quote_units": 36038.87354443687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8475.333228038673, "return_pct": -15.24666771961327, "cagr_pct": -40.37886086266218, "max_drawdown_pct": 38.85275932098384, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.407415792733815, "trading_costs_quote_units": 108.11662063331057, "borrowing_costs_quote_units": 118.04470964515599, "price_pnl_quote_units": -1298.5054416828716, "turnover_quote_units": 36038.87354443687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8475.333228038673, "return_pct": -15.24666771961327, "cagr_pct": -40.37886086266218, "max_drawdown_pct": 38.85275932098384, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.407415792733815, "trading_costs_quote_units": 108.11662063331057, "borrowing_costs_quote_units": 118.04470964515599, "price_pnl_quote_units": -1298.5054416828716, "turnover_quote_units": 36038.87354443687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8475.333228038673, "return_pct": -15.24666771961327, "cagr_pct": -40.37886086266218, "max_drawdown_pct": 38.85275932098384, "mean_exposure_while_solvent": 1.2081421013471858, "realized_annual_volatility_pct": 54.407415792733815, "trading_costs_quote_units": 108.11662063331057, "borrowing_costs_quote_units": 118.04470964515599, "price_pnl_quote_units": -1298.5054416828716, "turnover_quote_units": 36038.87354443687, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 53, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8291.599341357454, "return_pct": -17.08400658642546, "cagr_pct": -44.327188152009036, "max_drawdown_pct": 38.8527593209839, "mean_exposure_while_solvent": 1.195510656053575, "realized_annual_volatility_pct": 54.0211354999478, "trading_costs_quote_units": 107.33631266086824, "borrowing_costs_quote_units": 110.0936363805935, "price_pnl_quote_units": -1490.9707096010807, "turnover_quote_units": 35778.770886956074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8291.599341357454, "return_pct": -17.08400658642546, "cagr_pct": -44.327188152009036, "max_drawdown_pct": 38.8527593209839, "mean_exposure_while_solvent": 1.195510656053575, "realized_annual_volatility_pct": 54.0211354999478, "trading_costs_quote_units": 107.33631266086824, "borrowing_costs_quote_units": 110.0936363805935, "price_pnl_quote_units": -1490.9707096010807, "turnover_quote_units": 35778.770886956074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8291.599341357454, "return_pct": -17.08400658642546, "cagr_pct": -44.327188152009036, "max_drawdown_pct": 38.8527593209839, "mean_exposure_while_solvent": 1.195510656053575, "realized_annual_volatility_pct": 54.0211354999478, "trading_costs_quote_units": 107.33631266086824, "borrowing_costs_quote_units": 110.0936363805935, "price_pnl_quote_units": -1490.9707096010807, "turnover_quote_units": 35778.770886956074, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 50, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 7848.2637405806, "return_pct": -21.517362594194, "cagr_pct": -53.114762483022005, "max_drawdown_pct": 46.49140734921632, "mean_exposure_while_solvent": 1.2818154636049892, "realized_annual_volatility_pct": 65.5450072445759, "trading_costs_quote_units": 131.69710864617534, "borrowing_costs_quote_units": 139.65235972772356, "price_pnl_quote_units": -1880.3867910455078, "turnover_quote_units": 43899.03621539178, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 70, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2026_partial", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 8442.69564813832, "return_pct": -15.573043518616792, "cagr_pct": -41.0936959025764, "max_drawdown_pct": 38.1617952490423, "mean_exposure_while_solvent": 1.178359613350115, "realized_annual_volatility_pct": 53.108458168487374, "trading_costs_quote_units": 106.60226147844442, "borrowing_costs_quote_units": 103.75854893113431, "price_pnl_quote_units": -1346.9435414521072, "turnover_quote_units": 35534.087159481474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 46, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-2026_partial-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2026_partial-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13257.985812955767, "return_pct": 32.57985812955766, "cagr_pct": 218.84722880729134, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.30011489943296, "trading_costs_quote_units": 18.075543057758747, "borrowing_costs_quote_units": 26.64628899140368, "price_pnl_quote_units": 3302.7076450049385, "turnover_quote_units": 30125.90509626458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13257.985812955767, "return_pct": 32.57985812955766, "cagr_pct": 218.84722880729134, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.30011489943296, "trading_costs_quote_units": 18.075543057758747, "borrowing_costs_quote_units": 26.64628899140368, "price_pnl_quote_units": 3302.7076450049385, "turnover_quote_units": 30125.90509626458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13177.117661128825, "return_pct": 31.771176611288254, "cagr_pct": 210.92634477677882, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000045112769826, "realized_annual_volatility_pct": 44.82853655591653, "trading_costs_quote_units": 18.18499322432034, "borrowing_costs_quote_units": 28.624699899874443, "price_pnl_quote_units": 3223.927354253019, "turnover_quote_units": 30308.32204053389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13257.985812955767, "return_pct": 32.57985812955766, "cagr_pct": 218.84722880729134, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.30011489943296, "trading_costs_quote_units": 18.075543057758747, "borrowing_costs_quote_units": 26.64628899140368, "price_pnl_quote_units": 3302.7076450049385, "turnover_quote_units": 30125.90509626458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13257.985812955767, "return_pct": 32.57985812955766, "cagr_pct": 218.84722880729134, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.30011489943296, "trading_costs_quote_units": 18.075543057758747, "borrowing_costs_quote_units": 26.64628899140368, "price_pnl_quote_units": 3302.7076450049385, "turnover_quote_units": 30125.90509626458, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13177.117661128825, "return_pct": 31.771176611288254, "cagr_pct": 210.92634477677882, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000045112769826, "realized_annual_volatility_pct": 44.82853655591653, "trading_costs_quote_units": 18.18499322432034, "borrowing_costs_quote_units": 28.624699899874443, "price_pnl_quote_units": 3223.927354253019, "turnover_quote_units": 30308.32204053389, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13124.442960190328, "return_pct": 31.244429601903278, "cagr_pct": 205.8476554280026, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1438881297184744, "realized_annual_volatility_pct": 43.495868146990595, "trading_costs_quote_units": 17.779864837594037, "borrowing_costs_quote_units": 21.503960581949116, "price_pnl_quote_units": 3163.726785609885, "turnover_quote_units": 29633.108062656727, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13124.442960190328, "return_pct": 31.244429601903278, "cagr_pct": 205.8476554280026, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1438881297184744, "realized_annual_volatility_pct": 43.495868146990595, "trading_costs_quote_units": 17.779864837594037, "borrowing_costs_quote_units": 21.503960581949116, "price_pnl_quote_units": 3163.726785609885, "turnover_quote_units": 29633.108062656727, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13044.389363744973, "return_pct": 30.443893637449726, "cagr_pct": 198.2497101088248, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1607757432668109, "realized_annual_volatility_pct": 44.03383337112726, "trading_costs_quote_units": 17.888212552570284, "borrowing_costs_quote_units": 23.46244367933404, "price_pnl_quote_units": 3085.7400199768717, "turnover_quote_units": 29813.687587617143, "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, "trace": "reference-recent_June_September-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13224.196924980535, "return_pct": 32.24196924980536, "cagr_pct": 215.51932384771803, "max_drawdown_pct": 19.544337835790103, "mean_exposure_while_solvent": 1.3115369146841116, "realized_annual_volatility_pct": 50.60285058596118, "trading_costs_quote_units": 20.55131852631893, "borrowing_costs_quote_units": 38.63542945456814, "price_pnl_quote_units": 3283.3836729614204, "turnover_quote_units": 34252.19754386487, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12382.025055187207, "return_pct": 23.820250551872068, "cagr_pct": 140.7272527864461, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.144256618055633, "realized_annual_volatility_pct": 42.02765992717229, "trading_costs_quote_units": 17.37117102305424, "borrowing_costs_quote_units": 19.651375324748425, "price_pnl_quote_units": 2419.047601535013, "turnover_quote_units": 28951.9517050904, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13228.356137560058, "return_pct": 32.28356137560058, "cagr_pct": 215.92754409945752, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.30034912790723, "trading_costs_quote_units": 18.06557752186192, "borrowing_costs_quote_units": 53.23420888672817, "price_pnl_quote_units": 3299.6559239686553, "turnover_quote_units": 30109.29586976985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13228.356137560058, "return_pct": 32.28356137560058, "cagr_pct": 215.92754409945752, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.30034912790723, "trading_costs_quote_units": 18.06557752186192, "borrowing_costs_quote_units": 53.23420888672817, "price_pnl_quote_units": 3299.6559239686553, "turnover_quote_units": 30109.29586976985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13144.954794895693, "return_pct": 31.449547948956933, "cagr_pct": 207.81780379527004, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.200021750884283, "realized_annual_volatility_pct": 44.829078787893124, "trading_costs_quote_units": 18.1713779645735, "borrowing_costs_quote_units": 57.1804312043922, "price_pnl_quote_units": 3220.3066040646577, "turnover_quote_units": 30285.629940955834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13228.356137560058, "return_pct": 32.28356137560058, "cagr_pct": 215.92754409945752, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.30034912790723, "trading_costs_quote_units": 18.06557752186192, "borrowing_costs_quote_units": 53.23420888672817, "price_pnl_quote_units": 3299.6559239686553, "turnover_quote_units": 30109.29586976985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13228.356137560058, "return_pct": 32.28356137560058, "cagr_pct": 215.92754409945752, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.30034912790723, "trading_costs_quote_units": 18.06557752186192, "borrowing_costs_quote_units": 53.23420888672817, "price_pnl_quote_units": 3299.6559239686553, "turnover_quote_units": 30109.29586976985, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13144.954794895693, "return_pct": 31.449547948956933, "cagr_pct": 207.81780379527004, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.200021750884283, "realized_annual_volatility_pct": 44.829078787893124, "trading_costs_quote_units": 18.1713779645735, "borrowing_costs_quote_units": 57.1804312043922, "price_pnl_quote_units": 3220.3066040646577, "turnover_quote_units": 30285.629940955834, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13101.35843998933, "return_pct": 31.0135843998933, "cagr_pct": 203.6418317952213, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439005752579101, "realized_annual_volatility_pct": 43.49609056919167, "trading_costs_quote_units": 17.77603375101523, "borrowing_costs_quote_units": 42.972086972007176, "price_pnl_quote_units": 3162.1065607123514, "turnover_quote_units": 29626.72291835873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13101.35843998933, "return_pct": 31.0135843998933, "cagr_pct": 203.6418317952213, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439005752579101, "realized_annual_volatility_pct": 43.49609056919167, "trading_costs_quote_units": 17.77603375101523, "borrowing_costs_quote_units": 42.972086972007176, "price_pnl_quote_units": 3162.1065607123514, "turnover_quote_units": 29626.72291835873, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13018.757784755988, "return_pct": 30.187577847559876, "cagr_pct": 195.84746106896267, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1607896392403383, "realized_annual_volatility_pct": 44.034371074971624, "trading_costs_quote_units": 17.88081846565854, "borrowing_costs_quote_units": 46.88042392105589, "price_pnl_quote_units": 3083.5190271427127, "turnover_quote_units": 29801.3641094309, "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, "trace": "reference-recent_June_September-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13173.876074539043, "return_pct": 31.738760745390437, "cagr_pct": 210.61197356522135, "max_drawdown_pct": 19.627987374707345, "mean_exposure_while_solvent": 1.3115636305739915, "realized_annual_volatility_pct": 50.60445970501147, "trading_costs_quote_units": 20.520646471729755, "borrowing_costs_quote_units": 77.1298515784805, "price_pnl_quote_units": 3271.5265725892564, "turnover_quote_units": 34201.077452882935, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12360.103309702336, "return_pct": 23.60103309702335, "cagr_pct": 138.97971505831146, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1442691254614688, "realized_annual_volatility_pct": 42.02948904712713, "trading_costs_quote_units": 17.362868651640493, "borrowing_costs_quote_units": 39.26976503489314, "price_pnl_quote_units": 2416.7359433888696, "turnover_quote_units": 28938.114419400812, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13169.276727093173, "return_pct": 31.692767270931732, "cagr_pct": 210.16633866140276, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.300865526647044, "trading_costs_quote_units": 18.048113738677674, "borrowing_costs_quote_units": 106.2353780346886, "price_pnl_quote_units": 3293.5602188665207, "turnover_quote_units": 30080.189564462788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13169.276727093173, "return_pct": 31.692767270931732, "cagr_pct": 210.16633866140276, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.300865526647044, "trading_costs_quote_units": 18.048113738677674, "borrowing_costs_quote_units": 106.2353780346886, "price_pnl_quote_units": 3293.5602188665207, "turnover_quote_units": 30080.189564462788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13080.844458117619, "return_pct": 30.808444581176197, "cagr_pct": 201.69175637590268, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000562375589066, "realized_annual_volatility_pct": 44.83021232950692, "trading_costs_quote_units": 18.14661984098352, "borrowing_costs_quote_units": 114.08556657931713, "price_pnl_quote_units": 3213.076644537918, "turnover_quote_units": 30244.366401639218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13169.276727093173, "return_pct": 31.692767270931732, "cagr_pct": 210.16633866140276, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.300865526647044, "trading_costs_quote_units": 18.048113738677674, "borrowing_costs_quote_units": 106.2353780346886, "price_pnl_quote_units": 3293.5602188665207, "turnover_quote_units": 30080.189564462788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13169.276727093173, "return_pct": 31.692767270931732, "cagr_pct": 210.16633866140276, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.300865526647044, "trading_costs_quote_units": 18.048113738677674, "borrowing_costs_quote_units": 106.2353780346886, "price_pnl_quote_units": 3293.5602188665207, "turnover_quote_units": 30080.189564462788, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13080.844458117619, "return_pct": 30.808444581176197, "cagr_pct": 201.69175637590268, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000562375589066, "realized_annual_volatility_pct": 44.83021232950692, "trading_costs_quote_units": 18.14661984098352, "borrowing_costs_quote_units": 114.08556657931713, "price_pnl_quote_units": 3213.076644537918, "turnover_quote_units": 30244.366401639218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13055.29613711838, "return_pct": 30.552961371183795, "cagr_pct": 199.27638219288343, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439254717213059, "realized_annual_volatility_pct": 43.49657894041127, "trading_costs_quote_units": 17.770798601393867, "borrowing_costs_quote_units": 85.80102828962818, "price_pnl_quote_units": 3158.8679640093947, "turnover_quote_units": 29617.997668989756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13055.29613711838, "return_pct": 30.552961371183795, "cagr_pct": 199.27638219288343, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439254717213059, "realized_annual_volatility_pct": 43.49657894041127, "trading_costs_quote_units": 17.770798601393867, "borrowing_costs_quote_units": 85.80102828962818, "price_pnl_quote_units": 3158.8679640093947, "turnover_quote_units": 29617.997668989756, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12967.62925278768, "return_pct": 29.676292527876804, "cagr_pct": 191.09934293728315, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1608174372039175, "realized_annual_volatility_pct": 44.035492247554195, "trading_costs_quote_units": 17.868452129644982, "borrowing_costs_quote_units": 93.5832731544121, "price_pnl_quote_units": 3079.0809780717364, "turnover_quote_units": 29780.75354940831, "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, "trace": "reference-recent_June_September-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13073.78088454493, "return_pct": 30.7378088454493, "cagr_pct": 201.0224861234546, "max_drawdown_pct": 19.79507148737679, "mean_exposure_while_solvent": 1.311617073899237, "realized_annual_volatility_pct": 50.607718012391686, "trading_costs_quote_units": 20.459544476927107, "borrowing_costs_quote_units": 153.6976275232815, "price_pnl_quote_units": 3247.9380565451356, "turnover_quote_units": 34099.24079487851, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12316.364292186528, "return_pct": 23.16364292186528, "cagr_pct": 135.52167078355137, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.144294145699571, "realized_annual_volatility_pct": 42.03319052024234, "trading_costs_quote_units": 17.346288685870014, "borrowing_costs_quote_units": 78.40777768381264, "price_pnl_quote_units": 2412.1183585562094, "turnover_quote_units": 28910.4811431167, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13109.615362129156, "return_pct": 31.096153621291567, "cagr_pct": 204.42942787819166, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.81417168938666, "trading_costs_quote_units": 17.665251463685536, "borrowing_costs_quote_units": 26.198171778176636, "price_pnl_quote_units": 3153.4787853710186, "turnover_quote_units": 29442.08577280922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13109.615362129156, "return_pct": 31.096153621291567, "cagr_pct": 204.42942787819166, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.81417168938666, "trading_costs_quote_units": 17.665251463685536, "borrowing_costs_quote_units": 26.198171778176636, "price_pnl_quote_units": 3153.4787853710186, "turnover_quote_units": 29442.08577280922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12959.410489190239, "return_pct": 29.594104891902397, "cagr_pct": 190.34151059994122, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945204047817815, "realized_annual_volatility_pct": 44.257296113727016, "trading_costs_quote_units": 17.794393616483074, "borrowing_costs_quote_units": 28.10502554416099, "price_pnl_quote_units": 3005.309908350884, "turnover_quote_units": 29657.322694138456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13109.615362129156, "return_pct": 31.096153621291567, "cagr_pct": 204.42942787819166, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.81417168938666, "trading_costs_quote_units": 17.665251463685536, "borrowing_costs_quote_units": 26.198171778176636, "price_pnl_quote_units": 3153.4787853710186, "turnover_quote_units": 29442.08577280922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13109.615362129156, "return_pct": 31.096153621291567, "cagr_pct": 204.42942787819166, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.81417168938666, "trading_costs_quote_units": 17.665251463685536, "borrowing_costs_quote_units": 26.198171778176636, "price_pnl_quote_units": 3153.4787853710186, "turnover_quote_units": 29442.08577280922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12959.410489190239, "return_pct": 29.594104891902397, "cagr_pct": 190.34151059994122, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945204047817815, "realized_annual_volatility_pct": 44.257296113727016, "trading_costs_quote_units": 17.794393616483074, "borrowing_costs_quote_units": 28.10502554416099, "price_pnl_quote_units": 3005.309908350884, "turnover_quote_units": 29657.322694138456, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12991.956750875028, "return_pct": 29.91956750875029, "cagr_pct": 193.3512982497005, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383021797173891, "realized_annual_volatility_pct": 42.99064382827218, "trading_costs_quote_units": 17.306669516878475, "borrowing_costs_quote_units": 21.08425426282247, "price_pnl_quote_units": 3030.347674654734, "turnover_quote_units": 28844.449194797467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12991.956750875028, "return_pct": 29.91956750875029, "cagr_pct": 193.3512982497005, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383021797173891, "realized_annual_volatility_pct": 42.99064382827218, "trading_costs_quote_units": 17.306669516878475, "borrowing_costs_quote_units": 21.08425426282247, "price_pnl_quote_units": 3030.347674654734, "turnover_quote_units": 28844.449194797467, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12843.099964532508, "return_pct": 28.430999645325073, "cagr_pct": 179.7760376317857, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.155348646789781, "realized_annual_volatility_pct": 43.4419844886157, "trading_costs_quote_units": 17.434652620693058, "borrowing_costs_quote_units": 22.973994043401966, "price_pnl_quote_units": 2883.508611196605, "turnover_quote_units": 29057.75436782177, "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, "trace": "reference-recent_June_September-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13340.183710373905, "return_pct": 33.401837103739055, "cagr_pct": 227.05390470147213, "max_drawdown_pct": 19.597573820249814, "mean_exposure_while_solvent": 1.3076040069620336, "realized_annual_volatility_pct": 50.850197729518776, "trading_costs_quote_units": 20.879102679220804, "borrowing_costs_quote_units": 38.483893052394514, "price_pnl_quote_units": 3399.546706105524, "turnover_quote_units": 34798.504465368, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12331.57201297786, "return_pct": 23.315720129778605, "cagr_pct": 136.7196822404486, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.138655991300653, "realized_annual_volatility_pct": 41.94376433464928, "trading_costs_quote_units": 17.345315475477776, "borrowing_costs_quote_units": 19.33107930573672, "price_pnl_quote_units": 2368.2484077590857, "turnover_quote_units": 28908.8591257963, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13080.592450791479, "return_pct": 30.805924507914796, "cagr_pct": 201.66785944780307, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.814555950076226, "trading_costs_quote_units": 17.65342981936017, "borrowing_costs_quote_units": 52.33966668003858, "price_pnl_quote_units": 3150.5855472908706, "turnover_quote_units": 29422.383032266942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13080.592450791479, "return_pct": 30.805924507914796, "cagr_pct": 201.66785944780307, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.814555950076226, "trading_costs_quote_units": 17.65342981936017, "borrowing_costs_quote_units": 52.33966668003858, "price_pnl_quote_units": 3150.5855472908706, "turnover_quote_units": 29422.383032266942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12928.035068878224, "return_pct": 29.28035068878223, "cagr_pct": 187.46217989234512, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945373930522443, "realized_annual_volatility_pct": 44.258130675557155, "trading_costs_quote_units": 17.78028295936369, "borrowing_costs_quote_units": 56.143179479763106, "price_pnl_quote_units": 3001.958531317355, "turnover_quote_units": 29633.804932272804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13080.592450791479, "return_pct": 30.805924507914796, "cagr_pct": 201.66785944780307, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.814555950076226, "trading_costs_quote_units": 17.65342981936017, "borrowing_costs_quote_units": 52.33966668003858, "price_pnl_quote_units": 3150.5855472908706, "turnover_quote_units": 29422.383032266942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13080.592450791479, "return_pct": 30.805924507914796, "cagr_pct": 201.66785944780307, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.814555950076226, "trading_costs_quote_units": 17.65342981936017, "borrowing_costs_quote_units": 52.33966668003858, "price_pnl_quote_units": 3150.5855472908706, "turnover_quote_units": 29422.383032266942, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12928.035068878224, "return_pct": 29.28035068878223, "cagr_pct": 187.46217989234512, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945373930522443, "realized_annual_volatility_pct": 44.258130675557155, "trading_costs_quote_units": 17.78028295936369, "borrowing_costs_quote_units": 56.143179479763106, "price_pnl_quote_units": 3001.958531317355, "turnover_quote_units": 29633.804932272804, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12969.382759416125, "return_pct": 29.693827594161238, "cagr_pct": 191.2612231191632, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383143491332919, "realized_annual_volatility_pct": 42.990976248749405, "trading_costs_quote_units": 17.299491548673736, "borrowing_costs_quote_units": 42.13391115190623, "price_pnl_quote_units": 3028.816162116711, "turnover_quote_units": 28832.48591445622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12969.382759416125, "return_pct": 29.693827594161238, "cagr_pct": 191.2612231191632, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383143491332919, "realized_annual_volatility_pct": 42.990976248749405, "trading_costs_quote_units": 17.299491548673736, "borrowing_costs_quote_units": 42.13391115190623, "price_pnl_quote_units": 3028.816162116711, "turnover_quote_units": 28832.48591445622, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12818.122402803798, "return_pct": 28.181224028037978, "cagr_pct": 177.54559689986752, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1553622853473835, "realized_annual_volatility_pct": 43.44278275786373, "trading_costs_quote_units": 17.42526619788237, "borrowing_costs_quote_units": 45.90508692361078, "price_pnl_quote_units": 2881.4527559252906, "turnover_quote_units": 29042.11032980394, "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, "trace": "reference-recent_June_September-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13289.440476478683, "return_pct": 32.89440476478682, "cagr_pct": 221.96904396732458, "max_drawdown_pct": 19.681140651955598, "mean_exposure_while_solvent": 1.307630702291118, "realized_annual_volatility_pct": 50.851261862912644, "trading_costs_quote_units": 20.8506745081272, "borrowing_costs_quote_units": 76.82742157313082, "price_pnl_quote_units": 3387.118572559941, "turnover_quote_units": 34751.124180211984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12310.010124992787, "return_pct": 23.100101249927874, "cagr_pct": 135.02247300364846, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1386682193292843, "realized_annual_volatility_pct": 41.94545432775562, "trading_costs_quote_units": 17.339398791044207, "borrowing_costs_quote_units": 38.630185491395366, "price_pnl_quote_units": 2365.9797092752324, "turnover_quote_units": 28898.997985073678, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13022.723593221814, "return_pct": 30.227235932218143, "cagr_pct": 196.2181845757352, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.81537018759715, "trading_costs_quote_units": 17.629834693277665, "borrowing_costs_quote_units": 104.4530546831884, "price_pnl_quote_units": 3144.806482598274, "turnover_quote_units": 29383.057822129453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13022.723593221814, "return_pct": 30.227235932218143, "cagr_pct": 196.2181845757352, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.81537018759715, "trading_costs_quote_units": 17.629834693277665, "borrowing_costs_quote_units": 104.4530546831884, "price_pnl_quote_units": 3144.806482598274, "turnover_quote_units": 29383.057822129453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12865.494997361402, "return_pct": 28.65494997361402, "cagr_pct": 181.78737389536673, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945713769229624, "realized_annual_volatility_pct": 44.25984665810081, "trading_costs_quote_units": 17.752127662954795, "borrowing_costs_quote_units": 112.01943710662219, "price_pnl_quote_units": 2995.2665621309766, "turnover_quote_units": 29586.87943825801, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13022.723593221814, "return_pct": 30.227235932218143, "cagr_pct": 196.2181845757352, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.81537018759715, "trading_costs_quote_units": 17.629834693277665, "borrowing_costs_quote_units": 104.4530546831884, "price_pnl_quote_units": 3144.806482598274, "turnover_quote_units": 29383.057822129453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13022.723593221814, "return_pct": 30.227235932218143, "cagr_pct": 196.2181845757352, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.81537018759715, "trading_costs_quote_units": 17.629834693277665, "borrowing_costs_quote_units": 104.4530546831884, "price_pnl_quote_units": 3144.806482598274, "turnover_quote_units": 29383.057822129453, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12865.494997361402, "return_pct": 28.65494997361402, "cagr_pct": 181.78737389536673, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945713769229624, "realized_annual_volatility_pct": 44.25984665810081, "trading_costs_quote_units": 17.752127662954795, "borrowing_costs_quote_units": 112.01943710662219, "price_pnl_quote_units": 2995.2665621309766, "turnover_quote_units": 29586.87943825801, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12924.3402186851, "return_pct": 29.243402186850997, "cagr_pct": 187.12453033962925, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383386931993857, "realized_annual_volatility_pct": 42.99168200444205, "trading_costs_quote_units": 17.28515782107403, "borrowing_costs_quote_units": 84.12962422053823, "price_pnl_quote_units": 3025.755000726715, "turnover_quote_units": 28808.59636845671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12924.3402186851, "return_pct": 29.243402186850997, "cagr_pct": 187.12453033962925, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383386931993857, "realized_annual_volatility_pct": 42.99168200444205, "trading_costs_quote_units": 17.28515782107403, "borrowing_costs_quote_units": 84.12962422053823, "price_pnl_quote_units": 3025.755000726715, "turnover_quote_units": 28808.59636845671, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12768.299444997512, "return_pct": 27.68299444997513, "cagr_pct": 173.1367336587636, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1553895683396194, "realized_annual_volatility_pct": 43.44442248018983, "trading_costs_quote_units": 17.40652689837542, "borrowing_costs_quote_units": 91.63884454339279, "price_pnl_quote_units": 2877.3448164392735, "turnover_quote_units": 29010.87816395904, "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, "trace": "reference-recent_June_September-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13188.50489115705, "return_pct": 31.885048911570514, "cagr_pct": 212.0325948747793, "max_drawdown_pct": 19.848059689893372, "mean_exposure_while_solvent": 1.3076841044837817, "realized_annual_volatility_pct": 50.85343014389613, "trading_costs_quote_units": 20.794013492348398, "borrowing_costs_quote_units": 153.09532978253657, "price_pnl_quote_units": 3362.394234431929, "turnover_quote_units": 34656.68915391401, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12266.987745829909, "return_pct": 22.66987745829909, "cagr_pct": 131.6635688329593, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1386926806615194, "realized_annual_volatility_pct": 41.94887727967398, "trading_costs_quote_units": 17.327581615116948, "borrowing_costs_quote_units": 77.1326600415543, "price_pnl_quote_units": 2361.4479874865815, "turnover_quote_units": 28879.30269186158, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13167.225650951144, "return_pct": 31.672256509511442, "cagr_pct": 209.96776412741704, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.318572745665215, "trading_costs_quote_units": 89.96136893143006, "borrowing_costs_quote_units": 26.49889833693, "price_pnl_quote_units": 3283.6859182195067, "turnover_quote_units": 29987.122977143357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13167.225650951144, "return_pct": 31.672256509511442, "cagr_pct": 209.96776412741704, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.318572745665215, "trading_costs_quote_units": 89.96136893143006, "borrowing_costs_quote_units": 26.49889833693, "price_pnl_quote_units": 3283.6859182195067, "turnover_quote_units": 29987.122977143357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13085.89097468041, "return_pct": 30.8589097468041, "cagr_pct": 202.17060064906954, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000045112769826, "realized_annual_volatility_pct": 44.83895243134429, "trading_costs_quote_units": 90.5043670233801, "borrowing_costs_quote_units": 28.468663108552636, "price_pnl_quote_units": 3204.864004812341, "turnover_quote_units": 30168.122341126695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13167.225650951144, "return_pct": 31.672256509511442, "cagr_pct": 209.96776412741704, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.318572745665215, "trading_costs_quote_units": 89.96136893143006, "borrowing_costs_quote_units": 26.49889833693, "price_pnl_quote_units": 3283.6859182195067, "turnover_quote_units": 29987.122977143357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13167.225650951144, "return_pct": 31.672256509511442, "cagr_pct": 209.96776412741704, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831168977286461, "realized_annual_volatility_pct": 44.318572745665215, "trading_costs_quote_units": 89.96136893143006, "borrowing_costs_quote_units": 26.49889833693, "price_pnl_quote_units": 3283.6859182195067, "turnover_quote_units": 29987.122977143357, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13085.89097468041, "return_pct": 30.8589097468041, "cagr_pct": 202.17060064906954, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000045112769826, "realized_annual_volatility_pct": 44.83895243134429, "trading_costs_quote_units": 90.5043670233801, "borrowing_costs_quote_units": 28.468663108552636, "price_pnl_quote_units": 3204.864004812341, "turnover_quote_units": 30168.122341126695, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13035.992409955294, "return_pct": 30.359924099552927, "cagr_pct": 197.46110909013882, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1438881297184744, "realized_annual_volatility_pct": 43.51594303645124, "trading_costs_quote_units": 88.49473566982397, "borrowing_costs_quote_units": 21.37803172830835, "price_pnl_quote_units": 3145.8651773534216, "turnover_quote_units": 29498.24522327465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13035.992409955294, "return_pct": 30.359924099552927, "cagr_pct": 197.46110909013882, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1438881297184744, "realized_annual_volatility_pct": 43.51594303645124, "trading_costs_quote_units": 88.49473566982397, "borrowing_costs_quote_units": 21.37803172830835, "price_pnl_quote_units": 3145.8651773534216, "turnover_quote_units": 29498.24522327465, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12955.468368624319, "return_pct": 29.554683686243187, "cagr_pct": 189.9785474677859, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1607757432668109, "realized_annual_volatility_pct": 44.045697516060244, "trading_costs_quote_units": 89.03232188524436, "borrowing_costs_quote_units": 23.32816452719565, "price_pnl_quote_units": 3067.828855036751, "turnover_quote_units": 29677.44062841478, "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, "trace": "reference-recent_June_September-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13119.320953699804, "return_pct": 31.193209536998047, "cagr_pct": 205.35718258746817, "max_drawdown_pct": 19.569843694298918, "mean_exposure_while_solvent": 1.3115369146841116, "realized_annual_volatility_pct": 50.626918123020396, "trading_costs_quote_units": 102.3042443523038, "borrowing_costs_quote_units": 38.43979980210164, "price_pnl_quote_units": 3260.0649978542074, "turnover_quote_units": 34101.41478410126, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12301.51005669241, "return_pct": 23.015100566924108, "cagr_pct": 134.35594088767425, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.144256618055633, "realized_annual_volatility_pct": 42.046504400125684, "trading_costs_quote_units": 86.4720075104573, "borrowing_costs_quote_units": 19.55177421231698, "price_pnl_quote_units": 2407.5338384151855, "turnover_quote_units": 28824.00250348576, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13137.800150889812, "return_pct": 31.378001508898134, "cagr_pct": 207.12951745129482, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.31882183850047, "trading_costs_quote_units": 89.91224824503225, "borrowing_costs_quote_units": 52.93980085453034, "price_pnl_quote_units": 3280.652199989369, "turnover_quote_units": 29970.749415010752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13137.800150889812, "return_pct": 31.378001508898134, "cagr_pct": 207.12951745129482, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.31882183850047, "trading_costs_quote_units": 89.91224824503225, "borrowing_costs_quote_units": 52.93980085453034, "price_pnl_quote_units": 3280.652199989369, "turnover_quote_units": 29970.749415010752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13053.96142583502, "return_pct": 30.53961425835019, "cagr_pct": 199.1506002680125, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.200021750884283, "realized_annual_volatility_pct": 44.83950327502077, "trading_costs_quote_units": 90.43714931636399, "borrowing_costs_quote_units": 56.868820549769, "price_pnl_quote_units": 3201.267395701152, "turnover_quote_units": 30145.716438787997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13137.800150889812, "return_pct": 31.378001508898134, "cagr_pct": 207.12951745129482, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.31882183850047, "trading_costs_quote_units": 89.91224824503225, "borrowing_costs_quote_units": 52.93980085453034, "price_pnl_quote_units": 3280.652199989369, "turnover_quote_units": 29970.749415010752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13137.800150889812, "return_pct": 31.378001508898134, "cagr_pct": 207.12951745129482, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.183132686901855, "realized_annual_volatility_pct": 44.31882183850047, "trading_costs_quote_units": 89.91224824503225, "borrowing_costs_quote_units": 52.93980085453034, "price_pnl_quote_units": 3280.652199989369, "turnover_quote_units": 29970.749415010752, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13053.96142583502, "return_pct": 30.53961425835019, "cagr_pct": 199.1506002680125, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.200021750884283, "realized_annual_volatility_pct": 44.83950327502077, "trading_costs_quote_units": 90.43714931636399, "borrowing_costs_quote_units": 56.868820549769, "price_pnl_quote_units": 3201.267395701152, "turnover_quote_units": 30145.716438787997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13013.055673420975, "return_pct": 30.130556734209748, "cagr_pct": 195.31504358929084, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439005752579101, "realized_annual_volatility_pct": 43.51618333293492, "trading_costs_quote_units": 88.47601769926213, "borrowing_costs_quote_units": 42.72043801636177, "price_pnl_quote_units": 3144.2521291366, "turnover_quote_units": 29492.005899754047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13013.055673420975, "return_pct": 30.130556734209748, "cagr_pct": 195.31504358929084, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439005752579101, "realized_annual_volatility_pct": 43.51618333293492, "trading_costs_quote_units": 88.47601769926213, "borrowing_costs_quote_units": 42.72043801636177, "price_pnl_quote_units": 3144.2521291366, "turnover_quote_units": 29492.005899754047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12930.013003857108, "return_pct": 29.300130038571083, "cagr_pct": 187.64305460129145, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1607896392403383, "realized_annual_volatility_pct": 44.04624678422617, "trading_costs_quote_units": 88.99593479236961, "borrowing_costs_quote_units": 46.61215135108206, "price_pnl_quote_units": 3065.621090000554, "turnover_quote_units": 29665.311597456537, "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, "trace": "reference-recent_June_September-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13069.401367278122, "return_pct": 30.694013672781217, "cagr_pct": 200.60809361421704, "max_drawdown_pct": 19.653574342815162, "mean_exposure_while_solvent": 1.3115636305739915, "realized_annual_volatility_pct": 50.6285298133197, "trading_costs_quote_units": 102.15228645104551, "borrowing_costs_quote_units": 76.73943192654991, "price_pnl_quote_units": 3248.293085655722, "turnover_quote_units": 34050.76215034849, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12279.731679520277, "return_pct": 22.79731679520276, "cagr_pct": 132.65471904724913, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1442691254614688, "realized_annual_volatility_pct": 42.04834446934974, "trading_costs_quote_units": 86.43103012447142, "borrowing_costs_quote_units": 39.07075160581236, "price_pnl_quote_units": 2405.233461250558, "turnover_quote_units": 28810.34337482381, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13079.11780022155, "return_pct": 30.791178002215492, "cagr_pct": 201.52805247190489, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.31937936927479, "trading_costs_quote_units": 89.82625640114149, "borrowing_costs_quote_units": 105.64801139400527, "price_pnl_quote_units": 3274.592068016699, "turnover_quote_units": 29942.085467047164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13079.11780022155, "return_pct": 30.791178002215492, "cagr_pct": 201.52805247190489, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.31937936927479, "trading_costs_quote_units": 89.82625640114149, "borrowing_costs_quote_units": 105.64801139400527, "price_pnl_quote_units": 3274.592068016699, "turnover_quote_units": 29942.085467047164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12990.306110784026, "return_pct": 29.903061107840266, "cagr_pct": 193.19808572941977, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000562375589066, "realized_annual_volatility_pct": 44.84066528044159, "trading_costs_quote_units": 90.31498734090378, "borrowing_costs_quote_units": 113.4641521520464, "price_pnl_quote_units": 3194.0852502769726, "turnover_quote_units": 30104.995780301266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13079.11780022155, "return_pct": 30.791178002215492, "cagr_pct": 201.52805247190489, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.31937936927479, "trading_costs_quote_units": 89.82625640114149, "borrowing_costs_quote_units": 105.64801139400527, "price_pnl_quote_units": 3274.592068016699, "turnover_quote_units": 29942.085467047164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13079.11780022155, "return_pct": 30.791178002215492, "cagr_pct": 201.52805247190489, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1831642720762952, "realized_annual_volatility_pct": 44.31937936927479, "trading_costs_quote_units": 89.82625640114149, "borrowing_costs_quote_units": 105.64801139400527, "price_pnl_quote_units": 3274.592068016699, "turnover_quote_units": 29942.085467047164, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12990.306110784026, "return_pct": 29.903061107840266, "cagr_pct": 193.19808572941977, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.2000562375589066, "realized_annual_volatility_pct": 44.84066528044159, "trading_costs_quote_units": 90.31498734090378, "borrowing_costs_quote_units": 113.4641521520464, "price_pnl_quote_units": 3194.0852502769726, "turnover_quote_units": 30104.995780301266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12967.278338788652, "return_pct": 29.672783387886525, "cagr_pct": 191.0669554455571, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439254717213059, "realized_annual_volatility_pct": 43.51671908293796, "trading_costs_quote_units": 88.45063363474956, "borrowing_costs_quote_units": 85.29852395997965, "price_pnl_quote_units": 3141.0274963833776, "turnover_quote_units": 29483.54454491652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12967.278338788652, "return_pct": 29.672783387886525, "cagr_pct": 191.0669554455571, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1439254717213059, "realized_annual_volatility_pct": 43.51671908293796, "trading_costs_quote_units": 88.45063363474956, "borrowing_costs_quote_units": 85.29852395997965, "price_pnl_quote_units": 3141.0274963833776, "turnover_quote_units": 29483.54454491652, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12879.226077599056, "return_pct": 28.792260775990552, "cagr_pct": 183.025985330764, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.1608174372039175, "realized_annual_volatility_pct": 44.0474025385023, "trading_costs_quote_units": 88.935185439044, "borrowing_costs_quote_units": 93.04782894314538, "price_pnl_quote_units": 3061.2090919812454, "turnover_quote_units": 29645.061813014665, "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, "trace": "reference-recent_June_September-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12970.10432149395, "return_pct": 29.701043214939492, "cagr_pct": 191.32785605057813, "max_drawdown_pct": 19.820820154602504, "mean_exposure_while_solvent": 1.311617073899237, "realized_annual_volatility_pct": 50.631793288635805, "trading_costs_quote_units": 101.84956834491953, "borrowing_costs_quote_units": 152.92013437884796, "price_pnl_quote_units": 3224.8740242177155, "turnover_quote_units": 33949.856114973176, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12236.278710548002, "return_pct": 22.36278710548003, "cagr_pct": 129.28832366931903, "max_drawdown_pct": 13.35945200745673, "mean_exposure_while_solvent": 1.144294145699571, "realized_annual_volatility_pct": 42.05206785376698, "trading_costs_quote_units": 86.34919714975918, "borrowing_costs_quote_units": 78.01050481058734, "price_pnl_quote_units": 2400.638412508344, "turnover_quote_units": 28783.065716586392, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13022.293268735408, "return_pct": 30.222932687354074, "cagr_pct": 196.1779408768467, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.78732293911818, "trading_costs_quote_units": 87.92634305524199, "borrowing_costs_quote_units": 26.056270558825727, "price_pnl_quote_units": 3136.2758823494673, "turnover_quote_units": 29308.781018414003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13022.293268735408, "return_pct": 30.222932687354074, "cagr_pct": 196.1779408768467, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.78732293911818, "trading_costs_quote_units": 87.92634305524199, "borrowing_costs_quote_units": 26.056270558825727, "price_pnl_quote_units": 3136.2758823494673, "turnover_quote_units": 29308.781018414003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12871.62594009589, "return_pct": 28.716259400958897, "cagr_pct": 182.33990729364328, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945204047817815, "realized_annual_volatility_pct": 44.2287521383337, "trading_costs_quote_units": 88.56701444555024, "borrowing_costs_quote_units": 27.954359881991554, "price_pnl_quote_units": 2988.147314423426, "turnover_quote_units": 29522.338148516737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13022.293268735408, "return_pct": 30.222932687354074, "cagr_pct": 196.1779408768467, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.78732293911818, "trading_costs_quote_units": 87.92634305524199, "borrowing_costs_quote_units": 26.056270558825727, "price_pnl_quote_units": 3136.2758823494673, "turnover_quote_units": 29308.781018414003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13022.293268735408, "return_pct": 30.222932687354074, "cagr_pct": 196.1779408768467, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774739377093895, "realized_annual_volatility_pct": 43.78732293911818, "trading_costs_quote_units": 87.92634305524199, "borrowing_costs_quote_units": 26.056270558825727, "price_pnl_quote_units": 3136.2758823494673, "turnover_quote_units": 29308.781018414003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12871.62594009589, "return_pct": 28.716259400958897, "cagr_pct": 182.33990729364328, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945204047817815, "realized_annual_volatility_pct": 44.2287521383337, "trading_costs_quote_units": 88.56701444555024, "borrowing_costs_quote_units": 27.954359881991554, "price_pnl_quote_units": 2988.147314423426, "turnover_quote_units": 29522.338148516737, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12907.148930426765, "return_pct": 29.07148930426766, "cagr_pct": 185.55746985883536, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.138302179717389, "realized_annual_volatility_pct": 42.9638951385124, "trading_costs_quote_units": 86.14691823971975, "borrowing_costs_quote_units": 20.96420683143334, "price_pnl_quote_units": 3014.2600554979267, "turnover_quote_units": 28715.63941323991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12907.148930426765, "return_pct": 29.07148930426766, "cagr_pct": 185.55746985883536, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.138302179717389, "realized_annual_volatility_pct": 42.9638951385124, "trading_costs_quote_units": 86.14691823971975, "borrowing_costs_quote_units": 20.96420683143334, "price_pnl_quote_units": 3014.2600554979267, "turnover_quote_units": 28715.63941323991, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12757.813816436617, "return_pct": 27.578138164366184, "cagr_pct": 172.2156462032914, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.155348646789781, "realized_annual_volatility_pct": 43.41351373594214, "trading_costs_quote_units": 86.7819247535129, "borrowing_costs_quote_units": 22.84551307080155, "price_pnl_quote_units": 2867.441254260939, "turnover_quote_units": 28927.308251170973, "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, "trace": "reference-recent_June_September-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13233.320293673927, "return_pct": 32.33320293673927, "cagr_pct": 216.41529138760944, "max_drawdown_pct": 19.631377737729384, "mean_exposure_while_solvent": 1.3076040069620336, "realized_annual_volatility_pct": 50.82588726842352, "trading_costs_quote_units": 103.92970678568226, "borrowing_costs_quote_units": 38.28531359404051, "price_pnl_quote_units": 3375.5353140536595, "turnover_quote_units": 34643.235595227416, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12251.536907852631, "return_pct": 22.515369078526316, "cagr_pct": 130.46618060802112, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.138655991300653, "realized_annual_volatility_pct": 41.94652514621707, "trading_costs_quote_units": 86.3440402191948, "borrowing_costs_quote_units": 19.23380956957535, "price_pnl_quote_units": 2357.114757641399, "turnover_quote_units": 28781.34673973159, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12993.473475741592, "return_pct": 29.934734757415924, "cagr_pct": 193.4921341590101, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.787726458198996, "trading_costs_quote_units": 87.8679968156197, "borrowing_costs_quote_units": 52.056225297262685, "price_pnl_quote_units": 3133.397697854467, "turnover_quote_units": 29289.33227187325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12993.473475741592, "return_pct": 29.934734757415924, "cagr_pct": 193.4921341590101, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.787726458198996, "trading_costs_quote_units": 87.8679968156197, "borrowing_costs_quote_units": 52.056225297262685, "price_pnl_quote_units": 3133.397697854467, "turnover_quote_units": 29289.33227187325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12840.475448168781, "return_pct": 28.40475448168782, "cagr_pct": 179.54103857248504, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945373930522443, "realized_annual_volatility_pct": 44.22960899959566, "trading_costs_quote_units": 88.4973262586973, "borrowing_costs_quote_units": 55.84227725949165, "price_pnl_quote_units": 2984.8150516869773, "turnover_quote_units": 29499.10875289911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12993.473475741592, "return_pct": 29.934734757415924, "cagr_pct": 193.4921341590101, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.787726458198996, "trading_costs_quote_units": 87.8679968156197, "borrowing_costs_quote_units": 52.056225297262685, "price_pnl_quote_units": 3133.397697854467, "turnover_quote_units": 29289.33227187325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12993.473475741592, "return_pct": 29.934734757415924, "cagr_pct": 193.4921341590101, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1774894568381526, "realized_annual_volatility_pct": 43.787726458198996, "trading_costs_quote_units": 87.8679968156197, "borrowing_costs_quote_units": 52.056225297262685, "price_pnl_quote_units": 3133.397697854467, "turnover_quote_units": 29289.33227187325, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12840.475448168781, "return_pct": 28.40475448168782, "cagr_pct": 179.54103857248504, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945373930522443, "realized_annual_volatility_pct": 44.22960899959566, "trading_costs_quote_units": 88.4973262586973, "borrowing_costs_quote_units": 55.84227725949165, "price_pnl_quote_units": 2984.8150516869773, "turnover_quote_units": 29499.10875289911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12884.729429578892, "return_pct": 28.847294295788917, "cagr_pct": 183.5235697962749, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383143491332919, "realized_annual_volatility_pct": 42.96425209671961, "trading_costs_quote_units": 86.11157173178769, "borrowing_costs_quote_units": 41.894039050321936, "price_pnl_quote_units": 3012.7350403610058, "turnover_quote_units": 28703.857243929226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12884.729429578892, "return_pct": 28.847294295788917, "cagr_pct": 183.5235697962749, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383143491332919, "realized_annual_volatility_pct": 42.96425209671961, "trading_costs_quote_units": 86.11157173178769, "borrowing_costs_quote_units": 41.894039050321936, "price_pnl_quote_units": 3012.7350403610058, "turnover_quote_units": 28703.857243929226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12733.011862123582, "return_pct": 27.330118621235822, "cagr_pct": 170.04632811620658, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1553622853473835, "realized_annual_volatility_pct": 43.41433973538212, "trading_costs_quote_units": 86.73563423603355, "borrowing_costs_quote_units": 45.648405058050514, "price_pnl_quote_units": 2865.395901417662, "turnover_quote_units": 28911.87807867785, "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, "trace": "reference-recent_June_September-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13182.972458623413, "return_pct": 31.829724586234143, "cagr_pct": 211.4947570517608, "max_drawdown_pct": 19.71497970432603, "mean_exposure_while_solvent": 1.307630702291118, "realized_annual_volatility_pct": 50.826974071545216, "trading_costs_quote_units": 103.7888869437283, "borrowing_costs_quote_units": 76.43110187508674, "price_pnl_quote_units": 3363.1924474422362, "turnover_quote_units": 34596.29564790944, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12230.103767232733, "return_pct": 22.30103767232734, "cagr_pct": 128.81294594288656, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1386682193292843, "realized_annual_volatility_pct": 41.9482364477304, "trading_costs_quote_units": 86.31490768687554, "borrowing_costs_quote_units": 38.43580436004972, "price_pnl_quote_units": 2354.854479279655, "turnover_quote_units": 28771.63589562518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12936.00955256983, "return_pct": 29.360095525698316, "cagr_pct": 188.1919428243192, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.78857925993789, "trading_costs_quote_units": 87.7515410921255, "borrowing_costs_quote_units": 103.88761306896818, "price_pnl_quote_units": 3127.6487067309163, "turnover_quote_units": 29250.51369737518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12936.00955256983, "return_pct": 29.360095525698316, "cagr_pct": 188.1919428243192, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.78857925993789, "trading_costs_quote_units": 87.7515410921255, "borrowing_costs_quote_units": 103.88761306896818, "price_pnl_quote_units": 3127.6487067309163, "turnover_quote_units": 29250.51369737518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12778.383634144178, "return_pct": 27.78383634144179, "cagr_pct": 174.0247805793191, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945713769229624, "realized_annual_volatility_pct": 44.2313696297334, "trading_costs_quote_units": 88.35827484345404, "borrowing_costs_quote_units": 111.41934495362257, "price_pnl_quote_units": 2978.1612539412517, "turnover_quote_units": 29452.758281151353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12936.00955256983, "return_pct": 29.360095525698316, "cagr_pct": 188.1919428243192, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.78857925993789, "trading_costs_quote_units": 87.7515410921255, "borrowing_costs_quote_units": 103.88761306896818, "price_pnl_quote_units": 3127.6487067309163, "turnover_quote_units": 29250.51369737518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12936.00955256983, "return_pct": 29.360095525698316, "cagr_pct": 188.1919428243192, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1775205017827288, "realized_annual_volatility_pct": 43.78857925993789, "trading_costs_quote_units": 87.7515410921255, "borrowing_costs_quote_units": 103.88761306896818, "price_pnl_quote_units": 3127.6487067309163, "turnover_quote_units": 29250.51369737518, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12778.383634144178, "return_pct": 27.78383634144179, "cagr_pct": 174.0247805793191, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1945713769229624, "realized_annual_volatility_pct": 44.2313696297334, "trading_costs_quote_units": 88.35827484345404, "borrowing_costs_quote_units": 111.41934495362257, "price_pnl_quote_units": 2978.1612539412517, "turnover_quote_units": 29452.758281151353, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12839.995112130135, "return_pct": 28.399951121301335, "cagr_pct": 179.49804548527538, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383386931993857, "realized_annual_volatility_pct": 42.96500697702934, "trading_costs_quote_units": 86.04098755954688, "borrowing_costs_quote_units": 83.65076967257791, "price_pnl_quote_units": 3009.686869362263, "turnover_quote_units": 28680.329186515624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12839.995112130135, "return_pct": 28.399951121301335, "cagr_pct": 179.49804548527538, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1383386931993857, "realized_annual_volatility_pct": 42.96500697702934, "trading_costs_quote_units": 86.04098755954688, "borrowing_costs_quote_units": 83.65076967257791, "price_pnl_quote_units": 3009.686869362263, "turnover_quote_units": 28680.329186515624, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12683.53913442654, "return_pct": 26.835391344265403, "cagr_pct": 165.75826456446032, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1553895683396194, "realized_annual_volatility_pct": 43.41603496728592, "trading_costs_quote_units": 86.64321797455737, "borrowing_costs_quote_units": 91.12659907667935, "price_pnl_quote_units": 2861.308951477779, "turnover_quote_units": 28881.072658185785, "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, "trace": "reference-recent_June_September-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13082.823500909573, "return_pct": 30.828235009095728, "cagr_pct": 201.87947153144714, "max_drawdown_pct": 19.88196872009049, "mean_exposure_while_solvent": 1.3076841044837817, "realized_annual_volatility_pct": 50.829187797309416, "trading_costs_quote_units": 103.50821270878166, "borrowing_costs_quote_units": 152.30603533717408, "price_pnl_quote_units": 3338.6377489555202, "turnover_quote_units": 34502.7375695939, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 58, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12187.338333091368, "return_pct": 21.873383330913665, "cagr_pct": 125.54108896831302, "max_drawdown_pct": 13.359452007456706, "mean_exposure_while_solvent": 1.1386926806615194, "realized_annual_volatility_pct": 41.951702100283306, "trading_costs_quote_units": 86.25672184494947, "borrowing_costs_quote_units": 76.74453029011347, "price_pnl_quote_units": 2350.3395852264366, "turnover_quote_units": 28752.240614983162, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "reference-recent_June_September-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-recent_June_September-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13245.656956316592, "return_pct": 32.456569563165914, "cagr_pct": 217.6298834826906, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183123504753419, "realized_annual_volatility_pct": 44.061671258383974, "trading_costs_quote_units": 18.057169997161015, "borrowing_costs_quote_units": 26.624068486915682, "price_pnl_quote_units": 3290.3381948006604, "turnover_quote_units": 30095.283328601698, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13162.130548635403, "return_pct": 31.621305486354025, "cagr_pct": 209.47489914520614, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872915, "realized_annual_volatility_pct": 44.568998116949814, "trading_costs_quote_units": 18.166665646621812, "borrowing_costs_quote_units": 28.599695826723195, "price_pnl_quote_units": 3208.8969101087514, "turnover_quote_units": 30277.77607770302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13162.130548635403, "return_pct": 31.621305486354025, "cagr_pct": 209.47489914520614, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872915, "realized_annual_volatility_pct": 44.568998116949814, "trading_costs_quote_units": 18.166665646621812, "borrowing_costs_quote_units": 28.599695826723195, "price_pnl_quote_units": 3208.8969101087514, "turnover_quote_units": 30277.77607770302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13245.656956316592, "return_pct": 32.456569563165914, "cagr_pct": 217.6298834826906, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183123504753419, "realized_annual_volatility_pct": 44.061671258383974, "trading_costs_quote_units": 18.057169997161015, "borrowing_costs_quote_units": 26.624068486915682, "price_pnl_quote_units": 3290.3381948006604, "turnover_quote_units": 30095.283328601698, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13162.130548635403, "return_pct": 31.621305486354025, "cagr_pct": 209.47489914520614, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872915, "realized_annual_volatility_pct": 44.568998116949814, "trading_costs_quote_units": 18.166665646621812, "borrowing_costs_quote_units": 28.599695826723195, "price_pnl_quote_units": 3208.8969101087514, "turnover_quote_units": 30277.77607770302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13162.130548635403, "return_pct": 31.621305486354025, "cagr_pct": 209.47489914520614, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872915, "realized_annual_volatility_pct": 44.568998116949814, "trading_costs_quote_units": 18.166665646621812, "borrowing_costs_quote_units": 28.599695826723195, "price_pnl_quote_units": 3208.8969101087514, "turnover_quote_units": 30277.77607770302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13112.87513690555, "return_pct": 31.128751369055507, "cagr_pct": 204.74079055455982, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1438913459010882, "realized_annual_volatility_pct": 43.26092012582082, "trading_costs_quote_units": 17.76339069192183, "borrowing_costs_quote_units": 21.48547138814281, "price_pnl_quote_units": 3152.1239989856163, "turnover_quote_units": 29605.65115320306, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13030.186044309408, "return_pct": 30.301860443094085, "cagr_pct": 196.91672706684255, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607812436349607, "realized_annual_volatility_pct": 43.77741515434565, "trading_costs_quote_units": 17.87178869619967, "borrowing_costs_quote_units": 23.44129394261404, "price_pnl_quote_units": 3071.4991269482284, "turnover_quote_units": 29786.314493666112, "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, "trace": "binance-recent_June_September-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13030.186044309408, "return_pct": 30.301860443094085, "cagr_pct": 196.91672706684255, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607812436349607, "realized_annual_volatility_pct": 43.77741515434565, "trading_costs_quote_units": 17.87178869619967, "borrowing_costs_quote_units": 23.44129394261404, "price_pnl_quote_units": 3071.4991269482284, "turnover_quote_units": 29786.314493666112, "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, "trace": "binance-recent_June_September-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13288.227554259762, "return_pct": 32.88227554259762, "cagr_pct": 221.8482367252785, "max_drawdown_pct": 19.377968820183476, "mean_exposure_while_solvent": 1.294669803476483, "realized_annual_volatility_pct": 49.890966432999164, "trading_costs_quote_units": 20.37367433243979, "borrowing_costs_quote_units": 36.58273876540073, "price_pnl_quote_units": 3345.183967357608, "turnover_quote_units": 33956.123887399655, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12449.606800237987, "return_pct": 24.496068002379868, "cagr_pct": 146.17558597197768, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.16103039836314, "realized_annual_volatility_pct": 41.89624468468043, "trading_costs_quote_units": 17.483774458174434, "borrowing_costs_quote_units": 21.773375587091284, "price_pnl_quote_units": 2488.8639502832657, "turnover_quote_units": 29139.624096957385, "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, "trace": "binance-recent_June_September-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13216.053833192676, "return_pct": 32.16053833192676, "cagr_pct": 214.72124800429856, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1831392951467186, "realized_annual_volatility_pct": 44.061892810929386, "trading_costs_quote_units": 18.04844563344306, "borrowing_costs_quote_units": 53.18982340670052, "price_pnl_quote_units": 3287.292102232815, "turnover_quote_units": 30080.742722405103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13130.002708126342, "return_pct": 31.300027081263426, "cagr_pct": 206.38072005695935, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.569533367240325, "trading_costs_quote_units": 18.154286325721294, "borrowing_costs_quote_units": 57.130495129048015, "price_pnl_quote_units": 3205.2874895811137, "turnover_quote_units": 30257.143876202153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13130.002708126342, "return_pct": 31.300027081263426, "cagr_pct": 206.38072005695935, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.569533367240325, "trading_costs_quote_units": 18.154286325721294, "borrowing_costs_quote_units": 57.130495129048015, "price_pnl_quote_units": 3205.2874895811137, "turnover_quote_units": 30257.143876202153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13216.053833192676, "return_pct": 32.16053833192676, "cagr_pct": 214.72124800429856, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1831392951467186, "realized_annual_volatility_pct": 44.061892810929386, "trading_costs_quote_units": 18.04844563344306, "borrowing_costs_quote_units": 53.18982340670052, "price_pnl_quote_units": 3287.292102232815, "turnover_quote_units": 30080.742722405103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13130.002708126342, "return_pct": 31.300027081263426, "cagr_pct": 206.38072005695935, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.569533367240325, "trading_costs_quote_units": 18.154286325721294, "borrowing_costs_quote_units": 57.130495129048015, "price_pnl_quote_units": 3205.2874895811137, "turnover_quote_units": 30257.143876202153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13130.002708126342, "return_pct": 31.300027081263426, "cagr_pct": 206.38072005695935, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.569533367240325, "trading_costs_quote_units": 18.154286325721294, "borrowing_costs_quote_units": 57.130495129048015, "price_pnl_quote_units": 3205.2874895811137, "turnover_quote_units": 30257.143876202153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13089.810098673883, "return_pct": 30.898100986738818, "cagr_pct": 202.5428676472467, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1439037919957498, "realized_annual_volatility_pct": 43.261129723027096, "trading_costs_quote_units": 17.76078015187716, "borrowing_costs_quote_units": 42.935142797275645, "price_pnl_quote_units": 3150.5060216230454, "turnover_quote_units": 29601.300253128607, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13004.580959922452, "return_pct": 30.045809599224516, "cagr_pct": 194.52508283328473, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607951405951993, "realized_annual_volatility_pct": 43.77794604363584, "trading_costs_quote_units": 17.865609821922455, "borrowing_costs_quote_units": 46.83817203412624, "price_pnl_quote_units": 3069.2847417785147, "turnover_quote_units": 29776.01636987076, "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, "trace": "binance-recent_June_September-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13004.580959922452, "return_pct": 30.045809599224516, "cagr_pct": 194.52508283328473, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607951405951993, "realized_annual_volatility_pct": 43.77794604363584, "trading_costs_quote_units": 17.865609821922455, "borrowing_costs_quote_units": 46.83817203412624, "price_pnl_quote_units": 3069.2847417785147, "turnover_quote_units": 29776.01636987076, "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, "trace": "binance-recent_June_September-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13240.395373307356, "return_pct": 32.403953733073564, "cagr_pct": 217.11142959589807, "max_drawdown_pct": 19.46177962632626, "mean_exposure_while_solvent": 1.2946950724025212, "realized_annual_volatility_pct": 49.892321557728636, "trading_costs_quote_units": 20.346018816124, "borrowing_costs_quote_units": 73.03940946410717, "price_pnl_quote_units": 3333.7808015875794, "turnover_quote_units": 33910.03136020667, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12425.030833783334, "return_pct": 24.25030833783335, "cagr_pct": 144.1836278617001, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1610443354513758, "realized_annual_volatility_pct": 41.89796060555429, "trading_costs_quote_units": 17.473210679641216, "borrowing_costs_quote_units": 43.505512878993116, "price_pnl_quote_units": 2486.009557341978, "turnover_quote_units": 29122.017799402034, "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, "trace": "binance-recent_June_September-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13157.029897805849, "return_pct": 31.570298978058496, "cagr_pct": 208.9820917170992, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183170882762222, "realized_annual_volatility_pct": 44.06238123205541, "trading_costs_quote_units": 18.031016300323387, "borrowing_costs_quote_units": 106.14683900167843, "price_pnl_quote_units": 3281.207753107836, "turnover_quote_units": 30051.6938338723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13065.964707128354, "return_pct": 30.659647071283548, "cagr_pct": 200.2832172250484, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.57065038326972, "trading_costs_quote_units": 18.129567097762518, "borrowing_costs_quote_units": 113.98599224290597, "price_pnl_quote_units": 3198.080266469024, "turnover_quote_units": 30215.945162937525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13065.964707128354, "return_pct": 30.659647071283548, "cagr_pct": 200.2832172250484, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.57065038326972, "trading_costs_quote_units": 18.129567097762518, "borrowing_costs_quote_units": 113.98599224290597, "price_pnl_quote_units": 3198.080266469024, "turnover_quote_units": 30215.945162937525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13157.029897805849, "return_pct": 31.570298978058496, "cagr_pct": 208.9820917170992, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183170882762222, "realized_annual_volatility_pct": 44.06238123205541, "trading_costs_quote_units": 18.031016300323387, "borrowing_costs_quote_units": 106.14683900167843, "price_pnl_quote_units": 3281.207753107836, "turnover_quote_units": 30051.6938338723, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13065.964707128354, "return_pct": 30.659647071283548, "cagr_pct": 200.2832172250484, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.57065038326972, "trading_costs_quote_units": 18.129567097762518, "borrowing_costs_quote_units": 113.98599224290597, "price_pnl_quote_units": 3198.080266469024, "turnover_quote_units": 30215.945162937525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13065.964707128354, "return_pct": 30.659647071283548, "cagr_pct": 200.2832172250484, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.57065038326972, "trading_costs_quote_units": 18.129567097762518, "borrowing_costs_quote_units": 113.98599224290597, "price_pnl_quote_units": 3198.080266469024, "turnover_quote_units": 30215.945162937525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13043.789177601615, "return_pct": 30.437891776016144, "cagr_pct": 198.19329110442166, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1439286895699898, "realized_annual_volatility_pct": 43.261589752354155, "trading_costs_quote_units": 17.755562891761652, "borrowing_costs_quote_units": 85.72728676080006, "price_pnl_quote_units": 3147.2720272541846, "turnover_quote_units": 29592.604819602762, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12953.507772311717, "return_pct": 29.535077723117166, "cagr_pct": 189.79815726584488, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1608229405329127, "realized_annual_volatility_pct": 43.7790509661966, "trading_costs_quote_units": 17.853265476240438, "borrowing_costs_quote_units": 93.49896950407161, "price_pnl_quote_units": 3064.8600072920303, "turnover_quote_units": 29755.442460400733, "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, "trace": "binance-recent_June_September-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12953.507772311717, "return_pct": 29.535077723117166, "cagr_pct": 189.79815726584488, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1608229405329127, "realized_annual_volatility_pct": 43.7790509661966, "trading_costs_quote_units": 17.853265476240438, "borrowing_costs_quote_units": 93.49896950407161, "price_pnl_quote_units": 3064.8600072920303, "turnover_quote_units": 29755.442460400733, "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, "trace": "binance-recent_June_September-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13145.221055963022, "return_pct": 31.45221055963021, "cagr_pct": 207.84344097566722, "max_drawdown_pct": 19.629185893016952, "mean_exposure_while_solvent": 1.2947456211704786, "realized_annual_volatility_pct": 49.89507354012995, "trading_costs_quote_units": 20.290923016924395, "borrowing_costs_quote_units": 145.57619093763847, "price_pnl_quote_units": 3311.0881699175875, "turnover_quote_units": 33818.20502820731, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12376.011018130757, "return_pct": 23.76011018130757, "cagr_pct": 140.24687186443364, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.161072215671504, "realized_annual_volatility_pct": 41.901438452731874, "trading_costs_quote_units": 17.45212031355295, "borrowing_costs_quote_units": 86.84634572712157, "price_pnl_quote_units": 2480.3094841714346, "turnover_quote_units": 29086.86718925492, "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, "trace": "binance-recent_June_September-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13097.566472687286, "return_pct": 30.975664726872854, "cagr_pct": 203.28064775246415, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1774803903401394, "realized_annual_volatility_pct": 43.563069052643904, "trading_costs_quote_units": 17.64822743297981, "borrowing_costs_quote_units": 26.178579170585156, "price_pnl_quote_units": 3141.393279290857, "turnover_quote_units": 29413.712388299675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12946.476118574372, "return_pct": 29.464761185743725, "cagr_pct": 189.15188849354467, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.988681286018746, "trading_costs_quote_units": 17.780383672240752, "borrowing_costs_quote_units": 28.084751078816403, "price_pnl_quote_units": 2992.3412533254395, "turnover_quote_units": 29633.972787067927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12946.476118574372, "return_pct": 29.464761185743725, "cagr_pct": 189.15188849354467, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.988681286018746, "trading_costs_quote_units": 17.780383672240752, "borrowing_costs_quote_units": 28.084751078816403, "price_pnl_quote_units": 2992.3412533254395, "turnover_quote_units": 29633.972787067927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13097.566472687286, "return_pct": 30.975664726872854, "cagr_pct": 203.28064775246415, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1774803903401394, "realized_annual_volatility_pct": 43.563069052643904, "trading_costs_quote_units": 17.64822743297981, "borrowing_costs_quote_units": 26.178579170585156, "price_pnl_quote_units": 3141.393279290857, "turnover_quote_units": 29413.712388299675, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12946.476118574372, "return_pct": 29.464761185743725, "cagr_pct": 189.15188849354467, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.988681286018746, "trading_costs_quote_units": 17.780383672240752, "borrowing_costs_quote_units": 28.084751078816403, "price_pnl_quote_units": 2992.3412533254395, "turnover_quote_units": 29633.972787067927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12946.476118574372, "return_pct": 29.464761185743725, "cagr_pct": 189.15188849354467, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.988681286018746, "trading_costs_quote_units": 17.780383672240752, "borrowing_costs_quote_units": 28.084751078816403, "price_pnl_quote_units": 2992.3412533254395, "turnover_quote_units": 29633.972787067927, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12981.200165307298, "return_pct": 29.812001653072983, "cagr_pct": 192.35395950540868, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1383049695248129, "realized_annual_volatility_pct": 42.74339009407637, "trading_costs_quote_units": 17.292843711881584, "borrowing_costs_quote_units": 21.06830542105663, "price_pnl_quote_units": 3019.5613144402405, "turnover_quote_units": 28821.40618646931, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12831.4521847281, "return_pct": 28.314521847281004, "cagr_pct": 178.73423552086072, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1553501927058865, "realized_annual_volatility_pct": 43.17689761022454, "trading_costs_quote_units": 17.42382579916611, "borrowing_costs_quote_units": 22.95754180262691, "price_pnl_quote_units": 2871.8335523298856, "turnover_quote_units": 29039.709665276852, "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, "trace": "binance-recent_June_September-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12831.4521847281, "return_pct": 28.314521847281004, "cagr_pct": 178.73423552086072, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1553501927058865, "realized_annual_volatility_pct": 43.17689761022454, "trading_costs_quote_units": 17.42382579916611, "borrowing_costs_quote_units": 22.95754180262691, "price_pnl_quote_units": 2871.8335523298856, "turnover_quote_units": 29039.709665276852, "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, "trace": "binance-recent_June_September-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13480.752810695278, "return_pct": 34.80752810695278, "cagr_pct": 241.4576647986113, "max_drawdown_pct": 19.432330300394163, "mean_exposure_while_solvent": 1.2905725384199884, "realized_annual_volatility_pct": 50.234694881805666, "trading_costs_quote_units": 20.69804997487286, "borrowing_costs_quote_units": 36.51499192221457, "price_pnl_quote_units": 3537.96585259237, "turnover_quote_units": 34496.74995812144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12406.77067809254, "return_pct": 24.067706780925402, "cagr_pct": 142.71150282075803, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1554817212138624, "realized_annual_volatility_pct": 41.814058764726965, "trading_costs_quote_units": 17.521908698432227, "borrowing_costs_quote_units": 21.473120582082945, "price_pnl_quote_units": 2445.7657073730543, "turnover_quote_units": 29203.181164053698, "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, "trace": "binance-recent_June_September-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13068.57000935992, "return_pct": 30.68570009359921, "cagr_pct": 200.5294788173969, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1774959100993543, "realized_annual_volatility_pct": 43.56344808213722, "trading_costs_quote_units": 17.6364260061758, "borrowing_costs_quote_units": 52.3005334211174, "price_pnl_quote_units": 3138.5069687872074, "turnover_quote_units": 29394.043343626337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12915.13157575368, "return_pct": 29.1513157575368, "cagr_pct": 186.2843154690769, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.98951344417942, "trading_costs_quote_units": 17.766293411361406, "borrowing_costs_quote_units": 56.10269192211545, "price_pnl_quote_units": 2989.00056108716, "turnover_quote_units": 29610.489018935685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12915.13157575368, "return_pct": 29.1513157575368, "cagr_pct": 186.2843154690769, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.98951344417942, "trading_costs_quote_units": 17.766293411361406, "borrowing_costs_quote_units": 56.10269192211545, "price_pnl_quote_units": 2989.00056108716, "turnover_quote_units": 29610.489018935685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13068.57000935992, "return_pct": 30.68570009359921, "cagr_pct": 200.5294788173969, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1774959100993543, "realized_annual_volatility_pct": 43.56344808213722, "trading_costs_quote_units": 17.6364260061758, "borrowing_costs_quote_units": 52.3005334211174, "price_pnl_quote_units": 3138.5069687872074, "turnover_quote_units": 29394.043343626337, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12915.13157575368, "return_pct": 29.1513157575368, "cagr_pct": 186.2843154690769, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.98951344417942, "trading_costs_quote_units": 17.766293411361406, "borrowing_costs_quote_units": 56.10269192211545, "price_pnl_quote_units": 2989.00056108716, "turnover_quote_units": 29610.489018935685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12915.13157575368, "return_pct": 29.1513157575368, "cagr_pct": 186.2843154690769, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.98951344417942, "trading_costs_quote_units": 17.766293411361406, "borrowing_costs_quote_units": 56.10269192211545, "price_pnl_quote_units": 2989.00056108716, "turnover_quote_units": 29610.489018935685, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12958.644875419308, "return_pct": 29.58644875419307, "cagr_pct": 190.27099130361614, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1383171392401255, "realized_annual_volatility_pct": 42.74371607774521, "trading_costs_quote_units": 17.285678455591356, "borrowing_costs_quote_units": 42.10204493115872, "price_pnl_quote_units": 3018.032598806062, "turnover_quote_units": 28809.464092652273, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12806.497075780968, "return_pct": 28.06497075780967, "cagr_pct": 176.51208251812935, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1553638313886736, "realized_annual_volatility_pct": 43.177692478118864, "trading_costs_quote_units": 17.414453492453635, "borrowing_costs_quote_units": 45.872221908379885, "price_pnl_quote_units": 2869.783751181804, "turnover_quote_units": 29024.089154089383, "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, "trace": "binance-recent_June_September-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12806.497075780968, "return_pct": 28.06497075780967, "cagr_pct": 176.51208251812935, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1553638313886736, "realized_annual_volatility_pct": 43.177692478118864, "trading_costs_quote_units": 17.414453492453635, "borrowing_costs_quote_units": 45.872221908379885, "price_pnl_quote_units": 2869.783751181804, "turnover_quote_units": 29024.089154089383, "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, "trace": "binance-recent_June_September-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13432.265165791907, "return_pct": 34.32265165791908, "cagr_pct": 236.43612239002582, "max_drawdown_pct": 19.516057969653044, "mean_exposure_while_solvent": 1.2905977661847805, "realized_annual_volatility_pct": 50.23538365233726, "trading_costs_quote_units": 20.670125433532128, "borrowing_costs_quote_units": 72.90410394189733, "price_pnl_quote_units": 3525.839395167333, "turnover_quote_units": 34450.20905588688, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12382.5540478545, "return_pct": 23.825540478545015, "cagr_pct": 140.76954168424348, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.155495387461364, "realized_annual_volatility_pct": 41.81563410965771, "trading_costs_quote_units": 17.512423908372437, "borrowing_costs_quote_units": 42.906109115006586, "price_pnl_quote_units": 2442.972580877883, "turnover_quote_units": 29187.373180620732, "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, "trace": "binance-recent_June_September-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13010.753888027506, "return_pct": 30.107538880275065, "cagr_pct": 195.10032687107852, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.177526956305042, "realized_annual_volatility_pct": 43.56425210356421, "trading_costs_quote_units": 17.612871232030148, "borrowing_costs_quote_units": 104.37499556929428, "price_pnl_quote_units": 3132.741754828827, "turnover_quote_units": 29354.785386716936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12852.65305489711, "return_pct": 28.526530548971095, "cagr_pct": 180.63268358873964, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.99122489294166, "trading_costs_quote_units": 17.738178802837886, "borrowing_costs_quote_units": 111.93870691434306, "price_pnl_quote_units": 2982.329940614296, "turnover_quote_units": 29563.631338063165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12852.65305489711, "return_pct": 28.526530548971095, "cagr_pct": 180.63268358873964, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.99122489294166, "trading_costs_quote_units": 17.738178802837886, "borrowing_costs_quote_units": 111.93870691434306, "price_pnl_quote_units": 2982.329940614296, "turnover_quote_units": 29563.631338063165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13010.753888027506, "return_pct": 30.107538880275065, "cagr_pct": 195.10032687107852, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.177526956305042, "realized_annual_volatility_pct": 43.56425210356421, "trading_costs_quote_units": 17.612871232030148, "borrowing_costs_quote_units": 104.37499556929428, "price_pnl_quote_units": 3132.741754828827, "turnover_quote_units": 29354.785386716936, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12852.65305489711, "return_pct": 28.526530548971095, "cagr_pct": 180.63268358873964, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.99122489294166, "trading_costs_quote_units": 17.738178802837886, "borrowing_costs_quote_units": 111.93870691434306, "price_pnl_quote_units": 2982.329940614296, "turnover_quote_units": 29563.631338063165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12852.65305489711, "return_pct": 28.526530548971095, "cagr_pct": 180.63268358873964, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.99122489294166, "trading_costs_quote_units": 17.738178802837886, "borrowing_costs_quote_units": 111.93870691434306, "price_pnl_quote_units": 2982.329940614296, "turnover_quote_units": 29563.631338063165, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12913.639650435336, "return_pct": 29.136396504353357, "cagr_pct": 186.14836459118717, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1383414839051418, "realized_annual_volatility_pct": 42.74440918542724, "trading_costs_quote_units": 17.27137011437559, "borrowing_costs_quote_units": 84.06601744761, "price_pnl_quote_units": 3014.9770379973156, "turnover_quote_units": 28785.61685729266, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12756.71890586894, "return_pct": 27.5671890586894, "cagr_pct": 172.11960186962548, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.15539111463124, "realized_annual_volatility_pct": 43.17932565671966, "trading_costs_quote_units": 17.395742370496095, "borrowing_costs_quote_units": 91.57327210560102, "price_pnl_quote_units": 2865.6879203450353, "turnover_quote_units": 28992.90395082683, "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, "trace": "binance-recent_June_September-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12756.71890586894, "return_pct": 27.5671890586894, "cagr_pct": 172.11960186962548, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.15539111463124, "realized_annual_volatility_pct": 43.17932565671966, "trading_costs_quote_units": 17.395742370496095, "borrowing_costs_quote_units": 91.57327210560102, "price_pnl_quote_units": 2865.6879203450353, "turnover_quote_units": 28992.90395082683, "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, "trace": "binance-recent_June_September-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13335.78623546955, "return_pct": 33.35786235469549, "cagr_pct": 226.61085502311326, "max_drawdown_pct": 19.68329830144, "mean_exposure_while_solvent": 1.2906482326068027, "realized_annual_volatility_pct": 50.23680293190254, "trading_costs_quote_units": 20.614463959840744, "borrowing_costs_quote_units": 145.3063309006585, "price_pnl_quote_units": 3501.7070303300416, "turnover_quote_units": 34357.43993306792, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12334.249422471501, "return_pct": 23.342494224715015, "cagr_pct": 136.93107577062045, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1555227258541412, "realized_annual_volatility_pct": 41.81883044876275, "trading_costs_quote_units": 17.493490387024067, "borrowing_costs_quote_units": 85.65195231340682, "price_pnl_quote_units": 2437.394865171924, "turnover_quote_units": 29155.81731170678, "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, "trace": "binance-recent_June_September-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13155.052066734068, "return_pct": 31.550520667340678, "cagr_pct": 208.7911603265344, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183123504753419, "realized_annual_volatility_pct": 44.07912450562789, "trading_costs_quote_units": 89.8701818716388, "borrowing_costs_quote_units": 26.47688474507936, "price_pnl_quote_units": 3271.399133350788, "turnover_quote_units": 29956.72729054627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13071.062709878566, "return_pct": 30.71062709878567, "cagr_pct": 200.76523997614322, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872917, "realized_annual_volatility_pct": 44.57893003795629, "trading_costs_quote_units": 90.413398114817, "borrowing_costs_quote_units": 28.44387005489587, "price_pnl_quote_units": 3189.919978048283, "turnover_quote_units": 30137.79937160566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13071.062709878566, "return_pct": 30.71062709878567, "cagr_pct": 200.76523997614322, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872917, "realized_annual_volatility_pct": 44.57893003795629, "trading_costs_quote_units": 90.413398114817, "borrowing_costs_quote_units": 28.44387005489587, "price_pnl_quote_units": 3189.919978048283, "turnover_quote_units": 30137.79937160566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13155.052066734068, "return_pct": 31.550520667340678, "cagr_pct": 208.7911603265344, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183123504753419, "realized_annual_volatility_pct": 44.07912450562789, "trading_costs_quote_units": 89.8701818716388, "borrowing_costs_quote_units": 26.47688474507936, "price_pnl_quote_units": 3271.399133350788, "turnover_quote_units": 29956.72729054627, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13071.062709878566, "return_pct": 30.71062709878567, "cagr_pct": 200.76523997614322, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872917, "realized_annual_volatility_pct": 44.57893003795629, "trading_costs_quote_units": 90.413398114817, "borrowing_costs_quote_units": 28.44387005489587, "price_pnl_quote_units": 3189.919978048283, "turnover_quote_units": 30137.79937160566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13071.062709878566, "return_pct": 30.71062709878567, "cagr_pct": 200.76523997614322, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000134024872917, "realized_annual_volatility_pct": 44.57893003795629, "trading_costs_quote_units": 90.413398114817, "borrowing_costs_quote_units": 28.44387005489587, "price_pnl_quote_units": 3189.919978048283, "turnover_quote_units": 30137.79937160566, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13024.564787854879, "return_pct": 30.245647878548798, "cagr_pct": 196.3904187743199, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1438913459010882, "realized_annual_volatility_pct": 43.27982700269503, "trading_costs_quote_units": 88.41296195374112, "borrowing_costs_quote_units": 21.359715106087744, "price_pnl_quote_units": 3134.3374649147177, "turnover_quote_units": 29470.98731791371, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12941.408536225823, "return_pct": 29.414085362258223, "cagr_pct": 188.6868112902643, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607812436349607, "realized_annual_volatility_pct": 43.78864398541007, "trading_costs_quote_units": 88.95078993930873, "borrowing_costs_quote_units": 23.307189542106773, "price_pnl_quote_units": 3053.6665157072475, "turnover_quote_units": 29650.2633131029, "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, "trace": "binance-recent_June_September-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12941.408536225823, "return_pct": 29.414085362258223, "cagr_pct": 188.6868112902643, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607812436349607, "realized_annual_volatility_pct": 43.78864398541007, "trading_costs_quote_units": 88.95078993930873, "borrowing_costs_quote_units": 23.307189542106773, "price_pnl_quote_units": 3053.6665157072475, "turnover_quote_units": 29650.2633131029, "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, "trace": "binance-recent_June_September-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 13183.673860203842, "return_pct": 31.836738602038416, "cagr_pct": 211.56290524592882, "max_drawdown_pct": 19.403395645000664, "mean_exposure_while_solvent": 1.294669803476483, "realized_annual_volatility_pct": 49.910310002251144, "trading_costs_quote_units": 101.42265108574338, "borrowing_costs_quote_units": 36.40152821006399, "price_pnl_quote_units": 3321.498039499654, "turnover_quote_units": 33807.55036191447, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 12368.484174454272, "return_pct": 23.68484174454273, "cagr_pct": 139.64667563665344, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.16103039836314, "realized_annual_volatility_pct": 41.91397711781684, "trading_costs_quote_units": 87.03148919311573, "borrowing_costs_quote_units": 21.66527944203839, "price_pnl_quote_units": 2477.1809430894236, "turnover_quote_units": 29010.49639770524, "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, "trace": "binance-recent_June_September-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13125.64775889929, "return_pct": 31.256477588992905, "cagr_pct": 205.96311104360385, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1831392951467186, "realized_annual_volatility_pct": 44.079366464462616, "trading_costs_quote_units": 89.82722418092428, "borrowing_costs_quote_units": 52.895818456387744, "price_pnl_quote_units": 3268.3708015366133, "turnover_quote_units": 29942.408060308095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13039.162807972083, "return_pct": 30.391628079720824, "cagr_pct": 197.75867177791494, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.579479700866834, "trading_costs_quote_units": 90.35231681778836, "borrowing_costs_quote_units": 56.819295716181344, "price_pnl_quote_units": 3186.334420506055, "turnover_quote_units": 30117.438939262775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13039.162807972083, "return_pct": 30.391628079720824, "cagr_pct": 197.75867177791494, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.579479700866834, "trading_costs_quote_units": 90.35231681778836, "borrowing_costs_quote_units": 56.819295716181344, "price_pnl_quote_units": 3186.334420506055, "turnover_quote_units": 30117.438939262775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13125.64775889929, "return_pct": 31.256477588992905, "cagr_pct": 205.96311104360385, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1831392951467186, "realized_annual_volatility_pct": 44.079366464462616, "trading_costs_quote_units": 89.82722418092428, "borrowing_costs_quote_units": 52.895818456387744, "price_pnl_quote_units": 3268.3708015366133, "turnover_quote_units": 29942.408060308095, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13039.162807972083, "return_pct": 30.391628079720824, "cagr_pct": 197.75867177791494, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.579479700866834, "trading_costs_quote_units": 90.35231681778836, "borrowing_costs_quote_units": 56.819295716181344, "price_pnl_quote_units": 3186.334420506055, "turnover_quote_units": 30117.438939262775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13039.162807972083, "return_pct": 30.391628079720824, "cagr_pct": 197.75867177791494, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000306437461679, "realized_annual_volatility_pct": 44.579479700866834, "trading_costs_quote_units": 90.35231681778836, "borrowing_costs_quote_units": 56.819295716181344, "price_pnl_quote_units": 3186.334420506055, "turnover_quote_units": 30117.438939262775, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13001.642325961555, "return_pct": 30.016423259615554, "cagr_pct": 194.2515351774488, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1439037919957498, "realized_annual_volatility_pct": 43.28006006370021, "trading_costs_quote_units": 88.40030533240373, "borrowing_costs_quote_units": 42.68382858385384, "price_pnl_quote_units": 3132.726459877815, "turnover_quote_units": 29466.768444134563, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12915.974447378456, "return_pct": 29.159744473784556, "cagr_pct": 186.3611432901238, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607951405951993, "realized_annual_volatility_pct": 43.78919229353585, "trading_costs_quote_units": 88.92043712154698, "borrowing_costs_quote_units": 46.57023853046345, "price_pnl_quote_units": 3051.465123030464, "turnover_quote_units": 29640.145707182328, "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, "trace": "binance-recent_June_September-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12915.974447378456, "return_pct": 29.159744473784556, "cagr_pct": 186.3611432901238, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1607951405951993, "realized_annual_volatility_pct": 43.78919229353585, "trading_costs_quote_units": 88.92043712154698, "borrowing_costs_quote_units": 46.57023853046345, "price_pnl_quote_units": 3051.465123030464, "turnover_quote_units": 29640.145707182328, "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, "trace": "binance-recent_June_September-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 13136.210798510896, "return_pct": 31.362107985108967, "cagr_pct": 206.97677785910855, "max_drawdown_pct": 19.487287832428724, "mean_exposure_while_solvent": 1.2946950724025212, "realized_annual_volatility_pct": 49.91167277115089, "trading_costs_quote_units": 101.28563367712123, "borrowing_costs_quote_units": 72.67768311259722, "price_pnl_quote_units": 3310.1741153006105, "turnover_quote_units": 33761.877892373755, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 12344.072118672442, "return_pct": 23.440721186724424, "cagr_pct": 137.70784559035522, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1610443354513758, "realized_annual_volatility_pct": 41.91570123789194, "trading_costs_quote_units": 86.97930573277068, "borrowing_costs_quote_units": 43.28955907410748, "price_pnl_quote_units": 2474.3409834793197, "turnover_quote_units": 28993.101910923553, "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, "trace": "binance-recent_June_September-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13067.020252525806, "return_pct": 30.670202525258073, "cagr_pct": 200.38297237989616, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183170882762222, "realized_annual_volatility_pct": 44.07989574595367, "trading_costs_quote_units": 89.74140262238173, "borrowing_costs_quote_units": 105.56027638161007, "price_pnl_quote_units": 3262.3219315297965, "turnover_quote_units": 29913.800874127253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12975.579098521466, "return_pct": 29.75579098521466, "cagr_pct": 191.83380237753448, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.58062556627666, "trading_costs_quote_units": 90.23034695019156, "borrowing_costs_quote_units": 113.36539768963672, "price_pnl_quote_units": 3179.1748431613023, "turnover_quote_units": 30076.782316730525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12975.579098521466, "return_pct": 29.75579098521466, "cagr_pct": 191.83380237753448, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.58062556627666, "trading_costs_quote_units": 90.23034695019156, "borrowing_costs_quote_units": 113.36539768963672, "price_pnl_quote_units": 3179.1748431613023, "turnover_quote_units": 30076.782316730525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13067.020252525806, "return_pct": 30.670202525258073, "cagr_pct": 200.38297237989616, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.183170882762222, "realized_annual_volatility_pct": 44.07989574595367, "trading_costs_quote_units": 89.74140262238173, "borrowing_costs_quote_units": 105.56027638161007, "price_pnl_quote_units": 3262.3219315297965, "turnover_quote_units": 29913.800874127253, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12975.579098521466, "return_pct": 29.75579098521466, "cagr_pct": 191.83380237753448, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.58062556627666, "trading_costs_quote_units": 90.23034695019156, "borrowing_costs_quote_units": 113.36539768963672, "price_pnl_quote_units": 3179.1748431613023, "turnover_quote_units": 30076.782316730525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12975.579098521466, "return_pct": 29.75579098521466, "cagr_pct": 191.83380237753448, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.2000651337251451, "realized_annual_volatility_pct": 44.58062556627666, "trading_costs_quote_units": 90.23034695019156, "borrowing_costs_quote_units": 113.36539768963672, "price_pnl_quote_units": 3179.1748431613023, "turnover_quote_units": 30076.782316730525, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12955.905946572273, "return_pct": 29.559059465722726, "cagr_pct": 190.018819659583, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1439286895699898, "realized_annual_volatility_pct": 43.28056709978362, "trading_costs_quote_units": 88.37500957967947, "borrowing_costs_quote_units": 85.22545073365097, "price_pnl_quote_units": 3129.5064068856004, "turnover_quote_units": 29458.33652655982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12865.242354718026, "return_pct": 28.65242354718025, "cagr_pct": 181.7646227804799, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1608229405329127, "realized_annual_volatility_pct": 43.790332102305115, "trading_costs_quote_units": 88.85979621058627, "borrowing_costs_quote_units": 92.96420185013704, "price_pnl_quote_units": 3047.0663527787506, "turnover_quote_units": 29619.93207019542, "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, "trace": "binance-recent_June_September-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12865.242354718026, "return_pct": 28.65242354718025, "cagr_pct": 181.7646227804799, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.1608229405329127, "realized_annual_volatility_pct": 43.790332102305115, "trading_costs_quote_units": 88.85979621058627, "borrowing_costs_quote_units": 92.96420185013704, "price_pnl_quote_units": 3047.0663527787506, "turnover_quote_units": 29619.93207019542, "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, "trace": "binance-recent_June_September-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 13041.771013154641, "return_pct": 30.417710131546414, "cagr_pct": 198.00363781911977, "max_drawdown_pct": 19.654856340445225, "mean_exposure_while_solvent": 1.2947456211704786, "realized_annual_volatility_pct": 49.91444008841457, "trading_costs_quote_units": 101.01266412346996, "borrowing_costs_quote_units": 144.85550786824936, "price_pnl_quote_units": 3287.6391851463536, "turnover_quote_units": 33670.88804115666, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 12295.379221003277, "return_pct": 22.953792210032773, "cagr_pct": 133.8760806943469, "max_drawdown_pct": 13.240996645373448, "mean_exposure_while_solvent": 1.161072215671504, "realized_annual_volatility_pct": 41.919195485627654, "trading_costs_quote_units": 86.8751219104651, "borrowing_costs_quote_units": 86.41539027221202, "price_pnl_quote_units": 2468.6697331859546, "turnover_quote_units": 28958.373970155026, "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, "trace": "binance-recent_June_September-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13010.38638366011, "return_pct": 30.103863836601107, "cagr_pct": 195.06605601810674, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1774803903401394, "realized_annual_volatility_pct": 43.53571204488171, "trading_costs_quote_units": 87.84184239906065, "borrowing_costs_quote_units": 26.03686580020361, "price_pnl_quote_units": 3124.265091859376, "turnover_quote_units": 29280.614133020223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12858.820299768031, "return_pct": 28.588202997680302, "cagr_pct": 181.18676698055393, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.959530644984355, "trading_costs_quote_units": 88.49748301593121, "borrowing_costs_quote_units": 27.934256972454495, "price_pnl_quote_units": 2975.2520397564153, "turnover_quote_units": 29499.1610053104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12858.820299768031, "return_pct": 28.588202997680302, "cagr_pct": 181.18676698055393, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.959530644984355, "trading_costs_quote_units": 88.49748301593121, "borrowing_costs_quote_units": 27.934256972454495, "price_pnl_quote_units": 2975.2520397564153, "turnover_quote_units": 29499.1610053104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13010.38638366011, "return_pct": 30.103863836601107, "cagr_pct": 195.06605601810674, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1774803903401394, "realized_annual_volatility_pct": 43.53571204488171, "trading_costs_quote_units": 87.84184239906065, "borrowing_costs_quote_units": 26.03686580020361, "price_pnl_quote_units": 3124.265091859376, "turnover_quote_units": 29280.614133020223, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12858.820299768031, "return_pct": 28.588202997680302, "cagr_pct": 181.18676698055393, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.959530644984355, "trading_costs_quote_units": 88.49748301593121, "borrowing_costs_quote_units": 27.934256972454495, "price_pnl_quote_units": 2975.2520397564153, "turnover_quote_units": 29499.1610053104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12858.820299768031, "return_pct": 28.588202997680302, "cagr_pct": 181.18676698055393, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.194525613521213, "realized_annual_volatility_pct": 43.959530644984355, "trading_costs_quote_units": 88.49748301593121, "borrowing_costs_quote_units": 27.934256972454495, "price_pnl_quote_units": 2975.2520397564153, "turnover_quote_units": 29499.1610053104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12896.509687278394, "return_pct": 28.965096872783946, "cagr_pct": 184.59090453227898, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1383049695248129, "realized_annual_volatility_pct": 42.71629761786253, "trading_costs_quote_units": 86.07827857960919, "borrowing_costs_quote_units": 20.94840025429953, "price_pnl_quote_units": 3003.536366112301, "turnover_quote_units": 28692.75952653641, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12746.270223857693, "return_pct": 27.46270223857694, "cagr_pct": 171.20434467254464, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1553501927058865, "realized_annual_volatility_pct": 43.14798106448417, "trading_costs_quote_units": 86.72818053620787, "borrowing_costs_quote_units": 22.829184030577046, "price_pnl_quote_units": 2855.827588424477, "turnover_quote_units": 28909.39351206929, "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, "trace": "binance-recent_June_September-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12746.270223857693, "return_pct": 27.46270223857694, "cagr_pct": 171.20434467254464, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1553501927058865, "realized_annual_volatility_pct": 43.14798106448417, "trading_costs_quote_units": 86.72818053620787, "borrowing_costs_quote_units": 22.829184030577046, "price_pnl_quote_units": 2855.827588424477, "turnover_quote_units": 28909.39351206929, "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, "trace": "binance-recent_June_September-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 13373.560367009459, "return_pct": 33.735603670094584, "cagr_pct": 230.4314784752125, "max_drawdown_pct": 19.466181702031825, "mean_exposure_while_solvent": 1.2905725384199884, "realized_annual_volatility_pct": 50.20859609321791, "trading_costs_quote_units": 103.03092314241907, "borrowing_costs_quote_units": 36.33048715952716, "price_pnl_quote_units": 3512.9217773114024, "turnover_quote_units": 34343.64104747304, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 12325.810653683153, "return_pct": 23.258106536831534, "cagr_pct": 136.26528105130143, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1554817212138624, "realized_annual_volatility_pct": 41.81446832818656, "trading_costs_quote_units": 87.22133417428672, "borrowing_costs_quote_units": 21.367068412888255, "price_pnl_quote_units": 2434.399056270328, "turnover_quote_units": 29073.778058095566, "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, "trace": "binance-recent_June_September-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12981.592733429086, "return_pct": 29.81592733429086, "cagr_pct": 192.39031280729972, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1774959100993543, "realized_annual_volatility_pct": 43.53611034439203, "trading_costs_quote_units": 87.78359610648538, "borrowing_costs_quote_units": 52.0174672239265, "price_pnl_quote_units": 3121.3937967594948, "turnover_quote_units": 29261.198702161797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12827.700375252542, "return_pct": 28.27700375252542, "cagr_pct": 178.3992916940044, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.960385050871395, "trading_costs_quote_units": 88.4278956386146, "borrowing_costs_quote_units": 55.80213226914412, "price_pnl_quote_units": 2971.9304031603037, "turnover_quote_units": 29475.965212871535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12827.700375252542, "return_pct": 28.27700375252542, "cagr_pct": 178.3992916940044, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.960385050871395, "trading_costs_quote_units": 88.4278956386146, "borrowing_costs_quote_units": 55.80213226914412, "price_pnl_quote_units": 2971.9304031603037, "turnover_quote_units": 29475.965212871535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12981.592733429086, "return_pct": 29.81592733429086, "cagr_pct": 192.39031280729972, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1774959100993543, "realized_annual_volatility_pct": 43.53611034439203, "trading_costs_quote_units": 87.78359610648538, "borrowing_costs_quote_units": 52.0174672239265, "price_pnl_quote_units": 3121.3937967594948, "turnover_quote_units": 29261.198702161797, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12827.700375252542, "return_pct": 28.27700375252542, "cagr_pct": 178.3992916940044, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.960385050871395, "trading_costs_quote_units": 88.4278956386146, "borrowing_costs_quote_units": 55.80213226914412, "price_pnl_quote_units": 2971.9304031603037, "turnover_quote_units": 29475.965212871535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12827.700375252542, "return_pct": 28.27700375252542, "cagr_pct": 178.3992916940044, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1945426022479024, "realized_annual_volatility_pct": 43.960385050871395, "trading_costs_quote_units": 88.4278956386146, "borrowing_costs_quote_units": 55.80213226914412, "price_pnl_quote_units": 2971.9304031603037, "turnover_quote_units": 29475.965212871535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12874.108690780644, "return_pct": 28.741086907806434, "cagr_pct": 182.5638910693326, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1383171392401255, "realized_annual_volatility_pct": 42.71664816715063, "trading_costs_quote_units": 86.04299488501395, "borrowing_costs_quote_units": 41.86245707614553, "price_pnl_quote_units": 3002.0141427418043, "turnover_quote_units": 28680.998295004647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12721.490519302864, "return_pct": 27.21490519302865, "cagr_pct": 169.04306909733043, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1553638313886736, "realized_annual_volatility_pct": 43.14880362809332, "trading_costs_quote_units": 86.68195979297091, "borrowing_costs_quote_units": 45.615786128355005, "price_pnl_quote_units": 2853.788265224182, "turnover_quote_units": 28893.986597656967, "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, "trace": "binance-recent_June_September-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12721.490519302864, "return_pct": 27.21490519302865, "cagr_pct": 169.04306909733043, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1553638313886736, "realized_annual_volatility_pct": 43.14880362809332, "trading_costs_quote_units": 86.68195979297091, "borrowing_costs_quote_units": 45.615786128355005, "price_pnl_quote_units": 2853.788265224182, "turnover_quote_units": 28893.986597656967, "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, "trace": "binance-recent_June_September-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 13325.450621620741, "return_pct": 33.2545062162074, "cagr_pct": 225.57132071462482, "max_drawdown_pct": 19.54994459911307, "mean_exposure_while_solvent": 1.2905977661847805, "realized_annual_volatility_pct": 50.20930591127847, "trading_costs_quote_units": 102.89258207109333, "borrowing_costs_quote_units": 72.53583842690641, "price_pnl_quote_units": 3500.8790421187327, "turnover_quote_units": 34297.527357031104, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 12301.749714557693, "return_pct": 23.017497145576925, "cagr_pct": 134.37471401637322, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.155495387461364, "realized_annual_volatility_pct": 41.81606451143393, "trading_costs_quote_units": 87.17450614589862, "borrowing_costs_quote_units": 42.69421837994614, "price_pnl_quote_units": 2431.6184390835397, "turnover_quote_units": 29058.16871529954, "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, "trace": "binance-recent_June_September-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12924.18093780646, "return_pct": 29.2418093780646, "cagr_pct": 187.10998139478323, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1775269563050421, "realized_annual_volatility_pct": 43.5369529540364, "trading_costs_quote_units": 87.6673398673751, "borrowing_costs_quote_units": 103.8103022810406, "price_pnl_quote_units": 3115.6585799548757, "turnover_quote_units": 29222.446622458363, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12765.669493802001, "return_pct": 27.65669493802001, "cagr_pct": 172.90549000030003, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.962141044670574, "trading_costs_quote_units": 88.28904532663812, "borrowing_costs_quote_units": 111.33929772395463, "price_pnl_quote_units": 2965.2978368525955, "turnover_quote_units": 29429.68177554603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12765.669493802001, "return_pct": 27.65669493802001, "cagr_pct": 172.90549000030003, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.962141044670574, "trading_costs_quote_units": 88.28904532663812, "borrowing_costs_quote_units": 111.33929772395463, "price_pnl_quote_units": 2965.2978368525955, "turnover_quote_units": 29429.68177554603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12924.18093780646, "return_pct": 29.2418093780646, "cagr_pct": 187.10998139478323, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1775269563050421, "realized_annual_volatility_pct": 43.5369529540364, "trading_costs_quote_units": 87.6673398673751, "borrowing_costs_quote_units": 103.8103022810406, "price_pnl_quote_units": 3115.6585799548757, "turnover_quote_units": 29222.446622458363, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 35, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12765.669493802001, "return_pct": 27.65669493802001, "cagr_pct": 172.90549000030003, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.962141044670574, "trading_costs_quote_units": 88.28904532663812, "borrowing_costs_quote_units": 111.33929772395463, "price_pnl_quote_units": 2965.2978368525955, "turnover_quote_units": 29429.68177554603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12765.669493802001, "return_pct": 27.65669493802001, "cagr_pct": 172.90549000030003, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.19457658703114, "realized_annual_volatility_pct": 43.962141044670574, "trading_costs_quote_units": 88.28904532663812, "borrowing_costs_quote_units": 111.33929772395463, "price_pnl_quote_units": 2965.2978368525955, "turnover_quote_units": 29429.68177554603, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 38, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12829.411295529317, "return_pct": 28.29411295529316, "cagr_pct": 178.55199677145657, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1383414839051418, "realized_annual_volatility_pct": 42.71739045578766, "trading_costs_quote_units": 85.97253615503365, "borrowing_costs_quote_units": 83.58773026368353, "price_pnl_quote_units": 2998.971561948028, "turnover_quote_units": 28657.512051677884, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 28, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12672.062174531427, "return_pct": 26.720621745314265, "cagr_pct": 164.7709034711304, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.15539111463124, "realized_annual_volatility_pct": 43.150492247980864, "trading_costs_quote_units": 86.58968281058914, "borrowing_costs_quote_units": 91.06151755002162, "price_pnl_quote_units": 2849.713374892035, "turnover_quote_units": 28863.227603529704, "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, "trace": "binance-recent_June_September-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12672.062174531427, "return_pct": 26.720621745314265, "cagr_pct": 164.7709034711304, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.15539111463124, "realized_annual_volatility_pct": 43.150492247980864, "trading_costs_quote_units": 86.58968281058914, "borrowing_costs_quote_units": 91.06151755002162, "price_pnl_quote_units": 2849.713374892035, "turnover_quote_units": 28863.227603529704, "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, "trace": "binance-recent_June_September-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 13229.723701207353, "return_pct": 32.29723701207352, "cagr_pct": 216.06185562408137, "max_drawdown_pct": 19.717255093996634, "mean_exposure_while_solvent": 1.2906482326068027, "realized_annual_volatility_pct": 50.21076738668956, "trading_costs_quote_units": 102.61682752294993, "borrowing_costs_quote_units": 144.5727658300083, "price_pnl_quote_units": 3476.9132945603133, "turnover_quote_units": 34205.60917431664, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 55, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 0, "trace": "binance-recent_June_September-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "recent_June_September", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 12253.75565688755, "return_pct": 22.537556568875505, "cagr_pct": 130.63783757850075, "max_drawdown_pct": 13.240996645373437, "mean_exposure_while_solvent": 1.1555227258541412, "realized_annual_volatility_pct": 41.81930258096926, "trading_costs_quote_units": 87.08102768499609, "borrowing_costs_quote_units": 85.22902375890236, "price_pnl_quote_units": 2426.0657083314504, "turnover_quote_units": 29027.009228332023, "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, "trace": "binance-recent_June_September-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-recent_June_September-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 418299.15705103707, "return_pct": 4082.991570510371, "cagr_pct": 66.53202798801902, "max_drawdown_pct": 83.60399757341588, "mean_exposure_while_solvent": 1.2183989137707014, "realized_annual_volatility_pct": 76.04924944248603, "trading_costs_quote_units": 9795.125379337562, "borrowing_costs_quote_units": 17558.84617060538, "price_pnl_quote_units": 435653.1286009811, "turnover_quote_units": 16325208.965562614, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 435760.16099171084, "return_pct": 4257.601609917108, "cagr_pct": 67.46493633180768, "max_drawdown_pct": 84.83301932356547, "mean_exposure_while_solvent": 1.248836619231809, "realized_annual_volatility_pct": 78.10592018627406, "trading_costs_quote_units": 10286.89871578149, "borrowing_costs_quote_units": 20267.85164170147, "price_pnl_quote_units": 456314.91134919616, "turnover_quote_units": 17144831.192969143, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 388849.108791097, "return_pct": 3788.4910879109702, "cagr_pct": 64.87951285656521, "max_drawdown_pct": 85.3163371122774, "mean_exposure_while_solvent": 1.27486107025895, "realized_annual_volatility_pct": 79.52953928537386, "trading_costs_quote_units": 9746.062298978915, "borrowing_costs_quote_units": 21490.572429284482, "price_pnl_quote_units": 410085.74351936154, "turnover_quote_units": 16243437.164964851, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 507903.8146342815, "return_pct": 4979.038146342815, "cagr_pct": 71.00646724597142, "max_drawdown_pct": 82.71098781459652, "mean_exposure_while_solvent": 1.1977840125553725, "realized_annual_volatility_pct": 75.02222895029887, "trading_costs_quote_units": 9726.84571138733, "borrowing_costs_quote_units": 18795.750398607208, "price_pnl_quote_units": 526426.4107442752, "turnover_quote_units": 16211409.518978903, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 532270.9533556923, "return_pct": 5222.709533556923, "cagr_pct": 72.10463037300003, "max_drawdown_pct": 83.18074175375544, "mean_exposure_while_solvent": 1.2222583007712062, "realized_annual_volatility_pct": 76.85587261609739, "trading_costs_quote_units": 10385.647424751876, "borrowing_costs_quote_units": 21849.030205459174, "price_pnl_quote_units": 554505.6309859024, "turnover_quote_units": 17309412.37458647, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 551855.3463130334, "return_pct": 5418.5534631303335, "cagr_pct": 72.95621571081774, "max_drawdown_pct": 82.45968009878678, "mean_exposure_while_solvent": 1.2456375531947208, "realized_annual_volatility_pct": 78.12102315593945, "trading_costs_quote_units": 10877.393421230094, "borrowing_costs_quote_units": 25410.442617936562, "price_pnl_quote_units": 578143.1823522013, "turnover_quote_units": 18128989.03538348, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 500648.97421129956, "return_pct": 4906.489742112995, "cagr_pct": 70.67072309211106, "max_drawdown_pct": 83.32396435762293, "mean_exposure_while_solvent": 1.1863880209360158, "realized_annual_volatility_pct": 74.48316972551422, "trading_costs_quote_units": 9166.824743827858, "borrowing_costs_quote_units": 17188.608729180687, "price_pnl_quote_units": 517004.40768430737, "turnover_quote_units": 15278041.239713103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 524668.0554897559, "return_pct": 5146.680554897559, "cagr_pct": 71.76673014951365, "max_drawdown_pct": 83.777063317156, "mean_exposure_while_solvent": 1.2108623091518493, "realized_annual_volatility_pct": 76.32976487658632, "trading_costs_quote_units": 9789.93504547006, "borrowing_costs_quote_units": 20148.948759317303, "price_pnl_quote_units": 544606.9392945428, "turnover_quote_units": 16316558.409116765, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 551237.6590710601, "return_pct": 5412.376590710601, "cagr_pct": 72.9297584189682, "max_drawdown_pct": 83.08156667861691, "mean_exposure_while_solvent": 1.233487122719316, "realized_annual_volatility_pct": 77.54437828077295, "trading_costs_quote_units": 10286.013873550359, "borrowing_costs_quote_units": 23606.04068227173, "price_pnl_quote_units": 575129.7136268858, "turnover_quote_units": 17143356.4559173, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 96566.19480640891, "return_pct": 865.6619480640892, "cagr_pct": 36.31031439895676, "max_drawdown_pct": 89.44870356623642, "mean_exposure_while_solvent": 1.2776002119580796, "realized_annual_volatility_pct": 81.55336220304457, "trading_costs_quote_units": 2854.374222929885, "borrowing_costs_quote_units": 7249.925891241885, "price_pnl_quote_units": 96670.49492058094, "turnover_quote_units": 4757290.37154982, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 515987.3800028555, "return_pct": 5059.873800028555, "cagr_pct": 71.37572111668256, "max_drawdown_pct": 83.25894182622021, "mean_exposure_while_solvent": 1.2208915068339907, "realized_annual_volatility_pct": 77.23720306541429, "trading_costs_quote_units": 11305.991132127001, "borrowing_costs_quote_units": 23988.391973571608, "price_pnl_quote_units": 541281.7631085531, "turnover_quote_units": 18843318.553544994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 386183.00437832106, "return_pct": 3761.8300437832104, "cagr_pct": 64.724628452764, "max_drawdown_pct": 83.70756629556624, "mean_exposure_while_solvent": 1.2184175997808115, "realized_annual_volatility_pct": 76.0508823542971, "trading_costs_quote_units": 9262.96424813654, "borrowing_costs_quote_units": 33204.27839153015, "price_pnl_quote_units": 418650.2470179882, "turnover_quote_units": 15438273.746894246, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 397845.4734091051, "return_pct": 3878.454734091051, "cagr_pct": 65.39546691743791, "max_drawdown_pct": 85.09463016121063, "mean_exposure_while_solvent": 1.248857906337154, "realized_annual_volatility_pct": 78.1077904843554, "trading_costs_quote_units": 9635.855168242559, "borrowing_costs_quote_units": 38026.21079370047, "price_pnl_quote_units": 435507.5393710455, "turnover_quote_units": 16059758.613737617, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 351644.28987137333, "return_pct": 3416.4428987137335, "cagr_pct": 62.62985416756579, "max_drawdown_pct": 85.58847267840014, "mean_exposure_while_solvent": 1.274884588151252, "realized_annual_volatility_pct": 79.53167344176447, "trading_costs_quote_units": 9062.696949943806, "borrowing_costs_quote_units": 40051.399065505175, "price_pnl_quote_units": 390758.38588682003, "turnover_quote_units": 15104494.916573023, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 472471.70553288667, "return_pct": 4624.717055328867, "cagr_pct": 69.32554006453189, "max_drawdown_pct": 82.79882356340525, "mean_exposure_while_solvent": 1.1978009300741095, "realized_annual_volatility_pct": 75.02360189261486, "trading_costs_quote_units": 9230.77844634865, "borrowing_costs_quote_units": 35689.12775667697, "price_pnl_quote_units": 507391.61173591233, "turnover_quote_units": 15384630.743914409, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 490721.6838275734, "return_pct": 4807.216838275734, "cagr_pct": 70.2044287491497, "max_drawdown_pct": 83.2914857924872, "mean_exposure_while_solvent": 1.2222773112436625, "realized_annual_volatility_pct": 76.85745416476045, "trading_costs_quote_units": 9781.068533834392, "borrowing_costs_quote_units": 41230.126785478664, "price_pnl_quote_units": 531732.8791468842, "turnover_quote_units": 16301780.889723968, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 504444.3627902289, "return_pct": 4944.443627902289, "cagr_pct": 70.84688859760942, "max_drawdown_pct": 82.56602561679713, "mean_exposure_while_solvent": 1.2456585655565497, "realized_annual_volatility_pct": 78.1227759621879, "trading_costs_quote_units": 10163.339473335162, "borrowing_costs_quote_units": 47608.54067149127, "price_pnl_quote_units": 552216.2429350575, "turnover_quote_units": 16938899.12222529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 467670.5678736329, "return_pct": 4576.705678736329, "cagr_pct": 69.08945974840768, "max_drawdown_pct": 83.3940375643151, "mean_exposure_while_solvent": 1.1864039636046868, "realized_annual_volatility_pct": 74.48447103785622, "trading_costs_quote_units": 8719.5928677592, "borrowing_costs_quote_units": 32726.5877935141, "price_pnl_quote_units": 499116.74853490497, "turnover_quote_units": 14532654.779598668, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 485735.09451683087, "return_pct": 4757.3509451683085, "cagr_pct": 69.96712305191373, "max_drawdown_pct": 83.86965215380394, "mean_exposure_while_solvent": 1.21088034477424, "realized_annual_volatility_pct": 76.33127741284184, "trading_costs_quote_units": 9241.730313724793, "borrowing_costs_quote_units": 38125.73450206423, "price_pnl_quote_units": 523102.5593326192, "turnover_quote_units": 15402883.856207984, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 506126.88469587255, "return_pct": 4961.268846958726, "cagr_pct": 70.92461810724001, "max_drawdown_pct": 83.16929514796186, "mean_exposure_while_solvent": 1.2335070949049245, "realized_annual_volatility_pct": 77.54605018517613, "trading_costs_quote_units": 9634.459378509599, "borrowing_costs_quote_units": 44351.2374277175, "price_pnl_quote_units": 550112.5815020994, "turnover_quote_units": 16057432.297516003, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 87222.10084866332, "return_pct": 772.2210084866331, "cagr_pct": 34.428428580201, "max_drawdown_pct": 89.73185767687417, "mean_exposure_while_solvent": 1.2776239962653857, "realized_annual_volatility_pct": 81.5565472556899, "trading_costs_quote_units": 2682.394853661262, "borrowing_costs_quote_units": 13607.341542989756, "price_pnl_quote_units": 93511.83724531437, "turnover_quote_units": 4470658.089435436, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 475932.9218368255, "return_pct": 4659.329218368255, "cagr_pct": 69.49445260306837, "max_drawdown_pct": 83.37014587441726, "mean_exposure_while_solvent": 1.2209103987859056, "realized_annual_volatility_pct": 77.23884148766315, "trading_costs_quote_units": 10662.633470121224, "borrowing_costs_quote_units": 45331.0468445948, "price_pnl_quote_units": 521926.60215154086, "turnover_quote_units": 17771055.78353536, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 329143.80745430966, "return_pct": 3191.4380745430967, "cagr_pct": 61.167460610512705, "max_drawdown_pct": 83.91280457045112, "mean_exposure_while_solvent": 1.2184549799048892, "realized_annual_volatility_pct": 76.05417696334926, "trading_costs_quote_units": 8293.47678663069, "borrowing_costs_quote_units": 59432.77181223964, "price_pnl_quote_units": 386870.0560531797, "turnover_quote_units": 13822461.31105116, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 331608.52136939974, "return_pct": 3216.085213693997, "cagr_pct": 61.33178967849198, "max_drawdown_pct": 85.60453337867817, "mean_exposure_while_solvent": 1.2489004897791307, "realized_annual_volatility_pct": 78.11155970812852, "trading_costs_quote_units": 8466.70956221611, "borrowing_costs_quote_units": 67020.19970785663, "price_pnl_quote_units": 397095.4306394727, "turnover_quote_units": 14111182.603693508, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 287556.80394685396, "return_pct": 2775.5680394685396, "cagr_pct": 58.22096631092315, "max_drawdown_pct": 86.11785267756305, "mean_exposure_while_solvent": 1.274931634137413, "realized_annual_volatility_pct": 79.53596979038728, "trading_costs_quote_units": 7849.2445975006585, "borrowing_costs_quote_units": 69670.0396190915, "price_pnl_quote_units": 355076.08816344704, "turnover_quote_units": 13082074.329167746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 408833.52034427645, "return_pct": 3988.3352034427644, "cagr_pct": 66.01215350152118, "max_drawdown_pct": 82.97320975539503, "mean_exposure_while_solvent": 1.1978347724455087, "realized_annual_volatility_pct": 75.02637598423692, "trading_costs_quote_units": 8320.502045877165, "borrowing_costs_quote_units": 64387.39011793905, "price_pnl_quote_units": 471541.4125080953, "turnover_quote_units": 13867503.40979528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 417080.63560819544, "return_pct": 4070.8063560819546, "cagr_pct": 66.46567711453014, "max_drawdown_pct": 83.51085438012669, "mean_exposure_while_solvent": 1.2223153404301537, "realized_annual_volatility_pct": 76.86064582244165, "trading_costs_quote_units": 8684.463982576308, "borrowing_costs_quote_units": 73483.99081400278, "price_pnl_quote_units": 489249.0904047764, "turnover_quote_units": 14474106.637627183, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 421470.3755746791, "return_pct": 4114.703755746791, "cagr_pct": 66.70392796884903, "max_drawdown_pct": 82.77684717121838, "mean_exposure_while_solvent": 1.2457005993911687, "realized_annual_volatility_pct": 78.1263101159303, "trading_costs_quote_units": 8882.859836974327, "borrowing_costs_quote_units": 83657.87292667404, "price_pnl_quote_units": 504011.10833833105, "turnover_quote_units": 14804766.394957224, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 408071.83906982245, "return_pct": 3980.7183906982245, "cagr_pct": 65.9698698859148, "max_drawdown_pct": 83.53334340340503, "mean_exposure_while_solvent": 1.1864358558531327, "realized_annual_volatility_pct": 74.48710139965338, "trading_costs_quote_units": 7895.590909482251, "borrowing_costs_quote_units": 59359.718316860475, "price_pnl_quote_units": 465327.1482961659, "turnover_quote_units": 13159318.182470419, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 416303.5894652755, "return_pct": 4063.035894652755, "cagr_pct": 66.42327798558505, "max_drawdown_pct": 84.05330102778854, "mean_exposure_while_solvent": 1.2109164238377776, "realized_annual_volatility_pct": 76.33433083600858, "trading_costs_quote_units": 8243.384957418048, "borrowing_costs_quote_units": 68314.82909090197, "price_pnl_quote_units": 482861.80351359374, "turnover_quote_units": 13738974.929030102, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 426657.5261314151, "return_pct": 4166.57526131415, "cagr_pct": 66.98271176452994, "max_drawdown_pct": 83.34344059755578, "mean_exposure_while_solvent": 1.2335470479355877, "realized_annual_volatility_pct": 77.54942256818886, "trading_costs_quote_units": 8461.178311558926, "borrowing_costs_quote_units": 78359.86960416143, "price_pnl_quote_units": 503478.57404713694, "turnover_quote_units": 14101963.85259821, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 71154.8153466622, "return_pct": 611.548153466622, "cagr_pct": 30.74120956670209, "max_drawdown_pct": 90.27572500419423, "mean_exposure_while_solvent": 1.2776715752190297, "realized_annual_volatility_pct": 81.56294533920133, "trading_costs_quote_units": 2374.643056752563, "borrowing_costs_quote_units": 24022.854770969636, "price_pnl_quote_units": 87552.31317438468, "turnover_quote_units": 3957738.427920937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 404891.7845614214, "return_pct": 3948.9178456142135, "cagr_pct": 65.79259436742164, "max_drawdown_pct": 83.59040623439316, "mean_exposure_while_solvent": 1.2209481908795492, "realized_annual_volatility_pct": 77.24214684701057, "trading_costs_quote_units": 9493.588199183732, "borrowing_costs_quote_units": 81019.73522806099, "price_pnl_quote_units": 485405.10798866814, "turnover_quote_units": 15822646.998639585, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 389094.0886336322, "return_pct": 3790.940886336322, "cagr_pct": 64.89369865363348, "max_drawdown_pct": 83.67386331702556, "mean_exposure_while_solvent": 1.2181331239301407, "realized_annual_volatility_pct": 76.03737535803342, "trading_costs_quote_units": 9165.713823683078, "borrowing_costs_quote_units": 16518.071043212523, "price_pnl_quote_units": 404777.8735005285, "turnover_quote_units": 15276189.706138449, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 433888.53447896696, "return_pct": 4238.885344789669, "cagr_pct": 67.36649938987046, "max_drawdown_pct": 85.6341056412852, "mean_exposure_while_solvent": 1.248580458360008, "realized_annual_volatility_pct": 78.08071951544608, "trading_costs_quote_units": 10116.093145734525, "borrowing_costs_quote_units": 19909.265446440168, "price_pnl_quote_units": 453913.8930711399, "turnover_quote_units": 16860155.24289086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 387157.227765151, "return_pct": 3771.57227765151, "cagr_pct": 64.78133162263026, "max_drawdown_pct": 86.23798266821282, "mean_exposure_while_solvent": 1.2746013820798394, "realized_annual_volatility_pct": 79.54216955784821, "trading_costs_quote_units": 9670.725428615084, "borrowing_costs_quote_units": 21315.77542629827, "price_pnl_quote_units": 408143.7286200638, "turnover_quote_units": 16117875.71435844, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 506092.9386595894, "return_pct": 4960.929386595894, "cagr_pct": 70.92305206760736, "max_drawdown_pct": 82.35550208803687, "mean_exposure_while_solvent": 1.1975136503192345, "realized_annual_volatility_pct": 74.99526057117026, "trading_costs_quote_units": 9661.051128337422, "borrowing_costs_quote_units": 18816.36287046239, "price_pnl_quote_units": 524570.3526583903, "turnover_quote_units": 16101751.880562382, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 561837.0380977492, "return_pct": 5518.3703809774925, "cagr_pct": 73.38025337594594, "max_drawdown_pct": 82.91240677393473, "mean_exposure_while_solvent": 1.222007426198012, "realized_annual_volatility_pct": 76.81440894353983, "trading_costs_quote_units": 10755.959245555416, "borrowing_costs_quote_units": 22606.365365789825, "price_pnl_quote_units": 585199.3627090965, "turnover_quote_units": 17926598.742592346, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 579435.2864634385, "return_pct": 5694.352864634385, "cagr_pct": 74.11226045868851, "max_drawdown_pct": 82.5675597057478, "mean_exposure_while_solvent": 1.2453785963104407, "realized_annual_volatility_pct": 78.09908970398232, "trading_costs_quote_units": 11279.540893509004, "borrowing_costs_quote_units": 26358.751140772878, "price_pnl_quote_units": 607073.5784977211, "turnover_quote_units": 18799234.82251498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 499913.6747861996, "return_pct": 4899.136747861996, "cagr_pct": 70.63646041157124, "max_drawdown_pct": 82.97945411157218, "mean_exposure_while_solvent": 1.1861029435000627, "realized_annual_volatility_pct": 74.48588172762199, "trading_costs_quote_units": 9084.764190848642, "borrowing_costs_quote_units": 17121.018685545012, "price_pnl_quote_units": 516119.457662595, "turnover_quote_units": 15141273.651414411, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 554977.1531891736, "return_pct": 5449.771531891736, "cagr_pct": 73.08954165896057, "max_drawdown_pct": 83.51666530392795, "mean_exposure_while_solvent": 1.2105967193788403, "realized_annual_volatility_pct": 76.31717440143049, "trading_costs_quote_units": 10128.939939667107, "borrowing_costs_quote_units": 20735.619837846396, "price_pnl_quote_units": 575841.712966686, "turnover_quote_units": 16881566.566111837, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 580358.6570968252, "return_pct": 5703.586570968252, "cagr_pct": 74.15013590745781, "max_drawdown_pct": 83.18401286021142, "mean_exposure_while_solvent": 1.2332083353943732, "realized_annual_volatility_pct": 77.54651286373071, "trading_costs_quote_units": 10664.854170583301, "borrowing_costs_quote_units": 24367.755992031824, "price_pnl_quote_units": 605391.2672594404, "turnover_quote_units": 17774756.95097216, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 94450.07348017785, "return_pct": 844.5007348017784, "cagr_pct": 35.8983634560641, "max_drawdown_pct": 89.65625887366117, "mean_exposure_while_solvent": 1.2774636145667093, "realized_annual_volatility_pct": 81.0634011772232, "trading_costs_quote_units": 2862.3410624160683, "borrowing_costs_quote_units": 7227.34952201541, "price_pnl_quote_units": 94539.76406460897, "turnover_quote_units": 4770568.437360125, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 518010.67991699575, "return_pct": 5080.106799169957, "cagr_pct": 71.46736265430201, "max_drawdown_pct": 84.17784395881513, "mean_exposure_while_solvent": 1.220709342455499, "realized_annual_volatility_pct": 77.22756015049393, "trading_costs_quote_units": 11567.07265583364, "borrowing_costs_quote_units": 24491.374344296422, "price_pnl_quote_units": 544069.1269171266, "turnover_quote_units": 19278454.426389378, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 359223.03224144335, "return_pct": 3492.2303224144334, "cagr_pct": 63.10425328094935, "max_drawdown_pct": 83.77737583195734, "mean_exposure_while_solvent": 1.21815179434365, "realized_annual_volatility_pct": 76.03879628698155, "trading_costs_quote_units": 8672.509706217883, "borrowing_costs_quote_units": 31251.43025832413, "price_pnl_quote_units": 389146.97220598545, "turnover_quote_units": 14454182.843696471, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 396144.85856223, "return_pct": 3861.4485856223, "cagr_pct": 65.29871182208934, "max_drawdown_pct": 85.88240521193416, "mean_exposure_while_solvent": 1.2486017337980149, "realized_annual_volatility_pct": 78.08234963428012, "trading_costs_quote_units": 9480.3583452069, "borrowing_costs_quote_units": 37365.01944328251, "price_pnl_quote_units": 432990.2363507207, "turnover_quote_units": 15800597.242011493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 350121.8738696097, "return_pct": 3401.2187386960973, "cagr_pct": 62.533493663756154, "max_drawdown_pct": 86.49354905497167, "mean_exposure_while_solvent": 1.2746248870704138, "realized_annual_volatility_pct": 79.54403931122108, "trading_costs_quote_units": 8996.718134498986, "borrowing_costs_quote_units": 39737.71587358425, "price_pnl_quote_units": 388856.30787769135, "turnover_quote_units": 14994530.224165004, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 470797.66778410366, "return_pct": 4607.976677841037, "cagr_pct": 69.24346087789806, "max_drawdown_pct": 82.44546812930982, "mean_exposure_while_solvent": 1.1975305513309955, "realized_annual_volatility_pct": 74.99641105394535, "trading_costs_quote_units": 9169.664562182938, "borrowing_costs_quote_units": 35732.45058920888, "price_pnl_quote_units": 505699.7829354949, "turnover_quote_units": 15282774.270304896, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 517996.8580288789, "return_pct": 5079.968580288789, "cagr_pct": 71.46673766724786, "max_drawdown_pct": 83.02524469025828, "mean_exposure_while_solvent": 1.2220264251784456, "realized_annual_volatility_pct": 76.81575135108767, "trading_costs_quote_units": 10130.916214988503, "borrowing_costs_quote_units": 42655.739271601444, "price_pnl_quote_units": 560783.5135154687, "turnover_quote_units": 16884860.35831417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 529672.1622151437, "return_pct": 5196.721622151437, "cagr_pct": 71.98960219006574, "max_drawdown_pct": 82.67366416364058, "mean_exposure_while_solvent": 1.2453995949017338, "realized_annual_volatility_pct": 78.10058546871817, "trading_costs_quote_units": 10540.175016027884, "borrowing_costs_quote_units": 49382.23038112902, "price_pnl_quote_units": 579594.5676123066, "turnover_quote_units": 17566958.360046472, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 466994.343560321, "return_pct": 4569.94343560321, "cagr_pct": 69.05604067369744, "max_drawdown_pct": 83.0512825515497, "mean_exposure_while_solvent": 1.1861188675150784, "realized_annual_volatility_pct": 74.4869795164014, "trading_costs_quote_units": 8642.410515620188, "borrowing_costs_quote_units": 32600.253020299428, "price_pnl_quote_units": 498237.00709623983, "turnover_quote_units": 14404017.526033623, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 513812.2366239872, "return_pct": 5038.122366239872, "cagr_pct": 71.27685540638838, "max_drawdown_pct": 83.61105077477167, "mean_exposure_while_solvent": 1.2106147413625286, "realized_annual_volatility_pct": 76.3184658791608, "trading_costs_quote_units": 9562.386257459984, "borrowing_costs_quote_units": 39231.65496350824, "price_pnl_quote_units": 552606.2778449558, "turnover_quote_units": 15937310.429099964, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 532882.5386176059, "return_pct": 5228.8253861760595, "cagr_pct": 72.13162997542291, "max_drawdown_pct": 83.2716034428853, "mean_exposure_while_solvent": 1.2332282916988797, "realized_annual_volatility_pct": 77.54794630581637, "trading_costs_quote_units": 9989.82599192111, "borrowing_costs_quote_units": 45778.14684942125, "price_pnl_quote_units": 578650.5114589513, "turnover_quote_units": 16649709.9865352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 85310.31011741956, "return_pct": 753.1031011741956, "cagr_pct": 34.02207207721028, "max_drawdown_pct": 89.92302637018788, "mean_exposure_while_solvent": 1.2774873990125037, "realized_annual_volatility_pct": 81.06609890238897, "trading_costs_quote_units": 2690.4236589035554, "borrowing_costs_quote_units": 13569.13274316467, "price_pnl_quote_units": 91569.86651948838, "turnover_quote_units": 4484039.43150592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 477810.2748426349, "return_pct": 4678.102748426349, "cagr_pct": 69.58562706474254, "max_drawdown_pct": 84.28305462785552, "mean_exposure_while_solvent": 1.2207282326809388, "realized_annual_volatility_pct": 77.2290032976675, "trading_costs_quote_units": 10911.83168261067, "borrowing_costs_quote_units": 46294.781125757574, "price_pnl_quote_units": 525016.8876509981, "turnover_quote_units": 18186386.137684442, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 306170.2778174784, "return_pct": 2961.702778174784, "cagr_pct": 59.58239417749853, "max_drawdown_pct": 84.11487678664986, "mean_exposure_while_solvent": 1.2181891432679086, "realized_annual_volatility_pct": 76.04166695986211, "trading_costs_quote_units": 7773.953101490999, "borrowing_costs_quote_units": 55993.51121790543, "price_pnl_quote_units": 359937.74213687767, "turnover_quote_units": 12956588.502485016, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 330204.393648359, "return_pct": 3202.04393648359, "cagr_pct": 61.238302510301644, "max_drawdown_pct": 86.36633915817654, "mean_exposure_while_solvent": 1.2486442939022042, "realized_annual_volatility_pct": 78.08563849725105, "trading_costs_quote_units": 8338.581421593002, "borrowing_costs_quote_units": 65897.47312637925, "price_pnl_quote_units": 394440.44819633174, "turnover_quote_units": 13897635.702655014, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 286324.0575573107, "return_pct": 2763.2405755731065, "cagr_pct": 58.12813913131287, "max_drawdown_pct": 86.99067063538212, "mean_exposure_while_solvent": 1.2746719072488328, "realized_annual_volatility_pct": 79.54780682000695, "trading_costs_quote_units": 7799.7255961405135, "borrowing_costs_quote_units": 69168.31234815011, "price_pnl_quote_units": 353292.0955016016, "turnover_quote_units": 12999542.66023417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 407402.8429853264, "return_pct": 3974.0284298532642, "cagr_pct": 65.93267530551144, "max_drawdown_pct": 82.6240753857397, "mean_exposure_while_solvent": 1.1975643606813877, "realized_annual_volatility_pct": 74.99874022240313, "trading_costs_quote_units": 8268.3034250073, "borrowing_costs_quote_units": 64480.56767794, "price_pnl_quote_units": 470151.7140882797, "turnover_quote_units": 13780505.708345504, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 440291.41503857, "return_pct": 4302.9141503857, "cagr_pct": 67.70175136932592, "max_drawdown_pct": 83.2487512304812, "mean_exposure_while_solvent": 1.2220644313778821, "realized_annual_volatility_pct": 76.81846469120724, "trading_costs_quote_units": 8997.46571878099, "borrowing_costs_quote_units": 76012.02152101272, "price_pnl_quote_units": 515300.90227836353, "turnover_quote_units": 14995776.197968302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 442577.26793924323, "return_pct": 4325.772679392432, "cagr_pct": 67.82041844302252, "max_drawdown_pct": 82.88399720735433, "mean_exposure_while_solvent": 1.2454416011904346, "realized_annual_volatility_pct": 78.10360549279972, "trading_costs_quote_units": 9214.588490017646, "borrowing_costs_quote_units": 86763.61470327452, "price_pnl_quote_units": 528555.4711325365, "turnover_quote_units": 15357647.483362753, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 407499.91524002847, "return_pct": 3974.9991524002844, "cagr_pct": 65.93807555967952, "max_drawdown_pct": 83.1940706215563, "mean_exposure_while_solvent": 1.1861507224478092, "realized_annual_volatility_pct": 74.48920285976943, "trading_costs_quote_units": 7827.861059332365, "borrowing_costs_quote_units": 59139.09768949434, "price_pnl_quote_units": 464466.87398885196, "turnover_quote_units": 13046435.098887293, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 440396.32368395483, "return_pct": 4303.963236839548, "cagr_pct": 67.70720919781061, "max_drawdown_pct": 83.79825476508837, "mean_exposure_while_solvent": 1.2106507931443036, "realized_annual_volatility_pct": 76.32107718120808, "trading_costs_quote_units": 8531.03138415579, "borrowing_costs_quote_units": 70281.36144335147, "price_pnl_quote_units": 509208.7165114617, "turnover_quote_units": 14218385.640259646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 449241.7708642689, "return_pct": 4392.417708642689, "cagr_pct": 68.1634019309616, "max_drawdown_pct": 83.4454660364735, "mean_exposure_while_solvent": 1.233268212961377, "realized_annual_volatility_pct": 77.55084175622025, "trading_costs_quote_units": 8774.723764919345, "borrowing_costs_quote_units": 80865.96936501605, "price_pnl_quote_units": 528882.4639942074, "turnover_quote_units": 14624539.608198911, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 69594.53866291615, "return_pct": 595.9453866291615, "cagr_pct": 30.34583031688145, "max_drawdown_pct": 90.43737233348274, "mean_exposure_while_solvent": 1.2775349782408396, "realized_annual_volatility_pct": 81.07152219944031, "trading_costs_quote_units": 2382.6987300837163, "borrowing_costs_quote_units": 23970.524044557398, "price_pnl_quote_units": 85947.76143755738, "turnover_quote_units": 3971164.550139528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 406507.67301832954, "return_pct": 3965.0767301832957, "cagr_pct": 65.8828234216816, "max_drawdown_pct": 84.49143865867626, "mean_exposure_while_solvent": 1.2207660213243023, "realized_annual_volatility_pct": 77.23191792542033, "trading_costs_quote_units": 9721.126918629087, "borrowing_costs_quote_units": 82790.29789762711, "price_pnl_quote_units": 489019.097834589, "turnover_quote_units": 16201878.197715154, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 350040.59691295546, "return_pct": 3400.4059691295547, "cagr_pct": 62.52833911706408, "max_drawdown_pct": 83.99607794846544, "mean_exposure_while_solvent": 1.2183989137707014, "realized_annual_volatility_pct": 76.04667662395556, "trading_costs_quote_units": 43277.54436130251, "borrowing_costs_quote_units": 15507.525938169561, "price_pnl_quote_units": 398825.66721242387, "turnover_quote_units": 14425848.120434182, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 367692.35280838265, "return_pct": 3576.9235280838266, "cagr_pct": 63.624281550449815, "max_drawdown_pct": 85.45552443214754, "mean_exposure_while_solvent": 1.248836619231809, "realized_annual_volatility_pct": 78.10488417339992, "trading_costs_quote_units": 45778.07407885359, "borrowing_costs_quote_units": 18089.555353863805, "price_pnl_quote_units": 421559.9822411025, "turnover_quote_units": 15259358.026284529, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 330086.0973013865, "return_pct": 3200.8609730138646, "cagr_pct": 61.23041064305137, "max_drawdown_pct": 85.8980953227046, "mean_exposure_while_solvent": 1.27486107025895, "realized_annual_volatility_pct": 79.53040602113718, "trading_costs_quote_units": 43603.43957022227, "borrowing_costs_quote_units": 19299.570530960536, "price_pnl_quote_units": 382989.1074025692, "turnover_quote_units": 14534479.85674075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 436040.78150850313, "return_pct": 4260.407815085031, "cagr_pct": 67.47966389764504, "max_drawdown_pct": 83.0287950957995, "mean_exposure_while_solvent": 1.1977840125553725, "realized_annual_volatility_pct": 75.0187722244856, "trading_costs_quote_units": 43566.930787168945, "borrowing_costs_quote_units": 16849.252116048716, "price_pnl_quote_units": 486456.9644117257, "turnover_quote_units": 14522310.262389656, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 461196.03150832164, "return_pct": 4511.960315083216, "cagr_pct": 68.76775955266814, "max_drawdown_pct": 83.46818360207232, "mean_exposure_while_solvent": 1.2222583007712062, "realized_annual_volatility_pct": 76.85390475127575, "trading_costs_quote_units": 46945.596078629475, "borrowing_costs_quote_units": 19818.889730815637, "price_pnl_quote_units": 517960.5173177644, "turnover_quote_units": 15648532.026209818, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 481382.5610841515, "return_pct": 4713.825610841515, "cagr_pct": 69.75826579139412, "max_drawdown_pct": 82.71266472277269, "mean_exposure_while_solvent": 1.2456375531947208, "realized_annual_volatility_pct": 78.1207397674898, "trading_costs_quote_units": 49382.8002108449, "borrowing_costs_quote_units": 23172.82095582548, "price_pnl_quote_units": 543938.1822508217, "turnover_quote_units": 16460933.403614966, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 432744.77816901566, "return_pct": 4227.447781690156, "cagr_pct": 67.306163669469, "max_drawdown_pct": 83.62193095737153, "mean_exposure_while_solvent": 1.1863880209360158, "realized_annual_volatility_pct": 74.480197199709, "trading_costs_quote_units": 41226.63794462978, "borrowing_costs_quote_units": 15484.583762273, "price_pnl_quote_units": 479455.9998759144, "turnover_quote_units": 13742212.648209922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 457709.88130294485, "return_pct": 4477.098813029448, "cagr_pct": 68.59292492433372, "max_drawdown_pct": 84.0459630359951, "mean_exposure_while_solvent": 1.2108623091518493, "realized_annual_volatility_pct": 76.32828005956556, "trading_costs_quote_units": 44431.88433657331, "borrowing_costs_quote_units": 18364.200496970923, "price_pnl_quote_units": 510505.96613649046, "turnover_quote_units": 14810628.112191103, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 484217.19188666507, "return_pct": 4742.171918866651, "cagr_pct": 69.89447033312356, "max_drawdown_pct": 83.31684919652243, "mean_exposure_while_solvent": 1.233487122719316, "realized_annual_volatility_pct": 77.54523688443402, "trading_costs_quote_units": 46883.79273340729, "borrowing_costs_quote_units": 21625.37964723767, "price_pnl_quote_units": 542726.3642673075, "turnover_quote_units": 15627930.911135772, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 82886.24858524228, "return_pct": 728.8624858524228, "cagr_pct": 33.49537120105113, "max_drawdown_pct": 89.81453700452052, "mean_exposure_while_solvent": 1.2776002119580796, "realized_annual_volatility_pct": 81.54995372843278, "trading_costs_quote_units": 12972.544975213725, "borrowing_costs_quote_units": 6576.479967519407, "price_pnl_quote_units": 92435.27352797527, "turnover_quote_units": 4324181.658404581, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 447513.53728887235, "return_pct": 4375.135372888724, "cagr_pct": 68.07488383490328, "max_drawdown_pct": 83.52232251604485, "mean_exposure_while_solvent": 1.2208915068339907, "realized_annual_volatility_pct": 77.23977357958351, "trading_costs_quote_units": 51262.61264695532, "borrowing_costs_quote_units": 21830.341478903236, "price_pnl_quote_units": 510606.4914147349, "turnover_quote_units": 17087537.54898509, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 323163.28969643184, "return_pct": 3131.632896964318, "cagr_pct": 60.764262685646074, "max_drawdown_pct": 84.0972434885076, "mean_exposure_while_solvent": 1.2184175997808115, "realized_annual_volatility_pct": 76.04834130499937, "trading_costs_quote_units": 40961.9487654259, "borrowing_costs_quote_units": 29348.97329752001, "price_pnl_quote_units": 383474.21175938234, "turnover_quote_units": 13653982.921808634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 335697.7393840243, "return_pct": 3256.9773938402427, "cagr_pct": 61.60211699836342, "max_drawdown_pct": 85.70655078991338, "mean_exposure_while_solvent": 1.248857906337154, "realized_annual_volatility_pct": 78.10678764158732, "trading_costs_quote_units": 42920.062987642355, "borrowing_costs_quote_units": 33970.22843080335, "price_pnl_quote_units": 402588.030802471, "turnover_quote_units": 14306687.66254746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 298501.285402042, "return_pct": 2885.01285402042, "cagr_pct": 59.03036672716342, "max_drawdown_pct": 86.15959755122465, "mean_exposure_while_solvent": 1.274884588151252, "realized_annual_volatility_pct": 79.53257424672759, "trading_costs_quote_units": 40584.89007071086, "borrowing_costs_quote_units": 36002.89616663091, "price_pnl_quote_units": 365089.0716393821, "turnover_quote_units": 13528296.690236941, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 405620.6542251515, "return_pct": 3956.206542251515, "cagr_pct": 65.8333318955141, "max_drawdown_pct": 83.11508157287021, "mean_exposure_while_solvent": 1.1978009300741095, "realized_annual_volatility_pct": 75.02017588557149, "trading_costs_quote_units": 41369.90641623925, "borrowing_costs_quote_units": 32010.90106170836, "price_pnl_quote_units": 469001.46170309593, "turnover_quote_units": 13789968.805413105, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 425193.39391763916, "return_pct": 4151.9339391763915, "cagr_pct": 66.90431961713432, "max_drawdown_pct": 83.57712011985281, "mean_exposure_while_solvent": 1.2222773112436625, "realized_annual_volatility_pct": 76.85551888861805, "trading_costs_quote_units": 44240.86694404189, "borrowing_costs_quote_units": 37423.02922159994, "price_pnl_quote_units": 496857.2900832802, "turnover_quote_units": 14746955.64801395, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 440024.8080886188, "return_pct": 4300.248080886188, "cagr_pct": 67.68787619996542, "max_drawdown_pct": 82.81755532985235, "mean_exposure_while_solvent": 1.2456585655565497, "realized_annual_volatility_pct": 78.12252625342538, "trading_costs_quote_units": 46169.82495243621, "borrowing_costs_quote_units": 43444.34513628775, "price_pnl_quote_units": 519638.97817734483, "turnover_quote_units": 15389941.650812062, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 404237.99485295115, "return_pct": 3942.3799485295112, "cagr_pct": 65.75599925641657, "max_drawdown_pct": 83.6908246452601, "mean_exposure_while_solvent": 1.1864039636046868, "realized_annual_volatility_pct": 74.48152917076607, "trading_costs_quote_units": 39236.44205753907, "borrowing_costs_quote_units": 29496.671985851463, "price_pnl_quote_units": 462971.1088963422, "turnover_quote_units": 13078814.019179694, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 423744.0159706017, "return_pct": 4137.440159706017, "cagr_pct": 66.82648754703591, "max_drawdown_pct": 84.13710857111437, "mean_exposure_while_solvent": 1.21088034477424, "realized_annual_volatility_pct": 76.32982515873897, "trading_costs_quote_units": 41967.8719169699, "borrowing_costs_quote_units": 34768.33681684225, "price_pnl_quote_units": 490480.22470441344, "turnover_quote_units": 13989290.63898994, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 444589.8187534922, "return_pct": 4345.898187534923, "cagr_pct": 67.92446014605152, "max_drawdown_pct": 83.40344347188002, "mean_exposure_while_solvent": 1.2335070949049245, "realized_annual_volatility_pct": 77.54694263721898, "trading_costs_quote_units": 43938.54497772385, "borrowing_costs_quote_units": 40653.26004838812, "price_pnl_quote_units": 519181.62377960543, "turnover_quote_units": 14646181.659241285, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 74864.01441322238, "return_pct": 648.6401441322238, "cagr_pct": 31.651901087072915, "max_drawdown_pct": 90.08796838658999, "mean_exposure_while_solvent": 1.2776239962653857, "realized_annual_volatility_pct": 81.55316809701598, "trading_costs_quote_units": 12205.077636313594, "borrowing_costs_quote_units": 12357.162654106956, "price_pnl_quote_units": 89426.25470364248, "turnover_quote_units": 4068359.212104528, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 412769.7795998114, "return_pct": 4027.697795998114, "cagr_pct": 66.2295912142456, "max_drawdown_pct": 83.63185304794007, "mean_exposure_while_solvent": 1.2209103987859056, "realized_annual_volatility_pct": 77.24144196196929, "trading_costs_quote_units": 48375.94521353993, "borrowing_costs_quote_units": 41278.46312628958, "price_pnl_quote_units": 492424.1879396423, "turnover_quote_units": 16125315.07117998, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 275426.8188914745, "return_pct": 2654.268188914745, "cagr_pct": 57.292205561814356, "max_drawdown_pct": 84.29773006532078, "mean_exposure_while_solvent": 1.2184549799048892, "realized_annual_volatility_pct": 76.0516998343525, "trading_costs_quote_units": 36739.66927390946, "borrowing_costs_quote_units": 52618.85733745469, "price_pnl_quote_units": 354785.34550283675, "turnover_quote_units": 12246556.424636493, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 279801.4669291716, "return_pct": 2698.014669291716, "cagr_pct": 57.63115984746645, "max_drawdown_pct": 86.19582845934217, "mean_exposure_while_solvent": 1.2489004897791307, "realized_annual_volatility_pct": 78.1106235579941, "trading_costs_quote_units": 37782.70764932728, "borrowing_costs_quote_units": 59982.53890085779, "price_pnl_quote_units": 367566.713479358, "turnover_quote_units": 12594235.883109098, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 244093.17501288495, "return_pct": 2340.9317501288497, "cagr_pct": 54.718542647071125, "max_drawdown_pct": 86.66829667560668, "mean_exposure_while_solvent": 1.274931634137413, "realized_annual_volatility_pct": 79.53693908632555, "trading_costs_quote_units": 35219.45538476394, "borrowing_costs_quote_units": 62751.10620367117, "price_pnl_quote_units": 332063.73660132044, "turnover_quote_units": 11739818.461587971, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 350982.0462525154, "return_pct": 3409.820462525154, "cagr_pct": 62.58798216499597, "max_drawdown_pct": 83.28640365290167, "mean_exposure_while_solvent": 1.1978347724455087, "realized_annual_volatility_pct": 75.02301180741885, "trading_costs_quote_units": 37335.934061033695, "borrowing_costs_quote_units": 57816.56931927796, "price_pnl_quote_units": 436134.5496328269, "turnover_quote_units": 12445311.353677906, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 361380.5645849225, "return_pct": 3513.805645849225, "cagr_pct": 63.237725535679324, "max_drawdown_pct": 83.79291895717984, "mean_exposure_while_solvent": 1.2223153404301537, "realized_annual_volatility_pct": 76.85877608706862, "trading_costs_quote_units": 39331.67559638485, "borrowing_costs_quote_units": 66785.1553838149, "price_pnl_quote_units": 457497.3955651173, "turnover_quote_units": 13110558.532128276, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 367641.8668858437, "return_pct": 3576.418668858437, "cagr_pct": 63.62121242184369, "max_drawdown_pct": 83.02550416487018, "mean_exposure_while_solvent": 1.2457005993911687, "realized_annual_volatility_pct": 78.12612813131129, "trading_costs_quote_units": 40404.392941387465, "borrowing_costs_quote_units": 76441.48946681968, "price_pnl_quote_units": 474487.74929404847, "turnover_quote_units": 13468130.980462473, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 352718.61876543047, "return_pct": 3427.186187654305, "cagr_pct": 62.69763669580364, "max_drawdown_pct": 83.82779702392729, "mean_exposure_while_solvent": 1.1864358558531327, "realized_annual_volatility_pct": 74.48422121205101, "trading_costs_quote_units": 35567.60356884886, "borrowing_costs_quote_units": 53554.67323010253, "price_pnl_quote_units": 431840.8955643815, "turnover_quote_units": 11855867.856282948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 363168.58639931236, "return_pct": 3531.6858639931233, "cagr_pct": 63.34781827417903, "max_drawdown_pct": 84.31790508572072, "mean_exposure_while_solvent": 1.2109164238377776, "realized_annual_volatility_pct": 76.33294404098764, "trading_costs_quote_units": 37477.92807707592, "borrowing_costs_quote_units": 62370.623665745996, "price_pnl_quote_units": 453017.13814213325, "turnover_quote_units": 12492642.692358643, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 374778.0140331214, "return_pct": 3647.780140331214, "cagr_pct": 64.05146496948215, "max_drawdown_pct": 83.57534869448496, "mean_exposure_while_solvent": 1.2335470479355877, "realized_annual_volatility_pct": 77.55038305217829, "trading_costs_quote_units": 38631.84078491837, "borrowing_costs_quote_units": 71910.19473560822, "price_pnl_quote_units": 475320.0495536459, "turnover_quote_units": 12877280.261639448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 61069.71080899265, "return_pct": 510.6971080899265, "cagr_pct": 28.039832190866935, "max_drawdown_pct": 90.61317638242873, "mean_exposure_while_solvent": 1.2776715752190297, "realized_annual_volatility_pct": 81.5596247196846, "trading_costs_quote_units": 10830.238095554107, "borrowing_costs_quote_units": 21865.34304476058, "price_pnl_quote_units": 83765.29194930708, "turnover_quote_units": 3610079.3651847006, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 351145.9082420814, "return_pct": 3411.4590824208144, "cagr_pct": 62.59834909439388, "max_drawdown_pct": 83.84880968950924, "mean_exposure_while_solvent": 1.220948190879549, "realized_annual_volatility_pct": 77.24480758468789, "trading_costs_quote_units": 43126.959501945064, "borrowing_costs_quote_units": 73868.94522195582, "price_pnl_quote_units": 458141.8129659774, "turnover_quote_units": 14375653.167315012, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 326421.6496825323, "return_pct": 3164.216496825323, "cagr_pct": 60.984727747943836, "max_drawdown_pct": 84.06782791190128, "mean_exposure_while_solvent": 1.2181331239301407, "realized_annual_volatility_pct": 76.0417522509087, "trading_costs_quote_units": 40633.72784366488, "borrowing_costs_quote_units": 14634.479681491412, "price_pnl_quote_units": 371689.85720768815, "turnover_quote_units": 13544575.947888331, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 366874.30924595526, "return_pct": 3568.7430924595524, "cagr_pct": 63.57450635535147, "max_drawdown_pct": 86.23627131658209, "mean_exposure_while_solvent": 1.248580458360008, "realized_annual_volatility_pct": 78.0816312404468, "trading_costs_quote_units": 45136.30212427054, "borrowing_costs_quote_units": 17808.607277144303, "price_pnl_quote_units": 419819.21864736977, "turnover_quote_units": 15045434.041423524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 329361.9999202052, "return_pct": 3193.619999202052, "cagr_pct": 61.18205087163637, "max_drawdown_pct": 86.79541763649294, "mean_exposure_while_solvent": 1.2746013820798394, "realized_annual_volatility_pct": 79.54414975562077, "trading_costs_quote_units": 43382.48844897094, "borrowing_costs_quote_units": 19185.838974624334, "price_pnl_quote_units": 381930.32734380476, "turnover_quote_units": 14460829.482990334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 435459.73109403835, "return_pct": 4254.597310940383, "cagr_pct": 67.4491600482854, "max_drawdown_pct": 82.68539001038313, "mean_exposure_while_solvent": 1.1975136503192345, "realized_annual_volatility_pct": 74.99853092019904, "trading_costs_quote_units": 43370.4843013177, "borrowing_costs_quote_units": 16902.952462782694, "price_pnl_quote_units": 485733.1678581387, "turnover_quote_units": 14456828.10043922, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 487636.55789149064, "return_pct": 4776.365578914906, "cagr_pct": 70.05785840419492, "max_drawdown_pct": 83.21080387350341, "mean_exposure_while_solvent": 1.222007426198012, "realized_annual_volatility_pct": 76.813763322776, "trading_costs_quote_units": 48696.644871744225, "borrowing_costs_quote_units": 20528.882679944832, "price_pnl_quote_units": 546862.0854431764, "turnover_quote_units": 16232214.957248066, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 506328.2365256739, "return_pct": 4963.282365256739, "cagr_pct": 70.93390524972574, "max_drawdown_pct": 82.82641716116004, "mean_exposure_while_solvent": 1.2453785963104407, "realized_annual_volatility_pct": 78.10051469531277, "trading_costs_quote_units": 51295.96422592023, "borrowing_costs_quote_units": 24068.5094113158, "price_pnl_quote_units": 571692.7101629081, "turnover_quote_units": 17098654.74197347, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 432931.51945147023, "return_pct": 4229.315194514702, "cagr_pct": 67.31602409012514, "max_drawdown_pct": 83.28890005035089, "mean_exposure_while_solvent": 1.1861029435000627, "realized_annual_volatility_pct": 74.48800579055428, "trading_costs_quote_units": 40939.351156732955, "borrowing_costs_quote_units": 15451.60137614642, "price_pnl_quote_units": 479322.47198435175, "turnover_quote_units": 13646450.385577653, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 484805.41568711743, "return_pct": 4748.054156871174, "cagr_pct": 69.92264831466784, "max_drawdown_pct": 83.79600033079615, "mean_exposure_while_solvent": 1.2105967193788403, "realized_annual_volatility_pct": 76.315383210226, "trading_costs_quote_units": 46031.71916256411, "borrowing_costs_quote_units": 18915.95383484625, "price_pnl_quote_units": 539753.0886845295, "turnover_quote_units": 15343906.387521375, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 510496.0764487446, "return_pct": 5004.960764487446, "cagr_pct": 71.12542996883282, "max_drawdown_pct": 83.42501162396768, "mean_exposure_while_solvent": 1.2332083353943732, "realized_annual_volatility_pct": 77.54768659850512, "trading_costs_quote_units": 48679.83434881372, "borrowing_costs_quote_units": 22346.260749513567, "price_pnl_quote_units": 571522.1715470725, "turnover_quote_units": 16226611.449604586, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 81128.14587329075, "return_pct": 711.2814587329075, "cagr_pct": 33.10498431642183, "max_drawdown_pct": 89.99051518463953, "mean_exposure_while_solvent": 1.2774636145667093, "realized_annual_volatility_pct": 81.06842572423187, "trading_costs_quote_units": 13023.971399344997, "borrowing_costs_quote_units": 6564.068444181168, "price_pnl_quote_units": 90716.18571681668, "turnover_quote_units": 4341323.79978166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 449695.4859699325, "return_pct": 4396.9548596993245, "cagr_pct": 68.18659195560122, "max_drawdown_pct": 84.4351042305825, "mean_exposure_while_solvent": 1.220709342455499, "realized_annual_volatility_pct": 77.2327455035277, "trading_costs_quote_units": 52533.878689631885, "borrowing_costs_quote_units": 22323.48397391919, "price_pnl_quote_units": 514552.848633485, "turnover_quote_units": 17511292.896543946, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 301360.32872490847, "return_pct": 2913.6032872490846, "cagr_pct": 59.23758196476303, "max_drawdown_pct": 84.28760261225095, "mean_exposure_while_solvent": 1.21815179434365, "realized_annual_volatility_pct": 76.04320545451812, "trading_costs_quote_units": 38481.13916885978, "borrowing_costs_quote_units": 27710.45940676061, "price_pnl_quote_units": 357551.92730052775, "turnover_quote_units": 12827046.389619924, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 334957.0313039827, "return_pct": 3249.570313039827, "cagr_pct": 61.553362392168, "max_drawdown_pct": 86.47432550005183, "mean_exposure_while_solvent": 1.2486017337980149, "realized_annual_volatility_pct": 78.08329379565096, "trading_costs_quote_units": 42338.989686944544, "borrowing_costs_quote_units": 33453.22956033226, "price_pnl_quote_units": 400749.2505512589, "turnover_quote_units": 14112996.562314838, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 297853.10498529207, "return_pct": 2878.5310498529207, "cagr_pct": 58.98315029969559, "max_drawdown_pct": 87.04078828232807, "mean_exposure_while_solvent": 1.2746248870704138, "realized_annual_volatility_pct": 79.54605381127196, "trading_costs_quote_units": 40398.044767154446, "borrowing_costs_quote_units": 35801.83486005391, "price_pnl_quote_units": 364052.98461250105, "turnover_quote_units": 13466014.922384815, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 405090.2304800236, "return_pct": 3950.9023048002364, "cagr_pct": 65.80369205140315, "max_drawdown_pct": 82.77380163288186, "mean_exposure_while_solvent": 1.1975305513309955, "realized_annual_volatility_pct": 74.99971179635362, "trading_costs_quote_units": 41189.238102468495, "borrowing_costs_quote_units": 32116.465511075927, "price_pnl_quote_units": 468395.9340935667, "turnover_quote_units": 13729746.034156157, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 449584.64656235586, "return_pct": 4395.846465623558, "cagr_pct": 68.18092866112046, "max_drawdown_pct": 83.32180882485639, "mean_exposure_while_solvent": 1.2220264251784456, "realized_annual_volatility_pct": 76.81513646110002, "trading_costs_quote_units": 45895.978661640984, "borrowing_costs_quote_units": 38760.146135049385, "price_pnl_quote_units": 524240.77135904, "turnover_quote_units": 15298659.55388033, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 462843.4793600782, "return_pct": 4528.4347936007825, "cagr_pct": 68.84998433666165, "max_drawdown_pct": 82.93106436102278, "mean_exposure_while_solvent": 1.2453995949017338, "realized_annual_volatility_pct": 78.10204302218077, "trading_costs_quote_units": 47963.582647969655, "borrowing_costs_quote_units": 45120.50269510823, "price_pnl_quote_units": 545927.5647031585, "turnover_quote_units": 15987860.882656554, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 404423.04374854174, "return_pct": 3944.2304374854175, "cagr_pct": 65.76636233292771, "max_drawdown_pct": 83.35953910846835, "mean_exposure_while_solvent": 1.1861188675150784, "realized_annual_volatility_pct": 74.4891347504723, "trading_costs_quote_units": 38966.99768425265, "borrowing_costs_quote_units": 29435.88128537009, "price_pnl_quote_units": 462825.92271816276, "turnover_quote_units": 12988999.228084225, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 448844.1771846889, "return_pct": 4388.4417718468885, "cagr_pct": 68.14306372191348, "max_drawdown_pct": 83.88891256928586, "mean_exposure_while_solvent": 1.2106147413625286, "realized_annual_volatility_pct": 76.31670619948284, "trading_costs_quote_units": 43481.94766026913, "borrowing_costs_quote_units": 35808.99883203727, "price_pnl_quote_units": 518135.12367699714, "turnover_quote_units": 14493982.553423045, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 468735.447301243, "return_pct": 4587.35447301243, "cagr_pct": 69.1420017144664, "max_drawdown_pct": 83.51145447723131, "mean_exposure_while_solvent": 1.2332282916988797, "realized_annual_volatility_pct": 77.54915358174402, "trading_costs_quote_units": 45624.3700199496, "borrowing_costs_quote_units": 42004.51920173639, "price_pnl_quote_units": 546364.3365229286, "turnover_quote_units": 15208123.339983188, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 73275.53756949295, "return_pct": 632.7553756949295, "cagr_pct": 31.266774479728248, "max_drawdown_pct": 90.24880577104834, "mean_exposure_while_solvent": 1.2774873990125037, "realized_annual_volatility_pct": 81.07115483005605, "trading_costs_quote_units": 12255.92778516821, "borrowing_costs_quote_units": 12337.669080472113, "price_pnl_quote_units": 87869.13443513255, "turnover_quote_units": 4085309.2617227356, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 414793.3567706946, "return_pct": 4047.9335677069457, "cagr_pct": 66.34067707795246, "max_drawdown_pct": 84.5387164335339, "mean_exposure_while_solvent": 1.2207282326809388, "realized_annual_volatility_pct": 77.23422000352888, "trading_costs_quote_units": 49589.67651490144, "borrowing_costs_quote_units": 42223.36426579398, "price_pnl_quote_units": 496606.39755139133, "turnover_quote_units": 16529892.171633823, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 256847.40642611147, "return_pct": 2468.4740642611146, "cagr_pct": 55.79873688950994, "max_drawdown_pct": 84.74114367574808, "mean_exposure_while_solvent": 1.2181891432679086, "realized_annual_volatility_pct": 76.04614123832503, "trading_costs_quote_units": 34555.74667139099, "borrowing_costs_quote_units": 49731.76420850943, "price_pnl_quote_units": 331134.9173060127, "turnover_quote_units": 11518582.223796995, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1224, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 279193.24065185327, "return_pct": 2691.9324065185324, "cagr_pct": 57.584308610242594, "max_drawdown_pct": 86.93830041780409, "mean_exposure_while_solvent": 1.2486442939022042, "realized_annual_volatility_pct": 78.08664808598729, "trading_costs_quote_units": 37310.01721140868, "borrowing_costs_quote_units": 59108.513677599054, "price_pnl_quote_units": 365611.7715408609, "turnover_quote_units": 12436672.4038029, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1380, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 243573.1117630665, "return_pct": 2335.731117630665, "cagr_pct": 54.673471502686176, "max_drawdown_pct": 87.51808546859479, "mean_exposure_while_solvent": 1.2746719072488328, "realized_annual_volatility_pct": 79.54989047016804, "trading_costs_quote_units": 35092.345649427196, "borrowing_costs_quote_units": 62440.94630402646, "price_pnl_quote_units": 331106.4037165194, "turnover_quote_units": 11697448.549809052, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1514, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 350539.1915730842, "return_pct": 3405.391915730842, "cagr_pct": 62.55994349879246, "max_drawdown_pct": 82.94932102344987, "mean_exposure_while_solvent": 1.1975643606813877, "realized_annual_volatility_pct": 75.00210226014404, "trading_costs_quote_units": 37185.60217927, "borrowing_costs_quote_units": 58019.83917149517, "price_pnl_quote_units": 435744.632923848, "turnover_quote_units": 12395200.726423327, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1105, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 382135.1982038808, "return_pct": 3721.351982038808, "cagr_pct": 64.48770147577338, "max_drawdown_pct": 83.54168199128465, "mean_exposure_while_solvent": 1.2220644313778821, "realized_annual_volatility_pct": 76.81791176669125, "trading_costs_quote_units": 40813.79780362024, "borrowing_costs_quote_units": 69158.42131528998, "price_pnl_quote_units": 482107.4173227924, "turnover_quote_units": 13604599.267873406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1230, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 386733.0251871086, "return_pct": 3767.330251871086, "cagr_pct": 64.75665672570472, "max_drawdown_pct": 83.13850652741948, "mean_exposure_while_solvent": 1.2454416011904346, "realized_annual_volatility_pct": 78.10512866785449, "trading_costs_quote_units": 41985.063949450305, "borrowing_costs_quote_units": 79379.54263776854, "price_pnl_quote_units": 498097.6317743209, "turnover_quote_units": 13995021.31648342, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1350, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 352896.6492122917, "return_pct": 3428.966492122917, "cagr_pct": 62.70885193192797, "max_drawdown_pct": 83.49996135454482, "mean_exposure_while_solvent": 1.1861507224478092, "realized_annual_volatility_pct": 74.49142094742277, "trading_costs_quote_units": 35333.01109831377, "borrowing_costs_quote_units": 53451.547891419694, "price_pnl_quote_units": 431681.208202025, "turnover_quote_units": 11777670.366104592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1042, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 384705.1463405561, "return_pct": 3747.051463405561, "cagr_pct": 64.63837577701644, "max_drawdown_pct": 84.0731924191127, "mean_exposure_while_solvent": 1.2106507931443036, "realized_annual_volatility_pct": 76.31938103117308, "trading_costs_quote_units": 38837.44786406829, "borrowing_costs_quote_units": 64223.03488805338, "price_pnl_quote_units": 477765.62909267517, "turnover_quote_units": 12945815.954689417, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1167, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 395159.7858486442, "return_pct": 3851.597858486442, "cagr_pct": 65.24250276438097, "max_drawdown_pct": 83.68303723855813, "mean_exposure_while_solvent": 1.233268212961377, "realized_annual_volatility_pct": 77.55211661426148, "trading_costs_quote_units": 40120.972195752904, "borrowing_costs_quote_units": 74286.31912939888, "price_pnl_quote_units": 499567.07717379514, "turnover_quote_units": 13373657.3985843, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1283, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 59773.25563299187, "return_pct": 497.73255632991874, "cagr_pct": 27.665077188928034, "max_drawdown_pct": 90.76481307191654, "mean_exposure_while_solvent": 1.2775349782408396, "realized_annual_volatility_pct": 81.07664116246198, "trading_costs_quote_units": 10879.675859350114, "borrowing_costs_quote_units": 21844.80332018844, "price_pnl_quote_units": 82497.7348125308, "turnover_quote_units": 3626558.6197833717, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1524, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "reference", "quote_currency": "USD", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 352885.46686433966, "return_pct": 3428.854668643397, "cagr_pct": 62.70814763064389, "max_drawdown_pct": 84.74393228203225, "mean_exposure_while_solvent": 1.2207660213243023, "realized_annual_volatility_pct": 77.23719746218356, "trading_costs_quote_units": 44235.6145464762, "borrowing_costs_quote_units": 75604.93157850782, "price_pnl_quote_units": 462726.012989317, "turnover_quote_units": 14745204.848825393, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1223, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 1, "trace": "reference-2019_frozen_end-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "reference-2019_frozen_end-constant_150-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 469767.77934942936, "return_pct": 4597.677793494294, "cagr_pct": 69.19283947678252, "max_drawdown_pct": 83.5648405959774, "mean_exposure_while_solvent": 1.212879055221388, "realized_annual_volatility_pct": 74.61633585238705, "trading_costs_quote_units": 10545.730447731903, "borrowing_costs_quote_units": 19103.118098404295, "price_pnl_quote_units": 489416.627895565, "turnover_quote_units": 17576217.412886497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 477491.95117923286, "return_pct": 4674.919511792328, "cagr_pct": 69.57018933935677, "max_drawdown_pct": 84.22715221213808, "mean_exposure_while_solvent": 1.239378114900192, "realized_annual_volatility_pct": 75.97180748092093, "trading_costs_quote_units": 10871.389030583814, "borrowing_costs_quote_units": 21163.188767424344, "price_pnl_quote_units": 499526.52897724253, "turnover_quote_units": 18118981.71763969, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1323, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 484084.935772551, "return_pct": 4740.84935772551, "cagr_pct": 69.88813073244945, "max_drawdown_pct": 84.79974937747015, "mean_exposure_while_solvent": 1.2741233923690196, "realized_annual_volatility_pct": 78.2679057497588, "trading_costs_quote_units": 11541.889542201567, "borrowing_costs_quote_units": 26462.154556100857, "price_pnl_quote_units": 512088.97987085517, "turnover_quote_units": 19236482.570335925, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1502, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 546544.3243873937, "return_pct": 5365.443243873936, "cagr_pct": 72.7278892085884, "max_drawdown_pct": 82.67396300539384, "mean_exposure_while_solvent": 1.196180472805027, "realized_annual_volatility_pct": 74.00796873269705, "trading_costs_quote_units": 10307.81455854549, "borrowing_costs_quote_units": 19945.410363986994, "price_pnl_quote_units": 566797.5493099245, "turnover_quote_units": 17179690.93090918, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1091, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 517446.6138307427, "return_pct": 5074.466138307427, "cagr_pct": 71.44184546247358, "max_drawdown_pct": 83.1503171885599, "mean_exposure_while_solvent": 1.2178258412298086, "realized_annual_volatility_pct": 75.24448526809807, "trading_costs_quote_units": 10061.338576142316, "borrowing_costs_quote_units": 20646.43912182474, "price_pnl_quote_units": 538154.3915287068, "turnover_quote_units": 16768897.626903832, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 604005.3330613619, "return_pct": 5940.0533306136185, "cagr_pct": 75.10279495629702, "max_drawdown_pct": 82.42171279030643, "mean_exposure_while_solvent": 1.2497384077565523, "realized_annual_volatility_pct": 77.34449215239748, "trading_costs_quote_units": 11737.970410627426, "borrowing_costs_quote_units": 28233.942843177065, "price_pnl_quote_units": 633977.2463151674, "turnover_quote_units": 19563284.017712377, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 539056.8556374437, "return_pct": 5290.568556374437, "cagr_pct": 72.40271893057762, "max_drawdown_pct": 83.28905332027858, "mean_exposure_while_solvent": 1.1847716788586053, "realized_annual_volatility_pct": 73.46569569955759, "trading_costs_quote_units": 9721.917403231942, "borrowing_costs_quote_units": 18252.65979761334, "price_pnl_quote_units": 557031.4328382886, "turnover_quote_units": 16203195.67205323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1028, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 523483.8181642484, "return_pct": 5134.838181642484, "cagr_pct": 71.71371834052648, "max_drawdown_pct": 83.74849649000218, "mean_exposure_while_solvent": 1.2045596385669877, "realized_annual_volatility_pct": 74.6042646084559, "trading_costs_quote_units": 9735.326631139966, "borrowing_costs_quote_units": 19511.4939709506, "price_pnl_quote_units": 542730.638766337, "turnover_quote_units": 16225544.385233274, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 619041.5840853453, "return_pct": 6090.415840853453, "cagr_pct": 75.69194632303582, "max_drawdown_pct": 83.04575822079414, "mean_exposure_while_solvent": 1.2357171204485373, "realized_annual_volatility_pct": 76.6644721242267, "trading_costs_quote_units": 11385.975797361893, "borrowing_costs_quote_units": 26991.07425860732, "price_pnl_quote_units": 647418.6341413179, "turnover_quote_units": 18976626.328936495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 100083.23657634764, "return_pct": 900.8323657634763, "cagr_pct": 36.97805428500205, "max_drawdown_pct": 90.10044489553934, "mean_exposure_while_solvent": 1.2820688722289924, "realized_annual_volatility_pct": 81.7555209087264, "trading_costs_quote_units": 3050.6980190013514, "borrowing_costs_quote_units": 7624.80823111405, "price_pnl_quote_units": 100758.74282646253, "turnover_quote_units": 5084496.698335592, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1548, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 445745.73175911204, "return_pct": 4357.45731759112, "cagr_pct": 67.98403301985903, "max_drawdown_pct": 83.20158188309298, "mean_exposure_while_solvent": 1.2173252304742164, "realized_annual_volatility_pct": 75.591214860558, "trading_costs_quote_units": 9872.561159788047, "borrowing_costs_quote_units": 20366.154451848117, "price_pnl_quote_units": 465984.4473707523, "turnover_quote_units": 16454268.599646745, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-6bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-6bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 434577.05530710705, "return_pct": 4245.77055307107, "cagr_pct": 67.40275423144342, "max_drawdown_pct": 83.66865239185832, "mean_exposure_while_solvent": 1.2128974247946684, "realized_annual_volatility_pct": 74.61782279272279, "trading_costs_quote_units": 9981.789732029087, "borrowing_costs_quote_units": 36168.6787636694, "price_pnl_quote_units": 470727.5238028062, "turnover_quote_units": 16636316.22004845, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 437452.74453253334, "return_pct": 4274.527445325334, "cagr_pct": 67.55364279937707, "max_drawdown_pct": 84.35373071101846, "mean_exposure_while_solvent": 1.2393988195952352, "realized_annual_volatility_pct": 75.97347775659263, "trading_costs_quote_units": 10208.093799432436, "borrowing_costs_quote_units": 39784.60618367323, "price_pnl_quote_units": 477445.4445156428, "turnover_quote_units": 17013489.665720746, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1323, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 437880.7405300768, "return_pct": 4278.807405300768, "cagr_pct": 67.57602665876573, "max_drawdown_pct": 84.92026474525014, "mean_exposure_while_solvent": 1.2741470718433394, "realized_annual_volatility_pct": 78.26988139598663, "trading_costs_quote_units": 10725.183748897503, "borrowing_costs_quote_units": 49274.252364199165, "price_pnl_quote_units": 487880.176643176, "turnover_quote_units": 17875306.248162527, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1502, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 508708.0979166135, "return_pct": 4987.080979166135, "cagr_pct": 71.04343297670638, "max_drawdown_pct": 82.76198318771193, "mean_exposure_while_solvent": 1.1961974105565147, "realized_annual_volatility_pct": 74.00927742005518, "trading_costs_quote_units": 9786.20779944043, "borrowing_costs_quote_units": 37889.4569196307, "price_pnl_quote_units": 546383.762635686, "turnover_quote_units": 16310346.33240073, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1091, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 477811.85178689, "return_pct": 4678.1185178689, "cagr_pct": 69.5857035196155, "max_drawdown_pct": 83.2612590937154, "mean_exposure_while_solvent": 1.2178446998627137, "realized_annual_volatility_pct": 75.24599782688959, "trading_costs_quote_units": 9492.659083287406, "borrowing_costs_quote_units": 38998.62601639773, "price_pnl_quote_units": 516303.136886573, "turnover_quote_units": 15821098.47214568, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 551264.7151117785, "return_pct": 5412.647151117785, "cagr_pct": 72.93091784163973, "max_drawdown_pct": 82.52828555495395, "mean_exposure_while_solvent": 1.249759996164866, "realized_annual_volatility_pct": 77.34621400738503, "trading_costs_quote_units": 10955.934565338885, "borrowing_costs_quote_units": 52807.8819777893, "price_pnl_quote_units": 605028.5316549116, "turnover_quote_units": 18259890.94223144, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 503837.2623192013, "return_pct": 4938.372623192013, "cagr_pct": 70.81878667647527, "max_drawdown_pct": 83.35926986179902, "mean_exposure_while_solvent": 1.184787640636207, "realized_annual_volatility_pct": 73.46693088514306, "trading_costs_quote_units": 9251.459051168735, "borrowing_costs_quote_units": 34768.507829102906, "price_pnl_quote_units": 537857.2291994691, "turnover_quote_units": 15419098.418614542, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1028, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 485737.8464670746, "return_pct": 4757.378464670746, "cagr_pct": 69.96725459282543, "max_drawdown_pct": 83.84124616491913, "mean_exposure_while_solvent": 1.2045773639474129, "realized_annual_volatility_pct": 74.60567991876444, "trading_costs_quote_units": 9212.46612251756, "borrowing_costs_quote_units": 36979.81539397663, "price_pnl_quote_units": 521930.12798356736, "turnover_quote_units": 15354110.204195932, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 567893.1941716493, "return_pct": 5578.9319417164925, "cagr_pct": 73.63436823252644, "max_drawdown_pct": 83.13366970819607, "mean_exposure_while_solvent": 1.2357375102356483, "realized_annual_volatility_pct": 76.66608668814237, "trading_costs_quote_units": 10660.309650760697, "borrowing_costs_quote_units": 50657.00070314405, "price_pnl_quote_units": 619210.5045255497, "turnover_quote_units": 17767182.75126782, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 90255.73683983888, "return_pct": 802.5573683983888, "cagr_pct": 35.05772200481014, "max_drawdown_pct": 90.36957377441347, "mean_exposure_while_solvent": 1.2820931141354248, "realized_annual_volatility_pct": 81.75875886036353, "trading_costs_quote_units": 2866.966947377464, "borrowing_costs_quote_units": 14301.58125343175, "price_pnl_quote_units": 97424.28504064948, "turnover_quote_units": 4778278.245629106, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1548, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 411643.2103798988, "return_pct": 4016.432103798988, "cagr_pct": 66.1675434005742, "max_drawdown_pct": 83.31316258988006, "mean_exposure_while_solvent": 1.2173440854846684, "realized_annual_volatility_pct": 75.59284053077964, "trading_costs_quote_units": 9328.197509476002, "borrowing_costs_quote_units": 38523.90456786656, "price_pnl_quote_units": 449495.3124572441, "turnover_quote_units": 15546995.849126684, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-6bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-6bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 371890.1377329334, "return_pct": 3618.901377329334, "cagr_pct": 63.87820840746075, "max_drawdown_pct": 83.87437120912728, "mean_exposure_while_solvent": 1.2129341720658475, "realized_annual_volatility_pct": 74.62082563045053, "trading_costs_quote_units": 8952.390479415455, "borrowing_costs_quote_units": 64892.34385679879, "price_pnl_quote_units": 435734.8720691489, "turnover_quote_units": 14920650.799025744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 367146.6764158611, "return_pct": 3571.466764158611, "cagr_pct": 63.59108961194329, "max_drawdown_pct": 84.60391862108591, "mean_exposure_while_solvent": 1.2394402381964595, "realized_annual_volatility_pct": 75.97684739727453, "trading_costs_quote_units": 9012.2600303694, "borrowing_costs_quote_units": 70387.97510583184, "price_pnl_quote_units": 436546.9115520623, "turnover_quote_units": 15020433.383948997, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1323, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 358260.94012832106, "return_pct": 3482.609401283211, "cagr_pct": 63.04451175163513, "max_drawdown_pct": 85.15850326364323, "mean_exposure_while_solvent": 1.2741944412950739, "realized_annual_volatility_pct": 78.27386096266038, "trading_costs_quote_units": 9274.915959275704, "borrowing_costs_quote_units": 85556.09194551286, "price_pnl_quote_units": 443091.9480331067, "turnover_quote_units": 15458193.265459497, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1502, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 440694.3741771433, "return_pct": 4306.943741771433, "cagr_pct": 67.72270902773056, "max_drawdown_pct": 82.93673430398599, "mean_exposure_while_solvent": 1.1962312935615538, "realized_annual_volatility_pct": 74.01192316170614, "trading_costs_quote_units": 8828.408005820422, "borrowing_costs_quote_units": 68418.98118164645, "price_pnl_quote_units": 507941.7633646082, "turnover_quote_units": 14714013.343034068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1091, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 407398.98714825255, "return_pct": 3973.9898714825254, "cagr_pct": 65.93246077740437, "max_drawdown_pct": 83.48101841761321, "mean_exposure_while_solvent": 1.2178824255379757, "realized_annual_volatility_pct": 75.249051789165, "trading_costs_quote_units": 8458.742831527896, "borrowing_costs_quote_units": 69638.46057835389, "price_pnl_quote_units": 475496.19055813644, "turnover_quote_units": 14097904.71921316, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 459173.03326027154, "return_pct": 4491.730332602715, "cagr_pct": 68.66644328728259, "max_drawdown_pct": 82.73955634658363, "mean_exposure_while_solvent": 1.249803182574977, "realized_annual_volatility_pct": 77.34968640411934, "trading_costs_quote_units": 9555.422532988832, "borrowing_costs_quote_units": 92473.89667591028, "price_pnl_quote_units": 551202.3524691678, "turnover_quote_units": 15925704.22164805, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 440134.1898950689, "return_pct": 4301.341898950689, "cagr_pct": 67.6935696941938, "max_drawdown_pct": 83.49885943667125, "mean_exposure_while_solvent": 1.1848195712701475, "realized_annual_volatility_pct": 73.46942913181964, "trading_costs_quote_units": 8384.102272268012, "borrowing_costs_quote_units": 63120.74700019827, "price_pnl_quote_units": 501639.03916753887, "turnover_quote_units": 13973503.787113352, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1028, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 418196.91831889993, "return_pct": 4081.969183188999, "cagr_pct": 66.52646730733744, "max_drawdown_pct": 84.02521288069265, "mean_exposure_while_solvent": 1.204612822626548, "realized_annual_volatility_pct": 74.60853908691941, "trading_costs_quote_units": 8257.19619934773, "borrowing_costs_quote_units": 66474.82307174159, "price_pnl_quote_units": 482928.9375899863, "turnover_quote_units": 13761993.665579524, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 477902.14243820985, "return_pct": 4679.021424382098, "cagr_pct": 69.59008071135693, "max_drawdown_pct": 83.30817722793986, "mean_exposure_while_solvent": 1.2357782988834816, "realized_annual_volatility_pct": 76.66934459244405, "trading_costs_quote_units": 9354.181955566975, "borrowing_costs_quote_units": 89307.78054712154, "price_pnl_quote_units": 566564.1049408953, "turnover_quote_units": 15590303.259278296, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 73396.63161143876, "return_pct": 633.9663161143876, "cagr_pct": 31.296386281998373, "max_drawdown_pct": 90.88622633192709, "mean_exposure_while_solvent": 1.282141608560323, "realized_annual_volatility_pct": 81.76526263615828, "trading_costs_quote_units": 2538.468184798943, "borrowing_costs_quote_units": 25217.464974101556, "price_pnl_quote_units": 91152.56477033984, "turnover_quote_units": 4230780.307998229, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1548, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 351049.6263654983, "return_pct": 3410.4962636549826, "cagr_pct": 62.59225820980945, "max_drawdown_pct": 83.53417159803848, "mean_exposure_while_solvent": 1.2173818039536455, "realized_annual_volatility_pct": 75.59612074667473, "trading_costs_quote_units": 8337.008514493951, "borrowing_costs_quote_units": 68987.50305185241, "price_pnl_quote_units": 418374.1379318437, "turnover_quote_units": 13895014.190823242, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-6bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-6bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 442919.45270763023, "return_pct": 4329.194527076303, "cagr_pct": 67.83813695924887, "max_drawdown_pct": 83.61641317171625, "mean_exposure_while_solvent": 1.2126242673576013, "realized_annual_volatility_pct": 74.65857864901893, "trading_costs_quote_units": 9964.048487226668, "borrowing_costs_quote_units": 18130.655303270243, "price_pnl_quote_units": 461014.1564981263, "turnover_quote_units": 16606747.478711091, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 475694.7197440888, "return_pct": 4656.947197440888, "cagr_pct": 69.48286202598419, "max_drawdown_pct": 84.31343958099019, "mean_exposure_while_solvent": 1.2386612523766527, "realized_annual_volatility_pct": 75.94576537376565, "trading_costs_quote_units": 10614.383069086443, "borrowing_costs_quote_units": 20656.915999685716, "price_pnl_quote_units": 496966.01881286193, "turnover_quote_units": 17690638.44847744, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1327, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 479947.15365308715, "return_pct": 4699.471536530871, "cagr_pct": 69.6890298845463, "max_drawdown_pct": 85.0697641027278, "mean_exposure_while_solvent": 1.273619563806, "realized_annual_volatility_pct": 78.26251780318611, "trading_costs_quote_units": 11503.554976953872, "borrowing_costs_quote_units": 26331.05656184762, "price_pnl_quote_units": 507781.76519188925, "turnover_quote_units": 19172591.628256466, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1506, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 535084.3113153763, "return_pct": 5250.843113153764, "cagr_pct": 72.2286104282286, "max_drawdown_pct": 82.30973440590515, "mean_exposure_while_solvent": 1.1959402270842219, "realized_annual_volatility_pct": 74.01931257480021, "trading_costs_quote_units": 10072.137984350013, "borrowing_costs_quote_units": 19618.648979637095, "price_pnl_quote_units": 554775.0982793658, "turnover_quote_units": 16786896.64058334, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 537766.5925779948, "return_pct": 5277.665925779948, "cagr_pct": 72.34629116117803, "max_drawdown_pct": 82.87703113104111, "mean_exposure_while_solvent": 1.2171240950435067, "realized_annual_volatility_pct": 75.18505791219798, "trading_costs_quote_units": 10222.229396643896, "borrowing_costs_quote_units": 20999.448177222836, "price_pnl_quote_units": 558988.2701518631, "turnover_quote_units": 17037048.994406488, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 620481.1255847181, "return_pct": 6104.81125584718, "cagr_pct": 75.74770038816668, "max_drawdown_pct": 82.52472997108582, "mean_exposure_while_solvent": 1.2492421368498412, "realized_annual_volatility_pct": 77.30100431745505, "trading_costs_quote_units": 12074.976509873777, "borrowing_costs_quote_units": 29014.51032208049, "price_pnl_quote_units": 651570.6124166694, "turnover_quote_units": 20124960.849789612, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1370, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 527919.443243671, "return_pct": 5179.19443243671, "cagr_pct": 71.9117475583692, "max_drawdown_pct": 82.93359632955845, "mean_exposure_while_solvent": 1.1845172796950254, "realized_annual_volatility_pct": 73.50220218643706, "trading_costs_quote_units": 9461.050219798502, "borrowing_costs_quote_units": 17828.810548168534, "price_pnl_quote_units": 545209.3040116365, "turnover_quote_units": 15768417.032997498, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1032, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 539568.0943615736, "return_pct": 5295.6809436157355, "cagr_pct": 72.42504495676188, "max_drawdown_pct": 83.48088686403872, "mean_exposure_while_solvent": 1.20385946683794, "realized_annual_volatility_pct": 74.57093771639009, "trading_costs_quote_units": 9775.731536997868, "borrowing_costs_quote_units": 19527.249624938147, "price_pnl_quote_units": 558871.0755235086, "turnover_quote_units": 16292885.894996462, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 631126.9801918132, "return_pct": 6211.2698019181325, "cagr_pct": 76.15658700060403, "max_drawdown_pct": 83.14100989738829, "mean_exposure_while_solvent": 1.2352174933451077, "realized_annual_volatility_pct": 76.64200693557804, "trading_costs_quote_units": 11589.723810507796, "borrowing_costs_quote_units": 27318.907312906536, "price_pnl_quote_units": 660035.6113152277, "turnover_quote_units": 19316206.35084636, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1293, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 101465.31185235377, "return_pct": 914.6531185235377, "cagr_pct": 37.23491790046504, "max_drawdown_pct": 90.37133063109067, "mean_exposure_while_solvent": 1.2823541835645096, "realized_annual_volatility_pct": 81.26969671629563, "trading_costs_quote_units": 3184.5140270999314, "borrowing_costs_quote_units": 7884.440221543509, "price_pnl_quote_units": 102534.26610099833, "turnover_quote_units": 5307523.378499885, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 451428.8046707334, "return_pct": 4414.288046707334, "cagr_pct": 68.27499874866677, "max_drawdown_pct": 84.12913798322212, "mean_exposure_while_solvent": 1.2170667298517213, "realized_annual_volatility_pct": 75.76850845334647, "trading_costs_quote_units": 10177.143321850112, "borrowing_costs_quote_units": 20918.77785985965, "price_pnl_quote_units": 472524.72585244727, "turnover_quote_units": 16961905.536416866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-6bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-6bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 409738.6768116402, "return_pct": 3997.3867681164024, "cagr_pct": 66.06231358130816, "max_drawdown_pct": 83.72028171571063, "mean_exposure_while_solvent": 1.212642482742956, "realized_annual_volatility_pct": 74.65987242757852, "trading_costs_quote_units": 9435.350097820565, "borrowing_costs_quote_units": 34338.92018232727, "price_pnl_quote_units": 443512.94709178625, "turnover_quote_units": 15725583.496367611, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 435871.26145536033, "return_pct": 4258.712614553603, "cagr_pct": 67.4707681010778, "max_drawdown_pct": 84.4396964455645, "mean_exposure_while_solvent": 1.2386816859368757, "realized_annual_volatility_pct": 75.94718568932959, "trading_costs_quote_units": 9970.29602443625, "borrowing_costs_quote_units": 38840.46996964704, "price_pnl_quote_units": 474682.02744944434, "turnover_quote_units": 16617160.040727057, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1327, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 434172.2918775747, "return_pct": 4241.7229187757475, "cagr_pct": 67.3814469691011, "max_drawdown_pct": 85.18852902471072, "mean_exposure_while_solvent": 1.2736430208039202, "realized_annual_volatility_pct": 78.26424029530989, "trading_costs_quote_units": 10692.262532091785, "borrowing_costs_quote_units": 49037.63960225746, "price_pnl_quote_units": 483902.19401192374, "turnover_quote_units": 17820437.55348634, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1506, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 498044.04102607357, "return_pct": 4880.440410260736, "cagr_pct": 70.5491448822248, "max_drawdown_pct": 82.39992830911778, "mean_exposure_while_solvent": 1.195957012523904, "realized_annual_volatility_pct": 74.02041145343105, "trading_costs_quote_units": 9564.157945088584, "borrowing_costs_quote_units": 37272.453461915284, "price_pnl_quote_units": 534880.6524330715, "turnover_quote_units": 15940263.241814302, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 496654.1307533815, "return_pct": 4866.541307533815, "cagr_pct": 70.48404978690674, "max_drawdown_pct": 82.99009917343925, "mean_exposure_while_solvent": 1.2171426843923454, "realized_annual_volatility_pct": 75.18630511371398, "trading_costs_quote_units": 9645.660807343116, "borrowing_costs_quote_units": 39664.544012403014, "price_pnl_quote_units": 535964.3355731276, "turnover_quote_units": 16076101.345571866, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 566351.1266701024, "return_pct": 5563.5112667010235, "cagr_pct": 73.56988631206069, "max_drawdown_pct": 82.63109083826407, "mean_exposure_while_solvent": 1.2492635033959731, "realized_annual_volatility_pct": 77.3024667592106, "trading_costs_quote_units": 11271.27660280661, "borrowing_costs_quote_units": 54266.31474400471, "price_pnl_quote_units": 621888.718016918, "turnover_quote_units": 18785461.00467769, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1370, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 493430.12454251555, "return_pct": 4834.301245425156, "cagr_pct": 70.33244890633648, "max_drawdown_pct": 83.00561266846002, "mean_exposure_while_solvent": 1.1845330870927016, "realized_annual_volatility_pct": 73.50324804412153, "trading_costs_quote_units": 9004.470923628685, "borrowing_costs_quote_units": 33963.05497786124, "price_pnl_quote_units": 526397.6504440049, "turnover_quote_units": 15007451.539381132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1032, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 500740.8177228604, "return_pct": 4907.408177228604, "cagr_pct": 70.67499966302906, "max_drawdown_pct": 83.57547354381451, "mean_exposure_while_solvent": 1.2038769229485549, "realized_annual_volatility_pct": 74.57211079632444, "trading_costs_quote_units": 9251.550923645196, "borrowing_costs_quote_units": 37007.802769335896, "price_pnl_quote_units": 537000.1714158404, "turnover_quote_units": 15419251.539408669, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 579029.4535259245, "return_pct": 5690.294535259245, "cagr_pct": 74.0955972379312, "max_drawdown_pct": 83.22882002953487, "mean_exposure_while_solvent": 1.2352376613344325, "realized_annual_volatility_pct": 76.64338523200902, "trading_costs_quote_units": 10851.318706631, "borrowing_costs_quote_units": 51268.82250369328, "price_pnl_quote_units": 631149.5947362516, "turnover_quote_units": 18085531.177718323, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1293, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 91490.03274036625, "return_pct": 814.9003274036625, "cagr_pct": 35.30854648841593, "max_drawdown_pct": 90.6329121224261, "mean_exposure_while_solvent": 1.282378413495778, "realized_annual_volatility_pct": 81.27244924673913, "trading_costs_quote_units": 2993.3571787425776, "borrowing_costs_quote_units": 14791.594957487267, "price_pnl_quote_units": 99274.9848765948, "turnover_quote_units": 4988928.631237628, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 416900.27327971347, "return_pct": 4069.0027327971343, "cagr_pct": 66.4558418172837, "max_drawdown_pct": 84.23466957322756, "mean_exposure_while_solvent": 1.217085343367962, "realized_annual_volatility_pct": 75.76995515948806, "trading_costs_quote_units": 9618.266565508, "borrowing_costs_quote_units": 39577.5181269028, "price_pnl_quote_units": 456096.057972127, "turnover_quote_units": 16030444.275846668, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-6bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-6bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 350632.5925685349, "return_pct": 3406.3259256853494, "cagr_pct": 62.565859583797476, "max_drawdown_pct": 83.92610383642898, "mean_exposure_while_solvent": 1.2126789214380866, "realized_annual_volatility_pct": 74.66248897570694, "trading_costs_quote_units": 8469.995307881429, "borrowing_costs_quote_units": 61651.65103494575, "price_pnl_quote_units": 410754.2389113665, "turnover_quote_units": 14116658.846469047, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 365928.8777634199, "return_pct": 3559.288777634199, "cagr_pct": 63.516860522218806, "max_drawdown_pct": 84.68923790984874, "mean_exposure_while_solvent": 1.2387225619410187, "realized_annual_volatility_pct": 75.95005551165886, "trading_costs_quote_units": 8808.693953946544, "borrowing_costs_quote_units": 68745.38333697646, "price_pnl_quote_units": 433482.95505434263, "turnover_quote_units": 14681156.589910898, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1327, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 355283.4654625158, "return_pct": 3452.834654625158, "cagr_pct": 62.85874237171085, "max_drawdown_pct": 85.42329640486898, "mean_exposure_while_solvent": 1.2736899450282377, "realized_annual_volatility_pct": 78.26771362663143, "trading_costs_quote_units": 9251.255014505607, "borrowing_costs_quote_units": 85172.35863577914, "price_pnl_quote_units": 439707.07911279943, "turnover_quote_units": 15418758.357509328, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1506, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 431460.7326773644, "return_pct": 4214.607326773644, "cagr_pct": 67.23826310519931, "max_drawdown_pct": 82.57898801639271, "mean_exposure_while_solvent": 1.195990590706015, "realized_annual_volatility_pct": 74.02263755966084, "trading_costs_quote_units": 8631.29472301307, "borrowing_costs_quote_units": 67318.31858817248, "price_pnl_quote_units": 497410.3459885508, "turnover_quote_units": 14385491.205021778, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 423599.20266370755, "return_pct": 4135.9920266370755, "cagr_pct": 66.81869840054908, "max_drawdown_pct": 83.21406160927205, "mean_exposure_while_solvent": 1.2171798711729724, "realized_annual_volatility_pct": 75.18882840492597, "trading_costs_quote_units": 8597.18703174863, "borrowing_costs_quote_units": 70823.89550686, "price_pnl_quote_units": 493020.28520231746, "turnover_quote_units": 14328645.052914398, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 471821.70126628963, "return_pct": 4618.217012662896, "cagr_pct": 69.29369978739194, "max_drawdown_pct": 82.84193224391018, "mean_exposure_while_solvent": 1.2493062458073907, "realized_annual_volatility_pct": 77.30542037089441, "trading_costs_quote_units": 9831.795087073851, "borrowing_costs_quote_units": 95021.86832351299, "price_pnl_quote_units": 566675.3646768734, "turnover_quote_units": 16386325.145123094, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1370, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 431047.4954340309, "return_pct": 4210.474954340309, "cagr_pct": 67.216373932153, "max_drawdown_pct": 83.1487743332006, "mean_exposure_while_solvent": 1.1845647087661795, "realized_annual_volatility_pct": 73.50536765129185, "trading_costs_quote_units": 8162.721147233589, "borrowing_costs_quote_units": 61665.521748120875, "price_pnl_quote_units": 490875.73832938797, "turnover_quote_units": 13604535.245389333, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1032, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 431249.12716069224, "return_pct": 4212.491271606923, "cagr_pct": 67.22705662527962, "max_drawdown_pct": 83.7630766733118, "mean_exposure_while_solvent": 1.203911842761495, "realized_annual_volatility_pct": 74.57448555902981, "trading_costs_quote_units": 8293.74988013417, "borrowing_costs_quote_units": 66518.04382198714, "price_pnl_quote_units": 496060.9208628133, "turnover_quote_units": 13822916.466890283, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 487357.2695225431, "return_pct": 4773.572695225431, "cagr_pct": 70.04455028768466, "max_drawdown_pct": 83.40311848495527, "mean_exposure_while_solvent": 1.2352780061125306, "realized_annual_volatility_pct": 76.64617066431101, "trading_costs_quote_units": 9522.217786394593, "borrowing_costs_quote_units": 90373.84976392696, "price_pnl_quote_units": 577253.33707287, "turnover_quote_units": 15870362.977324307, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1293, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 74380.81477903017, "return_pct": 643.8081477903017, "cagr_pct": 31.53550194403388, "max_drawdown_pct": 91.13508619183358, "mean_exposure_while_solvent": 1.282426883919742, "realized_annual_volatility_pct": 81.27798189746645, "trading_costs_quote_units": 2651.4765528725893, "borrowing_costs_quote_units": 26092.597798478364, "price_pnl_quote_units": 93124.88913038098, "turnover_quote_units": 4419127.58812099, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 6, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 355548.3435884306, "return_pct": 3455.483435884306, "cagr_pct": 62.875322898774776, "max_drawdown_pct": 84.44368928950223, "mean_exposure_while_solvent": 1.2171225785273156, "realized_annual_volatility_pct": 75.77287741608154, "trading_costs_quote_units": 8600.063330561672, "borrowing_costs_quote_units": 70904.39728057879, "price_pnl_quote_units": 425052.80419957364, "turnover_quote_units": 14333438.884269446, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-6bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-6bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 395958.5043875158, "return_pct": 3859.5850438751577, "cagr_pct": 65.28808756243194, "max_drawdown_pct": 83.95771744214825, "mean_exposure_while_solvent": 1.212879055221388, "realized_annual_volatility_pct": 74.61517807889037, "trading_costs_quote_units": 46812.34406707268, "borrowing_costs_quote_units": 16962.46641566148, "price_pnl_quote_units": 449733.3148702506, "turnover_quote_units": 15604114.689024238, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 404426.4490145091, "return_pct": 3944.2644901450913, "cagr_pct": 65.76655299568297, "max_drawdown_pct": 84.58549785048854, "mean_exposure_while_solvent": 1.239378114900192, "realized_annual_volatility_pct": 75.96781350066674, "trading_costs_quote_units": 48468.903984983524, "borrowing_costs_quote_units": 18907.392186986042, "price_pnl_quote_units": 461802.74518647796, "turnover_quote_units": 16156301.328327857, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1323, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 413689.3793240456, "return_pct": 4036.8937932404565, "cagr_pct": 66.28013151844574, "max_drawdown_pct": 85.10979192988451, "mean_exposure_while_solvent": 1.2741233923690196, "realized_annual_volatility_pct": 78.26680002391726, "trading_costs_quote_units": 51806.598903214595, "borrowing_costs_quote_units": 23832.727519753218, "price_pnl_quote_units": 479328.7057470127, "turnover_quote_units": 17268866.301071517, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1502, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 470938.4402578218, "return_pct": 4609.384402578218, "cagr_pct": 69.25037274176702, "max_drawdown_pct": 82.99230628121363, "mean_exposure_while_solvent": 1.196180472805027, "realized_annual_volatility_pct": 74.00650931372076, "trading_costs_quote_units": 46325.486150438606, "borrowing_costs_quote_units": 17941.305533850158, "price_pnl_quote_units": 525205.2319421085, "turnover_quote_units": 15441828.716812862, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1091, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 446171.3007562483, "return_pct": 4361.713007562483, "cagr_pct": 68.0059321949051, "max_drawdown_pct": 83.43814915597164, "mean_exposure_while_solvent": 1.2178258412298086, "realized_annual_volatility_pct": 75.23954388598109, "trading_costs_quote_units": 45289.98732030256, "borrowing_costs_quote_units": 18621.932432407124, "price_pnl_quote_units": 500083.2205089587, "turnover_quote_units": 15096662.44010086, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 525862.3607833828, "return_pct": 5158.623607833828, "cagr_pct": 71.82008811907478, "max_drawdown_pct": 82.67507331652276, "mean_exposure_while_solvent": 1.2497384077565523, "realized_annual_volatility_pct": 77.342121942214, "trading_costs_quote_units": 53155.97429379179, "borrowing_costs_quote_units": 25652.672546194073, "price_pnl_quote_units": 594671.0076233741, "turnover_quote_units": 17718658.097930595, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 467654.7521452856, "return_pct": 4576.547521452856, "cagr_pct": 69.08867861011841, "max_drawdown_pct": 83.58752803627513, "mean_exposure_while_solvent": 1.1847716788586053, "realized_annual_volatility_pct": 73.46486782941862, "trading_costs_quote_units": 43871.43501230774, "borrowing_costs_quote_units": 16499.760321168298, "price_pnl_quote_units": 518025.9474787615, "turnover_quote_units": 14623811.670769244, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1028, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 455763.34993990266, "return_pct": 4457.633499399027, "cagr_pct": 68.4948032254261, "max_drawdown_pct": 84.0177676562484, "mean_exposure_while_solvent": 1.2045596385669877, "realized_annual_volatility_pct": 74.59974670455453, "trading_costs_quote_units": 44123.46185791788, "borrowing_costs_quote_units": 17733.29879677477, "price_pnl_quote_units": 507620.11059459235, "turnover_quote_units": 14707820.619305948, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 544294.0210890193, "return_pct": 5342.940210890192, "cagr_pct": 72.63056805403949, "max_drawdown_pct": 83.28139733889508, "mean_exposure_while_solvent": 1.2357171204485373, "realized_annual_volatility_pct": 76.66316323548874, "trading_costs_quote_units": 51913.63389663761, "borrowing_costs_quote_units": 24705.001072569645, "price_pnl_quote_units": 610912.6560582279, "turnover_quote_units": 17304544.632212523, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 85436.74129330275, "return_pct": 754.3674129330276, "cagr_pct": 34.049186926061886, "max_drawdown_pct": 90.44567365165307, "mean_exposure_while_solvent": 1.2820688722289924, "realized_annual_volatility_pct": 81.75063108160752, "trading_costs_quote_units": 13823.83921316822, "borrowing_costs_quote_units": 6889.103999680987, "price_pnl_quote_units": 96149.68450615175, "turnover_quote_units": 4607946.4043894, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1548, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.05, "ending_quote_units": 384666.91042182106, "return_pct": 3746.6691042182106, "cagr_pct": 64.63614040848327, "max_drawdown_pct": 83.46575231189223, "mean_exposure_while_solvent": 1.2173252304742164, "realized_annual_volatility_pct": 75.59369714125862, "trading_costs_quote_units": 44608.06301805976, "borrowing_costs_quote_units": 18440.12885575484, "price_pnl_quote_units": 437715.1022956358, "turnover_quote_units": 14869354.339353234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-30bps-1bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-30bps-1bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 366296.03622773255, "return_pct": 3562.960362277325, "cagr_pct": 63.53926254603053, "max_drawdown_pct": 84.0591212649986, "mean_exposure_while_solvent": 1.2128974247946684, "realized_annual_volatility_pct": 74.61669821323935, "trading_costs_quote_units": 44344.68530212784, "borrowing_costs_quote_units": 32140.14010997245, "price_pnl_quote_units": 432780.8616398329, "turnover_quote_units": 14781561.767375937, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 370512.5666678805, "return_pct": 3605.125666678805, "cagr_pct": 63.79515222170697, "max_drawdown_pct": 84.7092955337692, "mean_exposure_while_solvent": 1.2393988195952352, "realized_annual_volatility_pct": 75.96951658344192, "trading_costs_quote_units": 45550.74307973351, "borrowing_costs_quote_units": 35573.67678299418, "price_pnl_quote_units": 441636.98653060873, "turnover_quote_units": 15183581.026577853, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1323, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 374202.4568222996, "return_pct": 3642.024568222995, "cagr_pct": 64.01702692338861, "max_drawdown_pct": 85.2279409346175, "mean_exposure_while_solvent": 1.2741470718433394, "realized_annual_volatility_pct": 78.268810425956, "trading_costs_quote_units": 48182.054940642454, "borrowing_costs_quote_units": 44417.906099144675, "price_pnl_quote_units": 456802.41786208824, "turnover_quote_units": 16060684.980214166, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1502, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 438336.410527661, "return_pct": 4283.36410527661, "cagr_pct": 67.59983709497955, "max_drawdown_pct": 83.07877463715761, "mean_exposure_while_solvent": 1.1961974105565147, "realized_annual_volatility_pct": 74.00785000490998, "trading_costs_quote_units": 44007.40794681722, "borrowing_costs_quote_units": 34101.13799463838, "price_pnl_quote_units": 506444.9564691189, "turnover_quote_units": 14669135.982272426, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1091, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 411994.76956397854, "return_pct": 4019.9476956397853, "cagr_pct": 66.18692187206972, "max_drawdown_pct": 83.54728113287062, "mean_exposure_while_solvent": 1.2178446998627137, "realized_annual_volatility_pct": 75.2410885656343, "trading_costs_quote_units": 42757.952061344215, "borrowing_costs_quote_units": 35196.461187929126, "price_pnl_quote_units": 479949.1828132531, "turnover_quote_units": 14252650.68711474, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 479943.9578609306, "return_pct": 4699.4395786093055, "cagr_pct": 69.688875538321, "max_drawdown_pct": 82.7801890585239, "mean_exposure_while_solvent": 1.249759996164866, "realized_annual_volatility_pct": 77.34387792412889, "trading_costs_quote_units": 49644.70144653367, "borrowing_costs_quote_units": 48010.43605183057, "price_pnl_quote_units": 567599.0953592962, "turnover_quote_units": 16548233.815511234, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 437100.4404815116, "return_pct": 4271.004404815116, "cagr_pct": 67.53520337762015, "max_drawdown_pct": 83.65656310492591, "mean_exposure_while_solvent": 1.184787640636207, "realized_annual_volatility_pct": 73.46613494522552, "trading_costs_quote_units": 41770.66839819338, "borrowing_costs_quote_units": 31444.855085607593, "price_pnl_quote_units": 500315.96396531566, "turnover_quote_units": 13923556.132731132, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1028, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 422899.23708207684, "return_pct": 4128.992370820768, "cagr_pct": 66.78101655343616, "max_drawdown_pct": 84.10907208009932, "mean_exposure_while_solvent": 1.2045773639474129, "realized_annual_volatility_pct": 74.60119405047408, "trading_costs_quote_units": 41778.038094732176, "borrowing_costs_quote_units": 33628.163130863264, "price_pnl_quote_units": 488305.43830767757, "turnover_quote_units": 13926012.69824406, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 499320.6966331993, "return_pct": 4893.206966331993, "cagr_pct": 70.60879775433926, "max_drawdown_pct": 83.36817296428663, "mean_exposure_while_solvent": 1.2357375102356483, "realized_annual_volatility_pct": 76.66481208096305, "trading_costs_quote_units": 48631.31478498113, "borrowing_costs_quote_units": 46392.44711144879, "price_pnl_quote_units": 584344.4585296235, "turnover_quote_units": 16210438.261660384, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 77045.6312083928, "return_pct": 670.456312083928, "cagr_pct": 32.1694940039326, "max_drawdown_pct": 90.70552190701379, "mean_exposure_while_solvent": 1.2820931141354248, "realized_annual_volatility_pct": 81.75389997954282, "trading_costs_quote_units": 13007.22947604798, "borrowing_costs_quote_units": 12936.758236243928, "price_pnl_quote_units": 92989.61892068521, "turnover_quote_units": 4335743.158682651, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1548, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.1, "ending_quote_units": 355233.15241279703, "return_pct": 3452.3315241279706, "cagr_pct": 62.85559172892334, "max_drawdown_pct": 83.57565455456033, "mean_exposure_while_solvent": 1.2173440854846684, "realized_annual_volatility_pct": 75.59535264728639, "trading_costs_quote_units": 42176.246662951795, "borrowing_costs_quote_units": 34902.313402955406, "price_pnl_quote_units": 422311.7124787038, "turnover_quote_units": 14058748.887650615, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-30bps-1bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-30bps-1bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 313455.3768250479, "return_pct": 3034.553768250479, "cagr_pct": 60.095840048664215, "max_drawdown_pct": 84.26007415107047, "mean_exposure_while_solvent": 1.2129341720658475, "realized_annual_volatility_pct": 74.619767661057, "trading_costs_quote_units": 39836.641538171025, "borrowing_costs_quote_units": 57753.88128393196, "price_pnl_quote_units": 401045.89964715333, "turnover_quote_units": 13278880.512723692, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1188, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 310960.60979260295, "return_pct": 3009.606097926029, "cagr_pct": 59.921182555570866, "max_drawdown_pct": 84.9539916757646, "mean_exposure_while_solvent": 1.2394402381964595, "realized_annual_volatility_pct": 75.97295203911277, "trading_costs_quote_units": 40285.030214593215, "borrowing_costs_quote_units": 63045.212011005504, "price_pnl_quote_units": 404290.85201819905, "turnover_quote_units": 13428343.404864402, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1323, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 306156.0788134481, "return_pct": 2961.560788134481, "cagr_pct": 59.58138319318513, "max_drawdown_pct": 85.46150605639431, "mean_exposure_while_solvent": 1.2741944412950739, "realized_annual_volatility_pct": 78.27285973944005, "trading_costs_quote_units": 41739.95207593922, "borrowing_costs_quote_units": 77265.15441983078, "price_pnl_quote_units": 415161.1853092153, "turnover_quote_units": 13913317.3586464, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1502, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 379730.005670451, "return_pct": 3697.3000567045096, "cagr_pct": 64.34589201879575, "max_drawdown_pct": 83.25045151816674, "mean_exposure_while_solvent": 1.1962312935615538, "realized_annual_volatility_pct": 74.01055996608585, "trading_costs_quote_units": 39748.337792656355, "borrowing_costs_quote_units": 61647.37531493774, "price_pnl_quote_units": 471125.71877804375, "turnover_quote_units": 13249445.93088545, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1091, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 351277.2748165455, "return_pct": 3412.7727481654547, "cagr_pct": 62.606657145465164, "max_drawdown_pct": 83.76346103476138, "mean_exposure_while_solvent": 1.2178824255379757, "realized_annual_volatility_pct": 75.24420696207244, "trading_costs_quote_units": 38151.436218177405, "borrowing_costs_quote_units": 62928.77829494438, "price_pnl_quote_units": 442357.48932966666, "turnover_quote_units": 12717145.406059137, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1202, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 399762.40700686, "return_pct": 3897.6240700686, "cagr_pct": 65.50410211203983, "max_drawdown_pct": 82.9885778086267, "mean_exposure_while_solvent": 1.249803182574977, "realized_annual_volatility_pct": 77.3474188030561, "trading_costs_quote_units": 43352.572466072575, "borrowing_costs_quote_units": 84182.04584812568, "price_pnl_quote_units": 517297.02532105613, "turnover_quote_units": 14450857.488690848, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1366, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 381834.3329241827, "return_pct": 3718.343329241827, "cagr_pct": 64.47000478702873, "max_drawdown_pct": 83.79381044608134, "mean_exposure_while_solvent": 1.1848195712701475, "realized_annual_volatility_pct": 73.46869724004682, "trading_costs_quote_units": 37895.56953881998, "borrowing_costs_quote_units": 57143.530245840135, "price_pnl_quote_units": 466873.43270884233, "turnover_quote_units": 12631856.512939988, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1028, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 364092.44557400385, "return_pct": 3540.9244557400384, "cagr_pct": 63.40451921721409, "max_drawdown_pct": 84.29017782445659, "mean_exposure_while_solvent": 1.204612822626548, "realized_annual_volatility_pct": 74.6041174584596, "trading_costs_quote_units": 37490.41548061232, "borrowing_costs_quote_units": 60517.774993760926, "price_pnl_quote_units": 452100.6360483776, "turnover_quote_units": 12496805.160204122, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1129, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 420191.9527123354, "return_pct": 4101.919527123354, "cagr_pct": 66.63476421031547, "max_drawdown_pct": 83.54043197557527, "mean_exposure_while_solvent": 1.2357782988834816, "realized_annual_volatility_pct": 76.66813875384246, "trading_costs_quote_units": 42720.17723945409, "borrowing_costs_quote_units": 81882.92221892976, "price_pnl_quote_units": 534795.0521707179, "turnover_quote_units": 14240059.079818042, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1289, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 62650.61128988181, "return_pct": 526.5061128988182, "cagr_pct": 28.487624297187793, "max_drawdown_pct": 91.20437543942103, "mean_exposure_while_solvent": 1.282141608560323, "realized_annual_volatility_pct": 81.76046552835791, "trading_costs_quote_units": 11545.474681962598, "borrowing_costs_quote_units": 22865.091229226462, "price_pnl_quote_units": 87061.17720107149, "turnover_quote_units": 3848491.560654199, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1548, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 1, "borrow_apr": 0.2, "ending_quote_units": 302933.84989854903, "return_pct": 2929.3384989854903, "cagr_pct": 59.35090315053924, "max_drawdown_pct": 83.79335996330816, "mean_exposure_while_solvent": 1.2173818039536455, "realized_annual_volatility_pct": 75.59869262717318, "trading_costs_quote_units": 37745.227971920256, "borrowing_costs_quote_units": 62580.660484642896, "price_pnl_quote_units": 393259.7383551126, "turnover_quote_units": 12581742.657306736, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1199, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-30bps-1bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-30bps-1bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 373992.1646226159, "return_pct": 3639.9216462261593, "cagr_pct": 64.00443283486466, "max_drawdown_pct": 84.01153757816783, "mean_exposure_while_solvent": 1.2126242673576013, "realized_annual_volatility_pct": 74.66134131326292, "trading_costs_quote_units": 44338.75804327245, "borrowing_costs_quote_units": 16133.804935085633, "price_pnl_quote_units": 424464.72760096943, "turnover_quote_units": 14779586.014424153, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 403717.20541491214, "return_pct": 3937.1720541491213, "cagr_pct": 65.72681209557925, "max_drawdown_pct": 84.67369337405052, "mean_exposure_while_solvent": 1.2386612523766527, "realized_annual_volatility_pct": 75.94611566497906, "trading_costs_quote_units": 47420.40100613128, "borrowing_costs_quote_units": 18486.29346548812, "price_pnl_quote_units": 459623.8998865338, "turnover_quote_units": 15806800.335377088, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1327, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 410795.9045029817, "return_pct": 4007.959045029817, "cagr_pct": 66.12077983856952, "max_drawdown_pct": 85.37824952205125, "mean_exposure_while_solvent": 1.273619563806, "realized_annual_volatility_pct": 78.26504981723707, "trading_costs_quote_units": 51729.36743569271, "borrowing_costs_quote_units": 23750.611920677857, "price_pnl_quote_units": 476275.88385935256, "turnover_quote_units": 17243122.478564207, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1506, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 461810.1469285319, "return_pct": 4518.101469285319, "cagr_pct": 68.79843990218777, "max_drawdown_pct": 82.64031176343073, "mean_exposure_while_solvent": 1.1959402270842219, "realized_annual_volatility_pct": 74.02215313528006, "trading_costs_quote_units": 45345.21172675665, "borrowing_costs_quote_units": 17673.937961193722, "price_pnl_quote_units": 514829.2966164801, "turnover_quote_units": 15115070.575585557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 464578.07966573426, "return_pct": 4545.780796657343, "cagr_pct": 68.93628628756478, "max_drawdown_pct": 83.17594568971452, "mean_exposure_while_solvent": 1.2171240950435067, "realized_annual_volatility_pct": 75.18527335615647, "trading_costs_quote_units": 46085.34691191336, "borrowing_costs_quote_units": 18963.27160358383, "price_pnl_quote_units": 519626.6981812331, "turnover_quote_units": 15361782.30397114, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 540983.4580227027, "return_pct": 5309.834580227027, "cagr_pct": 72.48675938968385, "max_drawdown_pct": 82.78409791779633, "mean_exposure_while_solvent": 1.2492421368498412, "realized_annual_volatility_pct": 77.30360187173311, "trading_costs_quote_units": 54760.151980159535, "borrowing_costs_quote_units": 26391.573213173247, "price_pnl_quote_units": 612135.1832160368, "turnover_quote_units": 18253383.993386522, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1370, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 458577.45517376415, "return_pct": 4485.774551737642, "cagr_pct": 68.63654197683789, "max_drawdown_pct": 83.24374872173088, "mean_exposure_while_solvent": 1.1845172796950254, "realized_annual_volatility_pct": 73.50392030268988, "trading_costs_quote_units": 42757.20887323697, "borrowing_costs_quote_units": 16136.38640314532, "price_pnl_quote_units": 507471.05045014643, "turnover_quote_units": 14252402.957745668, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1032, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 470465.87739103986, "return_pct": 4604.658773910398, "cagr_pct": 69.22716306006798, "max_drawdown_pct": 83.76076357474368, "mean_exposure_while_solvent": 1.20385946683794, "realized_annual_volatility_pct": 74.56984490512991, "trading_costs_quote_units": 44360.62916646061, "borrowing_costs_quote_units": 17763.549433440727, "price_pnl_quote_units": 522590.05599094386, "turnover_quote_units": 14786876.388820218, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 555457.193698074, "return_pct": 5454.571936980739, "cagr_pct": 73.10998573039107, "max_drawdown_pct": 83.38253675179533, "mean_exposure_while_solvent": 1.2352174933451077, "realized_annual_volatility_pct": 76.64422697164758, "trading_costs_quote_units": 52898.759430488746, "borrowing_costs_quote_units": 25024.337849005195, "price_pnl_quote_units": 623380.2909775674, "turnover_quote_units": 17632919.810162883, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1293, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 86671.17816838325, "return_pct": 766.7117816838326, "cagr_pct": 34.31212358239466, "max_drawdown_pct": 90.70213936909815, "mean_exposure_while_solvent": 1.2823541835645096, "realized_annual_volatility_pct": 81.27322442858454, "trading_costs_quote_units": 14448.539979949486, "borrowing_costs_quote_units": 7131.866637916384, "price_pnl_quote_units": 98251.58478624842, "turnover_quote_units": 4816179.993316495, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.05, "ending_quote_units": 389926.4960166288, "return_pct": 3799.2649601662883, "cagr_pct": 64.94184246785278, "max_drawdown_pct": 84.38702773008072, "mean_exposure_while_solvent": 1.2170667298517213, "realized_annual_volatility_pct": 75.77100198012458, "trading_costs_quote_units": 46055.81383082414, "borrowing_costs_quote_units": 18967.19431273367, "price_pnl_quote_units": 444949.5041601844, "turnover_quote_units": 15351937.943608051, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-30bps-3bar-5apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-30bps-3bar-5apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 345973.2318567537, "return_pct": 3359.7323185675373, "cagr_pct": 62.269059384679196, "max_drawdown_pct": 84.11304592146122, "mean_exposure_while_solvent": 1.212642482742956, "realized_annual_volatility_pct": 74.66266705768744, "trading_costs_quote_units": 42020.226437122605, "borrowing_costs_quote_units": 30580.246752077444, "price_pnl_quote_units": 408573.7050459544, "turnover_quote_units": 14006742.145707535, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 369916.83994478034, "return_pct": 3599.168399447803, "cagr_pct": 63.75915220371817, "max_drawdown_pct": 84.79720606259762, "mean_exposure_while_solvent": 1.2386816859368757, "realized_annual_volatility_pct": 75.94756766409373, "trading_costs_quote_units": 44581.30171716795, "borrowing_costs_quote_units": 34788.09438266657, "price_pnl_quote_units": 439286.23604461533, "turnover_quote_units": 14860433.905722648, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1327, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 371615.24045316444, "return_pct": 3616.1524045316446, "cagr_pct": 63.861655605922785, "max_drawdown_pct": 85.49469826595562, "mean_exposure_while_solvent": 1.2736430208039202, "realized_annual_volatility_pct": 78.26680715741622, "trading_costs_quote_units": 48122.78738637438, "borrowing_costs_quote_units": 44271.568518238084, "price_pnl_quote_units": 454009.5963577742, "turnover_quote_units": 16040929.128791448, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1506, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 429842.132716069, "return_pct": 4198.4213271606895, "cagr_pct": 67.1524222178776, "max_drawdown_pct": 82.72894812123153, "mean_exposure_while_solvent": 1.195957012523904, "realized_annual_volatility_pct": 74.02328256553166, "trading_costs_quote_units": 43083.79054866811, "borrowing_costs_quote_units": 33596.05669335801, "price_pnl_quote_units": 496521.97995809384, "turnover_quote_units": 14361263.5162227, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 429059.29846533807, "return_pct": 4190.592984653381, "cagr_pct": 67.11080518592327, "max_drawdown_pct": 83.28717766816496, "mean_exposure_while_solvent": 1.2171426843923454, "realized_annual_volatility_pct": 75.18655106040825, "trading_costs_quote_units": 43514.040082581574, "borrowing_costs_quote_units": 35840.371392408524, "price_pnl_quote_units": 498413.70994032413, "turnover_quote_units": 14504680.027527198, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 493789.39003604, "return_pct": 4837.8939003604, "cagr_pct": 70.34938474318369, "max_drawdown_pct": 82.8889987396133, "mean_exposure_while_solvent": 1.2492635033959731, "realized_annual_volatility_pct": 77.30509785384199, "trading_costs_quote_units": 51146.606162052194, "borrowing_costs_quote_units": 49391.55859178622, "price_pnl_quote_units": 584327.5547898738, "turnover_quote_units": 17048868.720684066, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1370, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 428618.60908850835, "return_pct": 4186.186090885084, "cagr_pct": 67.08734840923742, "max_drawdown_pct": 83.31457307862507, "mean_exposure_while_solvent": 1.1845330870927016, "realized_annual_volatility_pct": 73.50499748855374, "trading_costs_quote_units": 40715.52701035217, "borrowing_costs_quote_units": 30753.95994109168, "price_pnl_quote_units": 490088.0960399526, "turnover_quote_units": 13571842.336784065, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1032, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 436609.7490143018, "return_pct": 4266.097490143018, "cagr_pct": 67.50949943177218, "max_drawdown_pct": 83.8538742385133, "mean_exposure_while_solvent": 1.2038769229485549, "realized_annual_volatility_pct": 74.57104905782175, "trading_costs_quote_units": 42006.319682920686, "borrowing_costs_quote_units": 33683.54281142058, "price_pnl_quote_units": 502299.6115086393, "turnover_quote_units": 14002106.560973557, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 509607.1443550752, "return_pct": 4996.071443550752, "cagr_pct": 71.08469444355552, "max_drawdown_pct": 83.46919671796537, "mean_exposure_while_solvent": 1.2352376613344325, "realized_annual_volatility_pct": 76.64563962400098, "trading_costs_quote_units": 49555.49990433973, "borrowing_costs_quote_units": 46988.79837637314, "price_pnl_quote_units": 596151.442635787, "turnover_quote_units": 16518499.968113212, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1293, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 78148.29759612995, "return_pct": 681.4829759612995, "cagr_pct": 32.42630606619789, "max_drawdown_pct": 90.95487520464846, "mean_exposure_while_solvent": 1.282378413495778, "realized_annual_volatility_pct": 81.27600921024293, "trading_costs_quote_units": 13597.866032706226, "borrowing_costs_quote_units": 13395.386411389882, "price_pnl_quote_units": 95141.55004022567, "turnover_quote_units": 4532622.010902076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.1, "ending_quote_units": 360099.13235009904, "return_pct": 3500.9913235009903, "cagr_pct": 63.15853504305675, "max_drawdown_pct": 84.49095701754851, "mean_exposure_while_solvent": 1.217085343367962, "realized_annual_volatility_pct": 75.77247855283896, "trading_costs_quote_units": 43555.79416387226, "borrowing_costs_quote_units": 35907.64767992509, "price_pnl_quote_units": 429562.5741938931, "turnover_quote_units": 14518598.054624068, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-30bps-3bar-10apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-30bps-3bar-10apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 296061.0203442023, "return_pct": 2860.610203442023, "cagr_pct": 58.852143399837395, "max_drawdown_pct": 84.31418844163836, "mean_exposure_while_solvent": 1.2126789214380866, "realized_annual_volatility_pct": 74.66534787023016, "trading_costs_quote_units": 37783.312751195175, "borrowing_costs_quote_units": 54988.647031031454, "price_pnl_quote_units": 378832.98012643226, "turnover_quote_units": 12594437.58373171, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1192, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 310551.9460177227, "return_pct": 3005.5194601772273, "cagr_pct": 59.89245695149839, "max_drawdown_pct": 85.04132007605735, "mean_exposure_while_solvent": 1.2387225619410187, "realized_annual_volatility_pct": 75.95050118441968, "trading_costs_quote_units": 39456.48729261923, "borrowing_costs_quote_units": 61677.570599421866, "price_pnl_quote_units": 401686.003909763, "turnover_quote_units": 13152162.430873076, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1327, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_90_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 304089.60508388793, "return_pct": 2940.8960508388795, "cagr_pct": 59.43381455623336, "max_drawdown_pct": 85.7248839240359, "mean_exposure_while_solvent": 1.2736899450282377, "realized_annual_volatility_pct": 78.27035048280302, "trading_costs_quote_units": 41711.000773137166, "borrowing_costs_quote_units": 77035.03616513794, "price_pnl_quote_units": 412835.64202216547, "turnover_quote_units": 13903666.924379064, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1506, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_90_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 372375.142502698, "return_pct": 3623.7514250269796, "cagr_pct": 63.907386981646795, "max_drawdown_pct": 82.90491374979798, "mean_exposure_while_solvent": 1.195990590706015, "realized_annual_volatility_pct": 74.02557003263229, "trading_costs_quote_units": 38928.41775807122, "borrowing_costs_quote_units": 60745.52930257732, "price_pnl_quote_units": 462049.0895633461, "turnover_quote_units": 12976139.252690421, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1095, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 365942.9220091982, "return_pct": 3559.4292200919826, "cagr_pct": 63.51771778303539, "max_drawdown_pct": 83.50750058578438, "mean_exposure_while_solvent": 1.2171798711729724, "realized_annual_volatility_pct": 75.1891356162198, "trading_costs_quote_units": 38835.14028343079, "borrowing_costs_quote_units": 64075.123866218084, "price_pnl_quote_units": 458853.1861588457, "turnover_quote_units": 12945046.761143606, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1206, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_120_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 411370.4966202885, "return_pct": 4013.704966202885, "cagr_pct": 66.15250116358085, "max_drawdown_pct": 83.09694373698244, "mean_exposure_while_solvent": 1.2493062458073907, "realized_annual_volatility_pct": 77.30811877445254, "trading_costs_quote_units": 44670.42079614089, "borrowing_costs_quote_units": 86597.05409760376, "price_pnl_quote_units": 532637.9715140349, "turnover_quote_units": 14890140.26538031, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1370, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_120_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_45", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 374428.8798641713, "return_pct": 3644.2887986417136, "cagr_pct": 64.0305802341793, "max_drawdown_pct": 83.45536374608233, "mean_exposure_while_solvent": 1.1845647087661795, "realized_annual_volatility_pct": 73.50718001068421, "trading_costs_quote_units": 36949.46125951942, "borrowing_costs_quote_units": 55893.916610129614, "price_pnl_quote_units": 457272.2577338198, "turnover_quote_units": 12316487.08650646, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1032, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_45-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_60", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 376013.9908611785, "return_pct": 3660.1399086117854, "cagr_pct": 64.12526469539522, "max_drawdown_pct": 84.0385477012189, "mean_exposure_while_solvent": 1.203911842761495, "realized_annual_volatility_pct": 74.57348622649245, "trading_costs_quote_units": 37701.9143234432, "borrowing_costs_quote_units": 60609.968212263, "price_pnl_quote_units": 464325.8733968857, "turnover_quote_units": 12567304.774481075, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1133, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_60-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "core_breakout_150_75", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 428926.02808767196, "return_pct": 4189.26028087672, "cagr_pct": 67.10371373706212, "max_drawdown_pct": 83.64121050001567, "mean_exposure_while_solvent": 1.2352780061125306, "realized_annual_volatility_pct": 76.64849399689967, "trading_costs_quote_units": 43534.37745504681, "borrowing_costs_quote_units": 82923.53207539758, "price_pnl_quote_units": 545383.9376181181, "turnover_quote_units": 14511459.15168226, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1293, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-core_breakout_150_75-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "inverse_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 63530.42709147389, "return_pct": 535.3042709147389, "cagr_pct": 28.732624030875254, "max_drawdown_pct": 91.44006784719866, "mean_exposure_while_solvent": 1.282426883919742, "realized_annual_volatility_pct": 81.28160632456772, "trading_costs_quote_units": 12074.652414344811, "borrowing_costs_quote_units": 23685.840542966424, "price_pnl_quote_units": 89290.92004878442, "turnover_quote_units": 4024884.138114934, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1551, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-inverse_core-30bps-3bar-20apr.jsonl.gz" }, { "source": "binance", "quote_currency": "USDT", "window": "2019_frozen_end", "model": "week_old_core", "cost_bps": 30, "delay_bars": 3, "borrow_apr": 0.2, "ending_quote_units": 307100.08563872107, "return_pct": 2971.0008563872107, "cagr_pct": 59.648509536838134, "max_drawdown_pct": 84.69680094615006, "mean_exposure_while_solvent": 1.2171225785273156, "realized_annual_volatility_pct": 75.77546080622591, "trading_costs_quote_units": 38997.824538490095, "borrowing_costs_quote_units": 64411.43482493341, "price_pnl_quote_units": 400509.3450021451, "turnover_quote_units": 12999274.846163379, "liquidation_slippage_quote_units": 0.0, "liquidation_penalty_quote_units": 0.0, "liquidations": [], "liquidation_count": 0, "fill_count": 1205, "insolvent": false, "stopped_at_unix": null, "ending_debt_shortfall_quote_units": 0, "observed_price_gaps": 13, "trace": "binance-2019_frozen_end-week_old_core-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_075-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-btc_buy_hold-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_125-30bps-3bar-20apr.jsonl.gz" }, { "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, "trace": "binance-2019_frozen_end-constant_150-30bps-3bar-20apr.jsonl.gz" } ], "interpretation": "Failed registered gate; historical simulation with hypothetical financing. No promotion. Strategy search stopped; later entry diagnostic is a separate user request." }