{ "input_csv": "treasury_futures_hedge_ck_baseline_2020_2026/daily_pnl.csv", "output_dir": "active_cash_bond_t_hedge_optimized_v4", "leverage": 1.7, "initial_equity": 100000000.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 }, "train_end_year": 2023, "grid": { "basis_max": [ 0.03, 0.05, 0.07, 0.1 ], "spread_min_bp": [ 10.0, 12.0, 15.0 ], "irr_min": [ 0.012, 0.014, 0.016 ], "entry_confirmation_days": [ 1, 2, 3 ] }, "baseline_v3": { "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 3.1242139423717674, "full_strategy_max_drawdown_pct": -0.9525318425057883, "full_strategy_calmar": 3.279904988953461, "full_account_annual_return_pct": 4.07099622289675, "full_account_max_drawdown_pct": -0.8336576180474453, "full_account_calmar": 4.883295173900828, "full_active_days": 607, "full_transaction_cost": 6568300.0, "train_account_annual_return_pct": 3.945970533635279, "train_account_max_drawdown_pct": -0.8277451978664141, "validation_account_annual_return_pct": 4.9637727319229, "validation_account_max_drawdown_pct": -0.9661708285895965, "validation_account_calmar": 5.137572554502551, "double_cost_full_account_annual_return_pct": 3.249310803000216, "double_cost_full_account_max_drawdown_pct": -1.1184860610924163, "double_cost_validation_account_annual_return_pct": 3.770531517459097, "double_cost_validation_account_max_drawdown_pct": -1.25609787529124, "robust_score": 3.770531517459097, "meets_target": true }, "recommended": { "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2020-01-03", "end": "2026-07-20", "days": 1584, "active_days": 607, "active_ratio_pct": 38.32070707070707, "total_return_pct": 22.316434191780843, "annual_return_pct": 3.1242139423717674, "max_drawdown_pct": -0.9525318425057883, "calmar": 3.279904988953461, "strategy_total_return_pct": 22.316434191780843, "strategy_annual_return_pct": 3.1242139423717674, "strategy_max_drawdown_pct": -0.9525318425057883, "strategy_calmar": 3.279904988953461, "account_total_return_pct": 29.859582958904497, "account_annual_return_pct": 4.07099622289675, "account_max_drawdown_pct": -0.8336576180474453, "account_calmar": 4.883295173900828, "gross_strategy_pnl": 28884734.19178082, "transaction_cost": 6568300.0, "net_strategy_pnl": 22316434.19178085, "idle_cash_interest": 7543148.7671236545, "net_account_pnl": 29859582.958904505, "cash_turnover": 40630000000.0, "futures_contract_turnover": 50106.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, "recommended_selection": { "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 3.1242139423717674, "full_strategy_max_drawdown_pct": -0.9525318425057883, "full_strategy_calmar": 3.279904988953461, "full_account_annual_return_pct": 4.07099622289675, "full_account_max_drawdown_pct": -0.8336576180474453, "full_account_calmar": 4.883295173900828, "full_active_days": 607, "full_transaction_cost": 6568300.0, "train_account_annual_return_pct": 3.945970533635279, "train_account_max_drawdown_pct": -0.8277451978664141, "validation_account_annual_return_pct": 4.9637727319229, "validation_account_max_drawdown_pct": -0.9661708285895965, "validation_account_calmar": 5.137572554502551, "double_cost_full_account_annual_return_pct": 3.249310803000216, "double_cost_full_account_max_drawdown_pct": -1.1184860610924163, "double_cost_validation_account_annual_return_pct": 3.770531517459097, "double_cost_validation_account_max_drawdown_pct": -1.25609787529124, "robust_score": 3.770531517459097, "meets_target": true }, "rolling_oos_validation": { "baseline_v3": [ { "train_end_year": 2021, "oos_start": "2022-01-04", "oos_end": "2026-07-20", "account_annual_return_pct": 3.9179728610439835, "account_max_drawdown_pct": -0.9145633150552279, "double_cost_account_annual_return_pct": 3.1223881762629135, "double_cost_account_max_drawdown_pct": -1.1999247040940353 }, { "train_end_year": 2022, "oos_start": "2023-01-03", "oos_end": "2026-07-20", "account_annual_return_pct": 4.138577385030828, "account_max_drawdown_pct": -0.9452905655451982, "double_cost_account_annual_return_pct": 3.164661768563448, "double_cost_account_max_drawdown_pct": -1.2357990145507203 }, { "train_end_year": 2023, "oos_start": "2024-01-02", "oos_end": "2026-07-20", "account_annual_return_pct": 4.9637727319229, "account_max_drawdown_pct": -0.9661708285895965, "double_cost_account_annual_return_pct": 3.770531517459097, "double_cost_account_max_drawdown_pct": -1.25609787529124 } ], "recommended": [ { "train_end_year": 2021, "oos_start": "2022-01-04", "oos_end": "2026-07-20", "account_annual_return_pct": 3.9179728610439835, "account_max_drawdown_pct": -0.9145633150552279, "double_cost_account_annual_return_pct": 3.1223881762629135, "double_cost_account_max_drawdown_pct": -1.1999247040940353 }, { "train_end_year": 2022, "oos_start": "2023-01-03", "oos_end": "2026-07-20", "account_annual_return_pct": 4.138577385030828, "account_max_drawdown_pct": -0.9452905655451982, "double_cost_account_annual_return_pct": 3.164661768563448, "double_cost_account_max_drawdown_pct": -1.2357990145507203 }, { "train_end_year": 2023, "oos_start": "2024-01-02", "oos_end": "2026-07-20", "account_annual_return_pct": 4.9637727319229, "account_max_drawdown_pct": -0.9661708285895965, "double_cost_account_annual_return_pct": 3.770531517459097, "double_cost_account_max_drawdown_pct": -1.25609787529124 } ] }, "top_candidates": [ { "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 3.1242139423717674, "full_strategy_max_drawdown_pct": -0.9525318425057883, "full_strategy_calmar": 3.279904988953461, "full_account_annual_return_pct": 4.07099622289675, "full_account_max_drawdown_pct": -0.8336576180474453, "full_account_calmar": 4.883295173900828, "full_active_days": 607, "full_transaction_cost": 6568300.0, "train_account_annual_return_pct": 3.945970533635279, "train_account_max_drawdown_pct": -0.8277451978664141, "validation_account_annual_return_pct": 4.9637727319229, "validation_account_max_drawdown_pct": -0.9661708285895965, "validation_account_calmar": 5.137572554502551, "double_cost_full_account_annual_return_pct": 3.249310803000216, "double_cost_full_account_max_drawdown_pct": -1.1184860610924163, "double_cost_validation_account_annual_return_pct": 3.770531517459097, "double_cost_validation_account_max_drawdown_pct": -1.25609787529124, "robust_score": 3.770531517459097, "meets_target": true }, { "basis_max": 0.1, "spread_min_bp": 10.0, "irr_min": 0.014, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 3.0884050202723445, "full_strategy_max_drawdown_pct": -1.2624440974076556, "full_strategy_calmar": 2.4463697256885886, "full_account_annual_return_pct": 4.04863493891876, "full_account_max_drawdown_pct": -1.2229134134917774, "full_account_calmar": 3.3106472578125685, "full_active_days": 582, "full_transaction_cost": 6903400.0, "train_account_annual_return_pct": 3.655215035624493, "train_account_max_drawdown_pct": -1.2229134134917774, "validation_account_annual_return_pct": 5.368209580728056, "validation_account_max_drawdown_pct": -0.9583801975719175, "validation_account_calmar": 5.601336081785248, "double_cost_full_account_annual_return_pct": 3.18298278901894, "double_cost_full_account_max_drawdown_pct": -1.2986800456993852, "double_cost_validation_account_annual_return_pct": 4.05919493784177, "double_cost_validation_account_max_drawdown_pct": -1.1519074648484895, "robust_score": 3.655215035624493, "meets_target": true }, { "basis_max": 0.03, "spread_min_bp": 12.0, "irr_min": 0.014, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.7053667456624186, "full_strategy_max_drawdown_pct": -0.758248267423578, "full_strategy_calmar": 3.567916818135145, "full_account_annual_return_pct": 3.866557540191762, "full_account_max_drawdown_pct": -0.7172391484482898, "full_account_calmar": 5.39089026101944, "full_active_days": 394, "full_transaction_cost": 6004700.0, "train_account_annual_return_pct": 3.647108217792039, "train_account_max_drawdown_pct": -0.6839912869555098, "validation_account_annual_return_pct": 4.843997127936794, "validation_account_max_drawdown_pct": -0.8123546379864011, "validation_account_calmar": 5.962909425794259, "double_cost_full_account_annual_return_pct": 3.1083900582601576, "double_cost_full_account_max_drawdown_pct": -0.8322692758530037, "double_cost_validation_account_annual_return_pct": 3.7169345171687462, "double_cost_validation_account_max_drawdown_pct": -0.9281131690459521, "robust_score": 3.647108217792039, "meets_target": true }, { "basis_max": 0.07, "spread_min_bp": 10.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 3.0139436287720756, "full_strategy_max_drawdown_pct": -1.0711425507299976, "full_strategy_calmar": 2.813765195601681, "full_account_annual_return_pct": 3.9762860668017153, "full_account_max_drawdown_pct": -1.0135572888390398, "full_account_calmar": 3.9230994740872296, "full_active_days": 613, "full_transaction_cost": 6566600.0, "train_account_annual_return_pct": 3.6205297522962088, "train_account_max_drawdown_pct": -0.9692983113970044, "validation_account_annual_return_pct": 5.210456720006329, "validation_account_max_drawdown_pct": -0.9620598410719716, "validation_account_calmar": 5.41593827905819, "double_cost_full_account_annual_return_pct": 3.150547846528351, "double_cost_full_account_max_drawdown_pct": -1.0916006927872646, "double_cost_validation_account_annual_return_pct": 3.9371094229632364, "double_cost_validation_account_max_drawdown_pct": -1.0599129365371551, "robust_score": 3.6205297522962088, "meets_target": true }, { "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.014, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.9555855916877816, "full_strategy_max_drawdown_pct": -0.9641055176016433, "full_strategy_calmar": 3.065624599929936, "full_account_annual_return_pct": 3.979248924570933, "full_account_max_drawdown_pct": -0.8358285550751132, "full_account_calmar": 4.760843477300594, "full_active_days": 512, "full_transaction_cost": 6448600.0, "train_account_annual_return_pct": 3.9047753296926, "train_account_max_drawdown_pct": -0.8289460171414298, "validation_account_annual_return_pct": 4.758310617061201, "validation_account_max_drawdown_pct": -0.9673874208090294, "validation_account_calmar": 4.918722855711531, "double_cost_full_account_annual_return_pct": 3.16880780298634, "double_cost_full_account_max_drawdown_pct": -0.943811817426865, "double_cost_validation_account_annual_return_pct": 3.5858127726831945, "double_cost_validation_account_max_drawdown_pct": -1.0283227556349916, "robust_score": 3.5858127726831945, "meets_target": true }, { "basis_max": 0.07, "spread_min_bp": 10.0, "irr_min": 0.014, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.9602835672067673, "full_strategy_max_drawdown_pct": -1.07323233837735, "full_strategy_calmar": 2.758287708402919, "full_account_annual_return_pct": 3.979599501493869, "full_account_max_drawdown_pct": -1.0153587875593617, "full_account_calmar": 3.919402235203688, "full_active_days": 536, "full_transaction_cost": 6618800.0, "train_account_annual_return_pct": 3.5741669382808317, "train_account_max_drawdown_pct": -0.9706555720787269, "validation_account_annual_return_pct": 5.294750350162802, "validation_account_max_drawdown_pct": -0.9594901172767845, "validation_account_calmar": 5.518295868633135, "double_cost_full_account_annual_return_pct": 3.147299564451389, "double_cost_full_account_max_drawdown_pct": -1.0925397882295962, "double_cost_validation_account_annual_return_pct": 3.96360718367752, "double_cost_validation_account_max_drawdown_pct": -1.154641458221084, "robust_score": 3.5741669382808317, "meets_target": true }, { "basis_max": 0.07, "spread_min_bp": 10.0, "irr_min": 0.016, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.804766242414969, "full_strategy_max_drawdown_pct": -1.0744960073129528, "full_strategy_calmar": 2.610308668739488, "full_account_annual_return_pct": 3.907059007719438, "full_account_max_drawdown_pct": -1.0155782216117237, "full_account_calmar": 3.847127601376614, "full_active_days": 454, "full_transaction_cost": 6774400.0, "train_account_annual_return_pct": 3.568526658475313, "train_account_max_drawdown_pct": -0.9706555720787269, "validation_account_annual_return_pct": 5.090193479048577, "validation_account_max_drawdown_pct": -0.963184628757574, "validation_account_calmar": 5.284753646468063, "double_cost_full_account_annual_return_pct": 3.0513411427324444, "double_cost_full_account_max_drawdown_pct": -1.0938160201229619, "double_cost_validation_account_annual_return_pct": 3.736767373382488, "double_cost_validation_account_max_drawdown_pct": -1.0255090512543807, "robust_score": 3.568526658475313, "meets_target": true }, { "basis_max": 0.05, "spread_min_bp": 10.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.864317431543628, "full_strategy_max_drawdown_pct": -1.0766565006810724, "full_strategy_calmar": 2.660381867133775, "full_account_annual_return_pct": 3.887348581989558, "full_account_max_drawdown_pct": -1.0167783985620127, "full_account_calmar": 3.823201385363097, "full_active_days": 559, "full_transaction_cost": 6667400.0, "train_account_annual_return_pct": 3.5377044578749794, "train_account_max_drawdown_pct": -0.9718307456619169, "validation_account_annual_return_pct": 5.081803976916932, "validation_account_max_drawdown_pct": -0.965215093414229, "validation_account_calmar": 5.264944582394796, "double_cost_full_account_annual_return_pct": 3.0445461088502324, "double_cost_full_account_max_drawdown_pct": -1.0961392931631786, "double_cost_validation_account_annual_return_pct": 3.8057084695858556, "double_cost_validation_account_max_drawdown_pct": -1.1319635062408184, "robust_score": 3.5377044578749794, "meets_target": true }, { "basis_max": 0.05, "spread_min_bp": 12.0, "irr_min": 0.014, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.7105202709137632, "full_strategy_max_drawdown_pct": -0.8776844484183366, "full_strategy_calmar": 3.088262844121661, "full_account_annual_return_pct": 3.8298934329174417, "full_account_max_drawdown_pct": -0.7855610449430062, "full_account_calmar": 4.87536068338942, "full_active_days": 441, "full_transaction_cost": 6037200.0, "train_account_annual_return_pct": 3.690002877372378, "train_account_max_drawdown_pct": -0.7855610449430062, "validation_account_annual_return_pct": 4.6662750094338845, "validation_account_max_drawdown_pct": -0.815044318183733, "validation_account_calmar": 5.725179484512375, "double_cost_full_account_annual_return_pct": 3.0660059280354535, "double_cost_full_account_max_drawdown_pct": -0.8426627771594863, "double_cost_validation_account_annual_return_pct": 3.5345709386330304, "double_cost_validation_account_max_drawdown_pct": -0.8724558529004445, "robust_score": 3.5345709386330304, "meets_target": true }, { "basis_max": 0.07, "spread_min_bp": 12.0, "irr_min": 0.014, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.842515285656133, "full_strategy_max_drawdown_pct": -0.906782489892255, "full_strategy_calmar": 3.134726703858038, "full_account_annual_return_pct": 3.9210955507487544, "full_account_max_drawdown_pct": -0.8385311395370909, "full_account_calmar": 4.676147808790245, "full_active_days": 470, "full_transaction_cost": 6050100.0, "train_account_annual_return_pct": 3.8317376357083432, "train_account_max_drawdown_pct": -0.7852598663181554, "validation_account_annual_return_pct": 4.705061641980102, "validation_account_max_drawdown_pct": -0.9679916326634341, "validation_account_calmar": 4.860642884932899, "double_cost_full_account_annual_return_pct": 3.159352781288738, "double_cost_full_account_max_drawdown_pct": -0.9421973818734886, "double_cost_validation_account_annual_return_pct": 3.53203643238984, "double_cost_validation_account_max_drawdown_pct": -1.061774142349159, "robust_score": 3.53203643238984, "meets_target": true }, { "basis_max": 0.03, "spread_min_bp": 10.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.798957286714443, "full_strategy_max_drawdown_pct": -1.078899132771305, "full_strategy_calmar": 2.594271514080214, "full_account_annual_return_pct": 3.8957626590305994, "full_account_max_drawdown_pct": -1.017089154650297, "full_account_calmar": 3.830305967985736, "full_active_days": 477, "full_transaction_cost": 7098800.0, "train_account_annual_return_pct": 3.5297312045824203, "train_account_max_drawdown_pct": -0.9906880894400949, "validation_account_annual_return_pct": 5.119369496645287, "validation_account_max_drawdown_pct": -0.9605752723646166, "validation_account_calmar": 5.329482908760605, "double_cost_full_account_annual_return_pct": 2.997507175609293, "double_cost_full_account_max_drawdown_pct": -1.1557230024065612, "double_cost_validation_account_annual_return_pct": 3.6926249109386466, "double_cost_validation_account_max_drawdown_pct": -1.2788752900198985, "robust_score": 3.5297312045824203, "meets_target": true }, { "basis_max": 0.1, "spread_min_bp": 15.0, "irr_min": 0.012, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.7719738404871297, "full_strategy_max_drawdown_pct": -0.921404259695835, "full_strategy_calmar": 3.008423079574417, "full_account_annual_return_pct": 3.84007189463893, "full_account_max_drawdown_pct": -0.8465373060244308, "full_account_calmar": 4.536211065136575, "full_active_days": 498, "full_transaction_cost": 5042100.0, "train_account_annual_return_pct": 3.5190646730964836, "train_account_max_drawdown_pct": -0.8277451978664141, "validation_account_annual_return_pct": 4.972834362525402, "validation_account_max_drawdown_pct": -0.9657567674837608, "validation_account_calmar": 5.149158183464679, "double_cost_full_account_annual_return_pct": 3.204622761253728, "double_cost_full_account_max_drawdown_pct": -0.9428877038225925, "double_cost_validation_account_annual_return_pct": 4.030309600620141, "double_cost_validation_account_max_drawdown_pct": -1.025789978234204, "robust_score": 3.5190646730964836, "meets_target": true }, { "basis_max": 0.1, "spread_min_bp": 10.0, "irr_min": 0.016, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.8072206693497748, "full_strategy_max_drawdown_pct": -1.2681349204947678, "full_strategy_calmar": 2.213660884170374, "full_account_annual_return_pct": 3.8719696588559893, "full_account_max_drawdown_pct": -1.2281985890621017, "full_account_calmar": 3.1525599307297445, "full_active_days": 486, "full_transaction_cost": 7120200.0, "train_account_annual_return_pct": 3.5187996608996963, "train_account_max_drawdown_pct": -1.2281985890621017, "validation_account_annual_return_pct": 5.066997608193891, "validation_account_max_drawdown_pct": -0.9637674261923745, "validation_account_calmar": 5.257490002761811, "double_cost_full_account_annual_return_pct": 2.9697607698967676, "double_cost_full_account_max_drawdown_pct": -1.3037863484176238, "double_cost_validation_account_annual_return_pct": 3.692065801505673, "double_cost_validation_account_max_drawdown_pct": -1.026691734784213, "robust_score": 3.5187996608996963, "meets_target": true }, { "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 2, "full_strategy_annual_return_pct": 2.7691352055944973, "full_strategy_max_drawdown_pct": -1.0706004187166829, "full_strategy_calmar": 2.5865254273987954, "full_account_annual_return_pct": 3.831693518118584, "full_account_max_drawdown_pct": -0.8643479200511117, "full_account_calmar": 4.433045338839947, "full_active_days": 494, "full_transaction_cost": 3928700.0, "train_account_annual_return_pct": 3.5166983510826366, "train_account_max_drawdown_pct": -0.8643479200511117, "validation_account_annual_return_pct": 5.069800780435663, "validation_account_max_drawdown_pct": -0.9154548169061916, "validation_account_calmar": 5.538013113054792, "double_cost_full_account_annual_return_pct": 3.3382149063371003, "double_cost_full_account_max_drawdown_pct": -0.9416353434516744, "double_cost_validation_account_annual_return_pct": 4.273434298519585, "double_cost_validation_account_max_drawdown_pct": -0.9781479999202647, "robust_score": 3.5166983510826366, "meets_target": true }, { "basis_max": 0.05, "spread_min_bp": 10.0, "irr_min": 0.016, "entry_confirmation_days": 1, "full_strategy_annual_return_pct": 2.750310536618583, "full_strategy_max_drawdown_pct": -1.078145351643689, "full_strategy_calmar": 2.5509645173775417, "full_account_annual_return_pct": 3.8751898120637174, "full_account_max_drawdown_pct": -1.0179107309413071, "full_account_calmar": 3.807003594981416, "full_active_days": 431, "full_transaction_cost": 6711200.0, "train_account_annual_return_pct": 3.508666155096085, "train_account_max_drawdown_pct": -0.9731951126854654, "validation_account_annual_return_pct": 5.092752397521982, "validation_account_max_drawdown_pct": -0.8602455447203394, "validation_account_calmar": 5.920114819284074, "double_cost_full_account_annual_return_pct": 3.026156492158605, "double_cost_full_account_max_drawdown_pct": -1.0963331942610344, "double_cost_validation_account_annual_return_pct": 3.760398747622662, "double_cost_validation_account_max_drawdown_pct": -0.8610802349851454, "robust_score": 3.508666155096085, "meets_target": true } ], "yearly_metrics": [ { "year": "2020", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2020-01-03", "end": "2020-12-31", "days": 242, "active_days": 84, "active_ratio_pct": 34.710743801652896, "total_return_pct": 5.145444383561548, "annual_return_pct": 5.174515115426037, "max_drawdown_pct": -0.921404259695835, "calmar": 5.615901013019191, "strategy_total_return_pct": 5.145444383561548, "strategy_annual_return_pct": 5.174515115426037, "strategy_max_drawdown_pct": -0.921404259695835, "strategy_calmar": 5.615901013019191, "account_total_return_pct": 6.476814246575335, "account_annual_return_pct": 6.513636991149996, "account_max_drawdown_pct": -0.634561636477704, "account_calmar": 10.264782200363697, "gross_strategy_pnl": 6274894.383561545, "transaction_cost": 1129450.0, "net_strategy_pnl": 5145444.383561552, "idle_cash_interest": 1331369.8630137742, "net_account_pnl": 6476814.246575326, "cash_turnover": 7310000000.0, "futures_contract_turnover": 7969.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, { "year": "2021", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2021-01-04", "end": "2021-12-31", "days": 243, "active_days": 104, "active_ratio_pct": 42.79835390946502, "total_return_pct": 3.037920328766952, "annual_return_pct": 3.07209336075267, "max_drawdown_pct": -0.9360769858690943, "calmar": 3.281881092184321, "strategy_total_return_pct": 3.037920328766952, "strategy_annual_return_pct": 3.07209336075267, "strategy_max_drawdown_pct": -0.9360769858690943, "strategy_calmar": 3.281881092184321, "account_total_return_pct": 4.2561633424657686, "account_annual_return_pct": 4.304323821646361, "account_max_drawdown_pct": -0.8812880599072259, "account_calmar": 4.884128149993864, "gross_strategy_pnl": 4444220.328766953, "transaction_cost": 1406300.0, "net_strategy_pnl": 3037920.328766957, "idle_cash_interest": 1218243.0136988163, "net_account_pnl": 4256163.342465773, "cash_turnover": 9010000000.0, "futures_contract_turnover": 10106.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, { "year": "2022", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2022-01-04", "end": "2022-12-30", "days": 242, "active_days": 26, "active_ratio_pct": 10.743801652892563, "total_return_pct": 2.1529617808219603, "annual_return_pct": 2.183188105226219, "max_drawdown_pct": -0.4058782560078966, "calmar": 5.378923539042072, "strategy_total_return_pct": 2.1529617808219603, "strategy_annual_return_pct": 2.183188105226219, "strategy_max_drawdown_pct": -0.4058782560078966, "strategy_calmar": 5.378923539042072, "account_total_return_pct": 3.6125379452056183, "account_annual_return_pct": 3.6636202309056065, "account_max_drawdown_pct": -0.4058782560078966, "account_calmar": 9.026401825364916, "gross_strategy_pnl": 2455361.780821969, "transaction_cost": 302400.0, "net_strategy_pnl": 2152961.780821964, "idle_cash_interest": 1459576.1643836498, "net_account_pnl": 3612537.945205614, "cash_turnover": 2040000000.0, "futures_contract_turnover": 1968.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, { "year": "2023", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2023-01-03", "end": "2023-12-29", "days": 242, "active_days": 56, "active_ratio_pct": 23.140495867768596, "total_return_pct": 0.7503542465753688, "annual_return_pct": 0.7608153783769556, "max_drawdown_pct": -0.6610030622142493, "calmar": 1.151001291625415, "strategy_total_return_pct": 0.7503542465753688, "strategy_annual_return_pct": 0.7608153783769556, "strategy_max_drawdown_pct": -0.6610030622142493, "strategy_calmar": 1.151001291625415, "account_total_return_pct": 2.295273972602807, "account_annual_return_pct": 2.3275209449223677, "account_max_drawdown_pct": -0.6403267783453348, "account_calmar": 3.634895530898931, "gross_strategy_pnl": 1313304.2465753679, "transaction_cost": 562950.0, "net_strategy_pnl": 750354.2465753704, "idle_cash_interest": 1544919.726027444, "net_account_pnl": 2295273.9726028144, "cash_turnover": 3230000000.0, "futures_contract_turnover": 4799.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, { "year": "2024", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2024-01-02", "end": "2024-12-31", "days": 242, "active_days": 146, "active_ratio_pct": 60.33057851239669, "total_return_pct": 8.112784164383612, "annual_return_pct": 8.135955096122727, "max_drawdown_pct": -0.9769147634175912, "calmar": 8.328213883942439, "strategy_total_return_pct": 8.112784164383612, "strategy_annual_return_pct": 8.135955096122727, "strategy_max_drawdown_pct": -0.9769147634175912, "strategy_calmar": 8.328213883942439, "account_total_return_pct": 8.845179780821955, "account_annual_return_pct": 8.870527008161044, "account_max_drawdown_pct": -0.9661708285895965, "account_calmar": 9.181116574498656, "gross_strategy_pnl": 9408284.164383579, "transaction_cost": 1295500.0, "net_strategy_pnl": 8112784.16438362, "idle_cash_interest": 732395.6164383292, "net_account_pnl": 8845179.78082195, "cash_turnover": 7480000000.0, "futures_contract_turnover": 10950.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, { "year": "2025", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2025-01-02", "end": "2025-12-31", "days": 243, "active_days": 95, "active_ratio_pct": 39.09465020576132, "total_return_pct": 1.036408904109698, "annual_return_pct": 1.0421487980687871, "max_drawdown_pct": -1.134638315260661, "calmar": 0.9184854627700227, "strategy_total_return_pct": 1.036408904109698, "strategy_annual_return_pct": 1.0421487980687871, "strategy_max_drawdown_pct": -1.134638315260661, "strategy_calmar": 0.9184854627700227, "account_total_return_pct": 2.062223150685072, "account_annual_return_pct": 2.0737022661026394, "account_max_drawdown_pct": -1.0288585203532263, "account_calmar": 2.015536854756958, "gross_strategy_pnl": 1910558.904109737, "transaction_cost": 874150.0, "net_strategy_pnl": 1036408.9041097015, "idle_cash_interest": 1025814.2465753704, "net_account_pnl": 2062223.150685072, "cash_turnover": 5270000000.0, "futures_contract_turnover": 6943.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } }, { "year": "2026", "basis_max": 0.1, "spread_min_bp": 12.0, "irr_min": 0.012, "entry_confirmation_days": 1, "start": "2026-01-05", "end": "2026-07-20", "days": 130, "active_days": 96, "active_ratio_pct": 73.84615384615385, "total_return_pct": 2.0273103835616757, "annual_return_pct": 3.8083151397179327, "max_drawdown_pct": -0.6518194520548137, "calmar": 5.842592036356838, "strategy_total_return_pct": 2.0273103835616757, "strategy_annual_return_pct": 3.8083151397179327, "strategy_max_drawdown_pct": -0.6518194520548137, "strategy_calmar": 5.842592036356838, "account_total_return_pct": 2.2581405205479577, "account_annual_return_pct": 4.24610768404321, "account_max_drawdown_pct": -0.647687145635345, "account_calmar": 6.555800454983578, "gross_strategy_pnl": 3078110.383561641, "transaction_cost": 1050800.0, "net_strategy_pnl": 2027310.3835616857, "idle_cash_interest": 230830.13698627055, "net_account_pnl": 2258140.520547956, "cash_turnover": 6630000000.0, "futures_contract_turnover": 7756.0, "cost_assumptions": { "cash_one_way_bp": 1.0, "futures_ticks_one_way": 1.0 } } ] }