Demo Lookahead Cheat
Pipeline: paw_auto_research eval_strategy.py
Backtest: 2010-04-01 → 2019-08-02
| periods/year: 252
| generated: 2026-05-24 08:26
Performance Metrics
Gross
| Sharpe | 7.167 |
|---|---|
| CAGR | +663.17% |
| Ann Vol | 29.05% |
| Max DD | -4.83% |
| Calmar | 137.383 |
| Sortino | 29.243 |
| Win Rate | 58.76% |
| VaR 95% | -1.098% |
| CVaR 95% | -1.480% |
| Best Day | +5.538% |
| Worst Day | -2.341% |
| Days | 2,437 |
Net of TC
| Sharpe | 6.963 |
|---|---|
| CAGR | +626.92% |
| Ann Vol | 29.20% |
| Max DD | -4.83% |
| Calmar | 129.874 |
| Sortino | 28.203 |
| Win Rate | 57.61% |
| VaR 95% | -1.123% |
| CVaR 95% | -1.504% |
| Best Day | +5.538% |
| Worst Day | -2.341% |
| Days | 2,437 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | — | — | — | +21.77 | +15.89 | +26.24 | +20.17 | +19.27 | +18.32 | +14.18 | +20.47 | +13.09 | +369.97 |
| 2011 | +21.47 | +19.43 | +24.04 | +18.59 | +22.67 | +14.20 | +14.06 | +24.18 | +12.87 | +24.37 | +24.71 | +19.78 | +787.97 |
| 2012 | +18.88 | +14.43 | +16.85 | +13.41 | +21.67 | +12.84 | +26.02 | +18.19 | +17.88 | +18.73 | +18.36 | +18.60 | +624.35 |
| 2013 | +23.56 | +21.98 | +16.34 | +21.12 | +14.93 | +17.54 | +21.32 | +17.36 | +14.98 | +18.21 | +16.57 | +24.01 | +702.53 |
| 2014 | +22.27 | +22.01 | +22.69 | +21.73 | +23.60 | +12.30 | +15.10 | +21.97 | +20.05 | +9.39 | +18.65 | +21.10 | +719.28 |
| 2015 | +24.82 | +11.58 | +28.51 | +18.42 | +16.99 | +23.99 | +20.90 | +19.47 | +18.68 | +15.77 | +18.73 | +16.97 | +747.48 |
| 2016 | +18.03 | +21.80 | +16.28 | +16.69 | +20.70 | +15.34 | +26.16 | +18.77 | +17.99 | +18.58 | +19.17 | +12.68 | +664.45 |
| 2017 | +16.61 | +15.54 | +16.31 | +21.15 | +24.76 | +15.19 | +18.86 | +22.08 | +11.76 | +26.39 | +12.11 | +22.16 | +665.82 |
| 2018 | +24.17 | +18.74 | +14.89 | +22.97 | +19.45 | +17.87 | +22.34 | +19.70 | +13.42 | +23.60 | +27.18 | +15.11 | +781.36 |
| 2019 | +22.18 | +21.42 | +19.36 | +24.78 | +23.16 | +18.94 | +23.19 | -0.97 | — | — | — | — | +294.84 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −1.6202% | −$81,008/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −3.2403% | −$162,016/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −4.8605% NAV/yr | −$243,024/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −7.079% | −0.000% | −7.079% |
| $25M | −15.829% | −0.000% | −15.829% |
| $100M | −31.659% | −0.000% | −31.659% |
| $500M | −70.791% | −0.000% | −70.791% |
| $1.0B | −100.114% | −0.000% | −100.114% |
| $2.5B | −158.294% | −0.000% | −158.294% |
| $5.0B | −223.861% | −0.000% | −223.861% |
| $10.0B | −316.588% | −0.000% | −316.588% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| ASSET00 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET01 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET02 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET03 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET04 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET05 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET06 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET07 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET08 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET09 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)