ensemble_v7a_15pct_vrp
Pipeline: v7a_15pct_vrp
Backtest: 2011-01-04 → 2024-12-30
| periods/year: 252
| generated: 2026-06-09 01:29
Performance Metrics
Gross
| Sharpe | 0.446 |
|---|---|
| CAGR | +3.19% |
| Ann Vol | 7.71% |
| Max DD | -22.44% |
| Calmar | 0.142 |
| Sortino | 0.542 |
| Win Rate | 55.20% |
| VaR 95% | -0.763% |
| CVaR 95% | -1.249% |
| Best Day | +3.108% |
| Worst Day | -3.333% |
| Days | 3,520 |
Net of TC
| Sharpe | 0.401 |
|---|---|
| CAGR | +2.83% |
| Ann Vol | 7.71% |
| Max DD | -23.14% |
| Calmar | 0.122 |
| Sortino | 0.487 |
| Win Rate | 55.14% |
| VaR 95% | -0.767% |
| CVaR 95% | -1.251% |
| Best Day | +3.107% |
| Worst Day | -3.333% |
| Days | 3,520 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | +1.18 | +0.75 | -0.70 | +3.19 | -1.68 | -1.74 | -1.12 | -3.92 | -3.43 | +2.86 | -0.60 | -0.71 | -6.01 |
| 2012 | +3.84 | +0.38 | +2.20 | -1.15 | -1.42 | +1.02 | -0.62 | +2.32 | +0.83 | -0.97 | +3.22 | +0.94 | +10.95 |
| 2013 | +3.11 | -0.20 | +1.37 | +1.81 | +1.99 | -3.54 | +3.11 | -1.01 | +3.18 | +0.33 | +1.91 | +1.08 | +13.73 |
| 2014 | -1.41 | +1.42 | -2.17 | -0.62 | +2.43 | +2.89 | -0.95 | +2.26 | -2.12 | +0.37 | +1.46 | -2.16 | +1.21 |
| 2015 | -0.73 | +2.18 | +0.79 | +2.02 | +1.99 | -1.78 | +1.06 | -3.00 | -1.30 | +1.77 | +0.73 | -1.92 | +1.65 |
| 2016 | -2.43 | -0.68 | +1.01 | +0.05 | +1.40 | -1.91 | +3.04 | +1.67 | +1.20 | -1.36 | +1.14 | -0.10 | +2.92 |
| 2017 | +5.03 | +0.36 | +1.28 | -0.57 | -0.30 | +0.92 | +2.18 | -2.09 | +3.47 | +1.52 | +0.84 | +2.51 | +16.02 |
| 2018 | +2.70 | -4.68 | -1.64 | +0.56 | +2.71 | -1.01 | +0.66 | -0.44 | -0.14 | -7.71 | -0.10 | -0.94 | -10.02 |
| 2019 | +0.72 | +0.97 | +0.13 | +1.72 | -3.79 | +1.70 | +1.92 | -2.83 | +0.17 | +1.64 | +3.30 | +2.41 | +8.11 |
| 2020 | -1.93 | -2.84 | -5.55 | +1.50 | +0.02 | +0.97 | -0.99 | +1.38 | -1.14 | +0.13 | +5.72 | +1.10 | -2.02 |
| 2021 | +0.44 | +4.04 | -0.28 | +1.75 | +1.39 | +1.08 | -2.89 | +0.80 | -0.48 | +2.16 | -1.36 | +1.30 | +8.06 |
| 2022 | -1.08 | -0.14 | +0.29 | -2.17 | -0.39 | -1.47 | +1.31 | +1.62 | +1.68 | +0.04 | -1.46 | -0.63 | -2.47 |
| 2023 | +1.82 | +0.68 | -0.92 | -0.37 | +1.05 | +3.61 | +1.98 | -0.74 | -2.76 | -2.72 | +5.56 | +2.03 | +9.26 |
| 2024 | -0.65 | +1.39 | +2.46 | -3.31 | +2.50 | +0.54 | -0.90 | -2.43 | +0.44 | -1.66 | +1.88 | -3.11 | -3.05 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −0.1155% | −$5,775/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −0.2310% | −$11,550/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −0.3465% NAV/yr | −$17,325/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −0.118% | −0.000% | −0.118% |
| $25M | −0.265% | −0.000% | −0.265% |
| $100M | −0.529% | −0.000% | −0.529% |
| $500M | −1.183% | −0.000% | −1.183% |
| $1.0B | −1.673% | −0.000% | −1.673% |
| $2.5B | −2.645% | −0.000% | −2.645% |
| $5.0B | −3.741% | −0.000% | −3.741% |
| $10.0B | −5.290% | −0.000% | −5.290% |
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 |
|---|---|---|---|---|---|---|
| VIXY | 0.5% | 2.3% | 4.6% | 11.4%! | 22.9%* | 45.7%* |
| SPY | 0.2% | 1.1% | 2.2% | 5.6% | 11.2%! | 22.3%* |
| TIP | 0.2% | 1.0% | 2.0% | 5.0% | 10.1%! | 20.2%* |
| LQD | 0.2% | 1.0% | 2.0% | 5.0% | 10.1%! | 20.2%* |
| FXY | 0.2% | 1.0% | 2.0% | 5.0% | 9.9% | 19.9%! |
| GLD | 0.2% | 1.0% | 2.0% | 5.0% | 9.9% | 19.9%! |
| DBA | 0.2% | 1.0% | 2.0% | 4.9% | 9.9% | 19.7%! |
| QQQ | 0.2% | 1.0% | 2.0% | 4.9% | 9.9% | 19.7%! |
| MDY | 0.2% | 1.0% | 2.0% | 4.9% | 9.9% | 19.7%! |
| TLT | 0.2% | 1.0% | 2.0% | 4.9% | 9.8% | 19.7%! |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)