{ "low_vol": { "base_checks": { "positive_profit": true, "reduces_drawdown20percent": true, "retains90percent_reference": false, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": false }, "code_hash": "14c0008cefed99b1a0e38d62b51b9ecb3f0e55421c6e04db40aa9a33a679bc69", "dataset_sha256": "06f656d1a34f2278e30737f6ae0ade738e61b365117f53d476441ba0f96850a5", "experiment_id": 42, "hypothesis_id": 27, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/historical-momentum-20261018/alias-repair/dataset.json", "dataset_sha256": "06f656d1a34f2278e30737f6ae0ade738e61b365117f53d476441ba0f96850a5", "end": "2023-12-31", "exposure": "0.60", "family": "low_vol", "ficha_path": "docs/estrategias/historical-low-volatility-kraken-1.md", "ficha_sha256": "a6c4ad2b6b54b95196c39f8e1cc00f9dd5cf3ce8c3f3813de53bd208668ef534", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 180, "lower_fee": "0.0038", "max_order_eur": "1500", "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 6, "name": "historical_low_volatility_kraken", "qty_step": "0.00000001", "scenarios": [ "base", "lookback144", "lookback216", "count5", "count7", "months3", "months12", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2021-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.0" }, "reproduced_identically": true, "result_sha256": "ac2dbd54f8544191d878b46fd8dcd259725c39ed2775973cfec015e06e718327", "runs_sha256": { "base": "a1f381ed6047aff3a88ccaf3689d5a2071fb7e99dfa9699b6ea84dc5557e44df", "count5": "d560f3a2fcbdeb011f5c614ad9ff8ce2f4e0894bc2282c5f1737925b868de866", "count7": "a50b41000c2e6b26ee3b521045903c73b2eabdbe124b4c11e750eeee4b3f7d00", "delay_one_more_day": "ab144df7bc0cf7939363a17de19cb5f0c76d0f5aeb8a60ceb81ea0be27045842", "double_cost_half_capacity": "2b7956c0473f0fb0b99beec04f2503fb3b9bedc221f7824ba83e1cfc1a208165", "lookback144": "970f5ecc2ee9c92b58bffea79100ec99e2f657f744b787b8645a3af6c0d4f9be", "lookback216": "2032db56af92dddefbcd8bf4358b714850abf1a5d8dd3596a1daca24891fd9cc", "miss_each_3rd": "4bc9be9420e105036b063bec3e4d0149046ac11ebc0762c680cd222b44cd7c2d", "months12": "527408b9ae77db0de1d115734e6b4aa6a2cf358255dbdad9f9ab4d6d388d9a92", "months3": "416561e7b2d0264e8cd43c31093af09019c058178ab2e06e00dfe9a2656b1dad" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2021": 0.7389343876816008, "2022": -0.22966200704083306, "2023": 0.14951334879387468 }, "average_exposure": 0.32961676465571754, "cagr": 0.15487677460745908, "costs_eur": 136.60159545290608, "final_eur": 15398.50408002206, "fixed_cost_sensitivity_profit_eur": 1800.9681457304782, "max_drawdown": 0.5510670223795682, "profit_eur": 5398.5040800220595, "sharpe": 0.5702343348462697, "trades": 137, "turnover_eur": 12418.326859355098 }, "basket60": { "annual_returns": { "2021": 1.2751999737118576, "2022": -0.39923384864494826, "2023": 0.2623207551122826 }, "average_exposure": 0.5244713703689077, "cagr": 0.19955178973937726, "costs_eur": 194.45232500199563, "final_eur": 17254.1970063103, "fixed_cost_sensitivity_profit_eur": 3656.6610720187186, "max_drawdown": 0.7014053117972062, "profit_eur": 7254.1970063103, "sharpe": 0.6124439447892226, "trades": 117, "turnover_eur": 17677.48409109051 }, "candidate": { "annual_returns": { "2021": 0.5044505812533577, "2022": -0.29856246601303704, "2023": 0.3028822432549574 }, "average_exposure": 0.4754231852042796, "cagr": 0.11204475639841216, "costs_eur": 278.5294799020938, "final_eur": 13749.031056378053, "fixed_cost_sensitivity_profit_eur": 151.49512208647184, "max_drawdown": 0.5428283595350138, "profit_eur": 3749.031056378053, "sharpe": 0.46696880173148136, "trades": 57, "turnover_eur": 25320.86180928125 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 24, "filled": 180, "partial": 131 } }, "count5": { "books": { "basket30": { "annual_returns": { "2021": 0.7389343876816008, "2022": -0.22966200704083306, "2023": 0.14951334879387468 }, "average_exposure": 0.32961676465571754, "cagr": 0.15487677460745908, "costs_eur": 136.60159545290608, "final_eur": 15398.50408002206, "fixed_cost_sensitivity_profit_eur": 1800.9681457304782, "max_drawdown": 0.5510670223795682, "profit_eur": 5398.5040800220595, "sharpe": 0.5702343348462697, "trades": 137, "turnover_eur": 12418.326859355098 }, "basket60": { "annual_returns": { "2021": 1.2751999737118576, "2022": -0.39923384864494826, "2023": 0.2623207551122826 }, "average_exposure": 0.5244713703689077, "cagr": 0.19955178973937726, "costs_eur": 194.45232500199563, "final_eur": 17254.1970063103, "fixed_cost_sensitivity_profit_eur": 3656.6610720187186, "max_drawdown": 0.7014053117972062, "profit_eur": 7254.1970063103, "sharpe": 0.6124439447892226, "trades": 117, "turnover_eur": 17677.48409109051 }, "candidate": { "annual_returns": { "2021": 0.5763834094667468, "2022": -0.24612614381020814, "2023": 0.21693758226521753 }, "average_exposure": 0.4336745569461064, "cagr": 0.13095726770889038, "costs_eur": 233.25678797172, "final_eur": 14462.016128728786, "fixed_cost_sensitivity_profit_eur": 864.4801944372052, "max_drawdown": 0.4310662925157418, "profit_eur": 4462.0161287287865, "sharpe": 0.5279142088589593, "trades": 47, "turnover_eur": 21205.162542883634 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 24, "filled": 171, "partial": 130 } }, "count7": { "books": { "basket30": { "annual_returns": { "2021": 0.7389343876816008, "2022": -0.22966200704083306, "2023": 0.14951334879387468 }, "average_exposure": 0.32961676465571754, "cagr": 0.15487677460745908, "costs_eur": 136.60159545290608, "final_eur": 15398.50408002206, "fixed_cost_sensitivity_profit_eur": 1800.9681457304782, "max_drawdown": 0.5510670223795682, "profit_eur": 5398.5040800220595, "sharpe": 0.5702343348462697, "trades": 137, "turnover_eur": 12418.326859355098 }, "basket60": { "annual_returns": { "2021": 1.2751999737118576, "2022": -0.39923384864494826, "2023": 0.2623207551122826 }, "average_exposure": 0.5244713703689077, "cagr": 0.19955178973937726, "costs_eur": 194.45232500199563, "final_eur": 17254.1970063103, "fixed_cost_sensitivity_profit_eur": 3656.6610720187186, "max_drawdown": 0.7014053117972062, "profit_eur": 7254.1970063103, "sharpe": 0.6124439447892226, "trades": 117, "turnover_eur": 17677.48409109051 }, "candidate": { "annual_returns": { "2021": 0.44986637591127154, "2022": -0.29032302451080183, "2023": 0.38722096567135034 }, "average_exposure": 0.4700672416194601, "cagr": 0.12602161589113758, "costs_eur": 246.90123894942826, "final_eur": 14273.626798368803, "fixed_cost_sensitivity_profit_eur": 676.0908640772218, "max_drawdown": 0.5428240674139809, "profit_eur": 4273.626798368803, "sharpe": 0.5004147783062285, "trades": 62, "turnover_eur": 22445.567177220753 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 25, "filled": 184, "partial": 132 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2021": 0.7153255058265062, "2022": -0.21877076586772704, "2023": 0.1450694521686462 }, "average_exposure": 0.3253383504426715, "cagr": 0.15352782833588474, "costs_eur": 135.53773051936545, "final_eur": 15344.645539710009, "fixed_cost_sensitivity_profit_eur": 1747.1096054184277, "max_drawdown": 0.5543983151995868, "profit_eur": 5344.645539710009, "sharpe": 0.5652859636980994, "trades": 137, "turnover_eur": 12321.61186539686 }, "basket60": { "annual_returns": { "2021": 1.250284140383675, "2022": -0.39992418116753636, "2023": 0.26359467595897357 }, "average_exposure": 0.5276916533691035, "cagr": 0.19509768222559098, "costs_eur": 186.3696795330992, "final_eur": 17062.838223464358, "fixed_cost_sensitivity_profit_eur": 3465.3022891727765, "max_drawdown": 0.7093609835535204, "profit_eur": 7062.838223464358, "sharpe": 0.6041768444180459, "trades": 120, "turnover_eur": 16942.698139372656 }, "candidate": { "annual_returns": { "2021": 0.4247580317254218, "2022": -0.28496672302938675, "2023": 0.28788751478317165 }, "average_exposure": 0.4802368575738435, "cagr": 0.09481825046805548, "costs_eur": 277.034601751483, "final_eur": 13120.34638509862, "fixed_cost_sensitivity_profit_eur": -477.1895491929604, "max_drawdown": 0.5262444119039313, "profit_eur": 3120.346385098621, "sharpe": 0.42885369795406103, "trades": 57, "turnover_eur": 25184.963795589367 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 20, "filled": 177, "partial": 137 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2021": 0.6553214199397188, "2022": -0.226378302815876, "2023": 0.12867866572191544 }, "average_exposure": 0.3088169552847857, "cagr": 0.1307422580966704, "costs_eur": 227.36073060253523, "final_eur": 14453.775090411847, "fixed_cost_sensitivity_profit_eur": 856.2391561202662, "max_drawdown": 0.5429431198917398, "profit_eur": 4453.7750904118475, "sharpe": 0.5209083188458996, "trades": 126, "turnover_eur": 10334.578663751601 }, "basket60": { "annual_returns": { "2021": 1.1190848528673998, "2022": -0.37783242481208656, "2023": 0.22394355595196358 }, "average_exposure": 0.48477454846800794, "cagr": 0.17305889544122, "costs_eur": 306.699835882104, "final_eur": 16136.788653657997, "fixed_cost_sensitivity_profit_eur": 2539.252719366416, "max_drawdown": 0.6833102085276019, "profit_eur": 6136.788653657997, "sharpe": 0.5725230286694669, "trades": 111, "turnover_eur": 13940.901631004728 }, "candidate": { "annual_returns": { "2021": 0.43712795893975986, "2022": -0.30976564967185927, "2023": 0.2643747360497253 }, "average_exposure": 0.44579407029093193, "cagr": 0.07847909345524595, "costs_eur": 437.97948765372723, "final_eur": 12542.02946338908, "fixed_cost_sensitivity_profit_eur": -1055.5064709025005, "max_drawdown": 0.5252146762626273, "profit_eur": 2542.029463389081, "sharpe": 0.3909108894732947, "trades": 54, "turnover_eur": 19908.158529714874 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 47, "filled": 148, "partial": 143 } }, "lookback144": { "books": { "basket30": { "annual_returns": { "2021": 0.7389343876816008, "2022": -0.22966200704083306, "2023": 0.14951334879387468 }, "average_exposure": 0.32961676465571754, "cagr": 0.15487677460745908, "costs_eur": 136.60159545290608, "final_eur": 15398.50408002206, "fixed_cost_sensitivity_profit_eur": 1800.9681457304782, "max_drawdown": 0.5510670223795682, "profit_eur": 5398.5040800220595, "sharpe": 0.5702343348462697, "trades": 137, "turnover_eur": 12418.326859355098 }, "basket60": { "annual_returns": { "2021": 1.2751999737118576, "2022": -0.39923384864494826, "2023": 0.2623207551122826 }, "average_exposure": 0.5244713703689077, "cagr": 0.19955178973937726, "costs_eur": 194.45232500199563, "final_eur": 17254.1970063103, "fixed_cost_sensitivity_profit_eur": 3656.6610720187186, "max_drawdown": 0.7014053117972062, "profit_eur": 7254.1970063103, "sharpe": 0.6124439447892226, "trades": 117, "turnover_eur": 17677.48409109051 }, "candidate": { "annual_returns": { "2021": 2.2590181989398777, "2022": -0.3946306683852153, "2023": 0.13407499177320403 }, "average_exposure": 0.5568630720566036, "cagr": 0.3081659566296542, "costs_eur": 146.720755399357, "final_eur": 22374.275164279843, "fixed_cost_sensitivity_profit_eur": 8776.739229988261, "max_drawdown": 0.7856813634063334, "profit_eur": 12374.275164279843, "sharpe": 0.7168780276575669, "trades": 17, "turnover_eur": 13338.250490850636 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 23, "filled": 158, "partial": 113 } }, "lookback216": { "books": { "basket30": { "annual_returns": { "2021": 0.7389343876816008, "2022": -0.22966200704083306, "2023": 0.14951334879387468 }, "average_exposure": 0.32961676465571754, "cagr": 0.15487677460745908, "costs_eur": 136.60159545290608, "final_eur": 15398.50408002206, "fixed_cost_sensitivity_profit_eur": 1800.9681457304782, "max_drawdown": 0.5510670223795682, "profit_eur": 5398.5040800220595, "sharpe": 0.5702343348462697, "trades": 137, "turnover_eur": 12418.326859355098 }, "basket60": { "annual_returns": { "2021": 1.2751999737118576, "2022": -0.39923384864494826, "2023": 0.2623207551122826 }, "average_exposure": 0.5244713703689077, "cagr": 0.19955178973937726, "costs_eur": 194.45232500199563, "final_eur": 17254.1970063103, "fixed_cost_sensitivity_profit_eur": 3656.6610720187186, "max_drawdown": 0.7014053117972062, "profit_eur": 7254.1970063103, "sharpe": 0.6124439447892226, "trades": 117, "turnover_eur": 17677.48409109051 }, "candidate": { "annual_returns": { "2021": 0.5137978850355136, "2022": -0.33543002934620636, "2023": 0.33480633086561196 }, "average_exposure": 0.5052447962158934, "cagr": 0.10332853829142263, "costs_eur": 249.7397133001887, "final_eur": 13428.480264885975, "fixed_cost_sensitivity_profit_eur": -169.0556694056063, "max_drawdown": 0.5785051308703827, "profit_eur": 3428.480264885975, "sharpe": 0.4468783647469918, "trades": 51, "turnover_eur": 22703.610300017153 } }, "decisions": { "executed": 6 }, "orders": { "capacity_or_minimum": 25, "filled": 178, "partial": 127 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2021": 0.7389343876816008, "2022": -0.29861748668963406, "2023": 0.14746845459385471 }, "average_exposure": 0.3526414152179775, "cagr": 0.11864672827415146, "costs_eur": 94.97641245118304, "final_eur": 13995.192769703775, "fixed_cost_sensitivity_profit_eur": 397.65683541219414, "max_drawdown": 0.5912774934941285, "profit_eur": 3995.1927697037754, "sharpe": 0.4852905377323726, "trades": 91, "turnover_eur": 8634.219313743912 }, "basket60": { "annual_returns": { "2021": 1.2751999737118576, "2022": -0.4295598370466459, "2023": 0.2535991469857197 }, "average_exposure": 0.5445252209350852, "cagr": 0.17628090748029357, "costs_eur": 128.04751082602934, "final_eur": 16270.030131943364, "fixed_cost_sensitivity_profit_eur": 2672.4941976517825, "max_drawdown": 0.7167963920279743, "profit_eur": 6270.030131943364, "sharpe": 0.5757256762836189, "trades": 74, "turnover_eur": 11640.682802366304 }, "candidate": { "annual_returns": { "2021": 0.5044505812533577, "2022": -0.3590342366966479, "2023": 0.2690733313203706 }, "average_exposure": 0.5053730085603887, "cagr": 0.069678290356185, "costs_eur": 161.69460767590544, "final_eur": 12237.690824333533, "fixed_cost_sensitivity_profit_eur": -1359.8451099580484, "max_drawdown": 0.586601515985959, "profit_eur": 2237.690824333533, "sharpe": 0.37290600852818967, "trades": 35, "turnover_eur": 14699.509788718677 } }, "decisions": { "executed": 4, "missed_scenario": 2 }, "orders": { "capacity_or_minimum": 13, "filled": 109, "partial": 91 } }, "months12": { "books": { "basket30": { "annual_returns": { "2021": 0.7072522250570823, "2022": -0.23033814546015474, "2023": 0.11652767524695617 }, "average_exposure": 0.338310553952193, "cagr": 0.13638908516813752, "costs_eur": 90.0574394709484, "final_eur": 14671.25084617149, "fixed_cost_sensitivity_profit_eur": 1073.7149118799084, "max_drawdown": 0.5596953036496828, "profit_eur": 4671.25084617149, "sharpe": 0.5213794820868461, "trades": 68, "turnover_eur": 8187.0399519044 }, "basket60": { "annual_returns": { "2021": 1.2573507533956572, "2022": -0.39076149056316134, "2023": 0.2103044442377877 }, "average_exposure": 0.5306174674098909, "cagr": 0.1852524484918494, "costs_eur": 134.1950603898661, "final_eur": 16644.893515198233, "fixed_cost_sensitivity_profit_eur": 3047.357580906652, "max_drawdown": 0.6998744648325961, "profit_eur": 6644.893515198233, "sharpe": 0.5889429686706774, "trades": 69, "turnover_eur": 12199.550944533281 }, "candidate": { "annual_returns": { "2021": 0.5852656407283505, "2022": -0.3058415371156106, "2023": 0.24851174565330192 }, "average_exposure": 0.4692266048639183, "cagr": 0.11177250699278307, "costs_eur": 105.99596364058894, "final_eur": 13738.942374157561, "fixed_cost_sensitivity_profit_eur": 141.4064398659798, "max_drawdown": 0.5324124262190881, "profit_eur": 3738.942374157561, "sharpe": 0.46684210629899126, "trades": 17, "turnover_eur": 9635.996694598995 } }, "decisions": { "executed": 3 }, "orders": { "capacity_or_minimum": 11, "filled": 86, "partial": 68 } }, "months3": { "books": { "basket30": { "annual_returns": { "2021": 0.7870640882758759, "2022": -0.21749994651845994, "2023": 0.1464464396267937 }, "average_exposure": 0.29044496079119125, "cagr": 0.17050396675387858, "costs_eur": 212.7038401577796, "final_eur": 16031.651866082695, "fixed_cost_sensitivity_profit_eur": 2434.115931791114, "max_drawdown": 0.39605173313476416, "profit_eur": 6031.651866082695, "sharpe": 0.7104014255324501, "trades": 263, "turnover_eur": 19336.712741616328 }, "basket60": { "annual_returns": { "2021": 1.3457791910162387, "2022": -0.4063489076387047, "2023": 0.2835520966533105 }, "average_exposure": 0.5282303356858314, "cagr": 0.21376577558259013, "costs_eur": 363.5269593931102, "final_eur": 17874.417641488275, "fixed_cost_sensitivity_profit_eur": 4276.881707196693, "max_drawdown": 0.6330541154318459, "profit_eur": 7874.417641488275, "sharpe": 0.6463886095121458, "trades": 270, "turnover_eur": 33047.90539937365 }, "candidate": { "annual_returns": { "2021": 0.4562857703455845, "2022": -0.2489497305131645, "2023": 0.28280993741229676 }, "average_exposure": 0.457200148754838, "cagr": 0.11959140398424717, "costs_eur": 454.85958108805715, "final_eur": 14030.654416229449, "fixed_cost_sensitivity_profit_eur": 433.1184819378673, "max_drawdown": 0.48636292559120864, "profit_eur": 4030.6544162294485, "sharpe": 0.48678363249988593, "trades": 109, "turnover_eur": 41350.8710080052 } }, "decisions": { "executed": 12 }, "orders": { "capacity_or_minimum": 69, "filled": 416, "partial": 226 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -0.6748701152365914, "upper": 0.46050272712921214 }, "basket60": { "lower": -0.6711052115575575, "upper": 0.42461445066683656 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback144:drawdown_no_more5pp_worse", "lookback216:retains80percent_reference", "months3:retains80percent_reference", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:retains80percent_reference" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "absolute_trend": { "base_checks": { "positive_profit": true, "reduces_drawdown20percent": true, "retains90percent_reference": true, "sharpe_advantage_at_least_point1": true, "sharpe_not_below_lower_exposure": true }, "code_hash": "14c0008cefed99b1a0e38d62b51b9ecb3f0e55421c6e04db40aa9a33a679bc69", "dataset_sha256": "06f656d1a34f2278e30737f6ae0ade738e61b365117f53d476441ba0f96850a5", "experiment_id": 43, "hypothesis_id": 28, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/historical-momentum-20261018/alias-repair/dataset.json", "dataset_sha256": "06f656d1a34f2278e30737f6ae0ade738e61b365117f53d476441ba0f96850a5", "end": "2023-12-31", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-absolute-trend-kraken-1.md", "ficha_sha256": "ae51935905c20e5fbd4ecacaea61cf8b53725fefd7476cace2a6b8085008b95b", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_absolute_trend_kraken", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2021-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.0" }, "reproduced_identically": true, "result_sha256": "d277271d7c0f2828a7a087a324aeea309126c294f405b3ce4030dfe184d0514b", "runs_sha256": { "base": "88f8c27d49617bf1863ca016554cb49ff19ce31166cbca3a98d2be46abf04eb4", "delay_one_more_day": "a2cd58236e6eb8991b2b3e0319dde2094cbe1102f53592334742ba36fcdf2e4d", "double_cost_half_capacity": "241f38da4b38bcbe37401bf4e74258481bdd4df4af443004a1d5cab2288d75c4", "lookback292": "e55fbc468734155d758e17d1610bd2e2d1557b5f0e77594a8f1a0db043ba6a1d", "lookback330": "9e374496ff6185000eedefae7de955b1a3edbd6ab9112db58c1f4415f717aac4", "miss_each_3rd": "1c0f2d753a55fc6322b78bd767fa673d3d11889afa97f406bccc62b920c20b00", "months2": "7552b2a4a6c731e21caaf5ff8ac0d7cb614b878d5c9580a87596423e032c5793" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2021": 0.6988083320216028, "2022": -0.2470473850509466, "2023": 0.15727977606229948 }, "average_exposure": 0.2921557213442997, "cagr": 0.13978347673149516, "costs_eur": 324.0856875346797, "final_eur": 14803.02225273663, "fixed_cost_sensitivity_profit_eur": 1205.4863184450483, "max_drawdown": 0.36409434954131803, "profit_eur": 4803.0222527366295, "sharpe": 0.6519646763250301, "trades": 744, "turnover_eur": 29462.33523042543 }, "basket60": { "annual_returns": { "2021": 1.4998676555324435, "2022": -0.4485935306045913, "2023": 0.3206018981135206 }, "average_exposure": 0.5692231053519715, "cagr": 0.2211799392423719, "costs_eur": 662.4988572175608, "final_eur": 18203.747035790642, "fixed_cost_sensitivity_profit_eur": 4606.2111014990605, "max_drawdown": 0.612351443013089, "profit_eur": 8203.747035790642, "sharpe": 0.6592845388141714, "trades": 782, "turnover_eur": 60227.168837960075 }, "candidate": { "annual_returns": { "2021": 1.3460612885501608, "2022": -0.12489767217493009, "2023": 0.0174237386403977 }, "average_exposure": 0.27700134423572464, "cagr": 0.27851665398628467, "costs_eur": 705.712214698182, "final_eur": 20888.15391586572, "fixed_cost_sensitivity_profit_eur": 7290.61798157414, "max_drawdown": 0.46880485664721927, "profit_eur": 10888.153915865722, "sharpe": 0.8308748065699111, "trades": 480, "turnover_eur": 64155.655881652914 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 303, "filled": 1579, "partial": 427 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2021": 0.7009213060899815, "2022": -0.24520333618719437, "2023": 0.15575993425864687 }, "average_exposure": 0.2904247204944852, "cagr": 0.1406867695869809, "costs_eur": 327.3280574582572, "final_eur": 14838.220763584757, "fixed_cost_sensitivity_profit_eur": 1240.6848292931759, "max_drawdown": 0.3569815148127833, "profit_eur": 4838.220763584757, "sharpe": 0.6586042889616167, "trades": 729, "turnover_eur": 29757.096132568837 }, "basket60": { "annual_returns": { "2021": 1.4950235988481464, "2022": -0.449826428510386, "2023": 0.313612000041122 }, "average_exposure": 0.5643108802153209, "cagr": 0.21732241824143728, "costs_eur": 646.4396194963547, "final_eur": 18031.899962397576, "fixed_cost_sensitivity_profit_eur": 4434.364028105994, "max_drawdown": 0.6111969755844906, "profit_eur": 8031.899962397576, "sharpe": 0.6533981970113447, "trades": 764, "turnover_eur": 58767.23813603224 }, "candidate": { "annual_returns": { "2021": 1.3467301751498182, "2022": -0.14266214002174282, "2023": 0.01486901066884494 }, "average_exposure": 0.27945062321559766, "cagr": 0.26885647202526375, "costs_eur": 700.5058311951842, "final_eur": 20418.561929470223, "fixed_cost_sensitivity_profit_eur": 6821.025995178641, "max_drawdown": 0.4655378284508218, "profit_eur": 10418.561929470223, "sharpe": 0.8119563801018325, "trades": 483, "turnover_eur": 63682.348290471295 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 383, "filled": 1512, "partial": 464 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2021": 0.6389611411756604, "2022": -0.24212497800074873, "2023": 0.14936092791511535 }, "average_exposure": 0.2839656992711731, "cagr": 0.12609802121749203, "costs_eur": 599.0903359368041, "final_eur": 14276.530584171713, "fixed_cost_sensitivity_profit_eur": 678.9946498801314, "max_drawdown": 0.36309821364231776, "profit_eur": 4276.530584171713, "sharpe": 0.6112406764071252, "trades": 702, "turnover_eur": 27231.378906218368 }, "basket60": { "annual_returns": { "2021": 1.3307651408468852, "2022": -0.44100476877140626, "2023": 0.2977594839551301 }, "average_exposure": 0.5399283716000599, "cagr": 0.19147706597701353, "costs_eur": 1098.521182393345, "final_eur": 16908.334401720622, "fixed_cost_sensitivity_profit_eur": 3310.7984674290406, "max_drawdown": 0.6102319242260807, "profit_eur": 6908.334401720622, "sharpe": 0.6126788740933247, "trades": 727, "turnover_eur": 49932.781017879315 }, "candidate": { "annual_returns": { "2021": 1.192573204785789, "2022": -0.16694486166688915, "2023": 0.015597850588537465 }, "average_exposure": 0.27723832656163966, "cagr": 0.22888471181317582, "costs_eur": 1200.3139148690495, "final_eur": 18550.24384685302, "fixed_cost_sensitivity_profit_eur": 4952.707912561438, "max_drawdown": 0.46583457709895737, "profit_eur": 8550.24384685302, "sharpe": 0.7333126280982571, "trades": 496, "turnover_eur": 54559.72340313861 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 444, "filled": 1349, "partial": 576 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2021": 0.6988083320216028, "2022": -0.2470473850509466, "2023": 0.15727977606229948 }, "average_exposure": 0.2921557213442997, "cagr": 0.13978347673149516, "costs_eur": 324.0856875346797, "final_eur": 14803.02225273663, "fixed_cost_sensitivity_profit_eur": 1205.4863184450483, "max_drawdown": 0.36409434954131803, "profit_eur": 4803.0222527366295, "sharpe": 0.6519646763250301, "trades": 744, "turnover_eur": 29462.33523042543 }, "basket60": { "annual_returns": { "2021": 1.4998676555324435, "2022": -0.4485935306045913, "2023": 0.3206018981135206 }, "average_exposure": 0.5692231053519715, "cagr": 0.2211799392423719, "costs_eur": 662.4988572175608, "final_eur": 18203.747035790642, "fixed_cost_sensitivity_profit_eur": 4606.2111014990605, "max_drawdown": 0.612351443013089, "profit_eur": 8203.747035790642, "sharpe": 0.6592845388141714, "trades": 782, "turnover_eur": 60227.168837960075 }, "candidate": { "annual_returns": { "2021": 1.569275372293781, "2022": -0.21982976797540466, "2023": 0.026624107690282894 }, "average_exposure": 0.27539329298506066, "cagr": 0.272160922601028, "costs_eur": 782.2972903475393, "final_eur": 20578.3944607639, "fixed_cost_sensitivity_profit_eur": 6980.858526472317, "max_drawdown": 0.4629926853087376, "profit_eur": 10578.394460763899, "sharpe": 0.819806448718774, "trades": 529, "turnover_eur": 71117.93548613993 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 315, "filled": 1576, "partial": 479 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2021": 0.6988083320216028, "2022": -0.2470473850509466, "2023": 0.15727977606229948 }, "average_exposure": 0.2921557213442997, "cagr": 0.13978347673149516, "costs_eur": 324.0856875346797, "final_eur": 14803.02225273663, "fixed_cost_sensitivity_profit_eur": 1205.4863184450483, "max_drawdown": 0.36409434954131803, "profit_eur": 4803.0222527366295, "sharpe": 0.6519646763250301, "trades": 744, "turnover_eur": 29462.33523042543 }, "basket60": { "annual_returns": { "2021": 1.4998676555324435, "2022": -0.4485935306045913, "2023": 0.3206018981135206 }, "average_exposure": 0.5692231053519715, "cagr": 0.2211799392423719, "costs_eur": 662.4988572175608, "final_eur": 18203.747035790642, "fixed_cost_sensitivity_profit_eur": 4606.2111014990605, "max_drawdown": 0.612351443013089, "profit_eur": 8203.747035790642, "sharpe": 0.6592845388141714, "trades": 782, "turnover_eur": 60227.168837960075 }, "candidate": { "annual_returns": { "2021": 1.2099075243559723, "2022": -0.14723769626311745, "2023": 0.033998947666983526 }, "average_exposure": 0.26027764102597195, "cagr": 0.24922368702235187, "costs_eur": 672.4552680379821, "final_eur": 19485.977266380363, "fixed_cost_sensitivity_profit_eur": 5888.441332088782, "max_drawdown": 0.4681900919742791, "profit_eur": 9485.977266380363, "sharpe": 0.7831003970823565, "trades": 457, "turnover_eur": 61132.29709436202 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 306, "filled": 1561, "partial": 422 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2021": 0.7702179736278392, "2022": -0.21415189670303036, "2023": 0.15000287910933907 }, "average_exposure": 0.2894768956031322, "cagr": 0.16968256820203997, "costs_eur": 291.577830437441, "final_eur": 15997.948077408888, "fixed_cost_sensitivity_profit_eur": 2400.4121431173066, "max_drawdown": 0.32408909644498896, "profit_eur": 5997.948077408888, "sharpe": 0.7553804173376008, "trades": 509, "turnover_eur": 26507.075494312812 }, "basket60": { "annual_returns": { "2021": 1.523510725366466, "2022": -0.42276844105709077, "2023": 0.30128292380597754 }, "average_exposure": 0.5525558642146462, "cagr": 0.23776745349727935, "costs_eur": 528.5608047995356, "final_eur": 18955.138100166485, "fixed_cost_sensitivity_profit_eur": 5357.602165874903, "max_drawdown": 0.5954886818632267, "profit_eur": 8955.138100166485, "sharpe": 0.6901466930792428, "trades": 521, "turnover_eur": 48050.98225450324 }, "candidate": { "annual_returns": { "2021": 1.3297378834070623, "2022": -0.11432833560190048, "2023": 0.004032848003773237 }, "average_exposure": 0.28006748524086117, "cagr": 0.2750135458837457, "costs_eur": 578.5692005705145, "final_eur": 20717.041381306182, "fixed_cost_sensitivity_profit_eur": 7119.505447014601, "max_drawdown": 0.46154710506237107, "profit_eur": 10717.041381306182, "sharpe": 0.8216920401742233, "trades": 349, "turnover_eur": 52597.20005186495 } }, "decisions": { "executed": 24, "missed_scenario": 12 }, "orders": { "capacity_or_minimum": 195, "filled": 998, "partial": 381 } }, "months2": { "books": { "basket30": { "annual_returns": { "2021": 0.8245840631742507, "2022": -0.2603026378322456, "2023": 0.15407870198822216 }, "average_exposure": 0.28857318844924695, "cagr": 0.15929793864951636, "costs_eur": 252.93576491342517, "final_eur": 15575.908007979939, "fixed_cost_sensitivity_profit_eur": 1978.3720736883574, "max_drawdown": 0.36705950619079164, "profit_eur": 5575.908007979939, "sharpe": 0.7125858448350665, "trades": 381, "turnover_eur": 22994.160446675018 }, "basket60": { "annual_returns": { "2021": 1.5069614789800072, "2022": -0.4556543358291073, "2023": 0.30652948524924817 }, "average_exposure": 0.5437095421711251, "cagr": 0.2127498221392059, "costs_eur": 431.13232309452894, "final_eur": 17829.601803495676, "fixed_cost_sensitivity_profit_eur": 4232.065869204094, "max_drawdown": 0.6258931114651399, "profit_eur": 7829.601803495676, "sharpe": 0.6479757039465992, "trades": 398, "turnover_eur": 39193.84755404809 }, "candidate": { "annual_returns": { "2021": 1.4443410953936735, "2022": -0.23089908568508144, "2023": 0.01589211504643928 }, "average_exposure": 0.293314624854291, "cagr": 0.2408760311359237, "costs_eur": 475.02690108076206, "final_eur": 19098.21273130708, "fixed_cost_sensitivity_profit_eur": 5500.6767970155, "max_drawdown": 0.48590365456585816, "profit_eur": 9098.212731307081, "sharpe": 0.7468454590290602, "trades": 282, "turnover_eur": 43184.26373461473 } }, "decisions": { "executed": 18 }, "orders": { "capacity_or_minimum": 143, "filled": 739, "partial": 322 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -0.45212660779158953, "upper": 0.880389380946353 }, "basket60": { "lower": -0.4589584279902531, "upper": 0.8729097457686641 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [], "economic_screen_passed": true, "outcome": "inconclusive", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "bridge": { "cases": { "bitvavo11-early": { "base_checks": { "positive_profit": true, "reduces_drawdown20percent": true, "retains90percent_reference": true, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": true }, "code_hash": "fdbcd4919225790ba384f0715acd9f060e415b24bd49b43bb136624913ecb1ba", "dataset_sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010", "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "dataset_sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2023-12-31", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "member_count": 11, "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "provider": "bitvavo", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2021-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "reproduced_identically": true, "result_sha256": "df4446151cd65c5fc69a9db14937ebc058029ee9a3ffa9a8cc82181e84ffc81e", "runs_sha256": { "base": "7350aaa3bce4a5df78a39fa569815c2a3e1d19e7959ddcf381d7bf5f9d131244", "delay_one_more_day": "9367c89fdc8f6724c988e8f8907504cbbbb156f07450cce4029283d8d8bd083f", "double_cost_half_capacity": "4e62ba2d74cbdd99645166c3a1d6d3bb9e71fce412eee80ff82ff9eab22cdc43", "lookback292": "227132d6d6757cd40dcf5ec404a06dbdd6fd9431d07604757fc6fd6fcbbd0244", "lookback330": "8d71acfb68f32f0724116dcb8b2b8d151bac130c754c39b40912dd6ef2f72652", "miss_each_3rd": "d82605d09a8430d3f5da4306b374368a42d82d35affa2991c5f90ee87491f541", "months2": "0a18dddef851d6997cd6dbbe6440b96d7af018246e367f275f5b5bffef9624af" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2021": 0.5686118739110797, "2022": -0.24206715111360566, "2023": 0.2385683288878906 }, "average_exposure": 0.29319307122161353, "cagr": 0.1377856118124825, "costs_eur": 283.13314072730526, "final_eur": 14725.369410079113, "fixed_cost_sensitivity_profit_eur": 1127.8334757875314, "max_drawdown": 0.33647629628429354, "profit_eur": 4725.369410079113, "sharpe": 0.6554854585829127, "trades": 366, "turnover_eur": 25739.376429755022 }, "basket60": { "annual_returns": { "2021": 1.0842646704564332, "2022": -0.4449790017850225, "2023": 0.5084772256640697 }, "average_exposure": 0.5699659743994887, "cagr": 0.20408058030040066, "costs_eur": 513.3633586597573, "final_eur": 17450.225319093774, "fixed_cost_sensitivity_profit_eur": 3852.6893848021923, "max_drawdown": 0.582435440677553, "profit_eur": 7450.225319093774, "sharpe": 0.6334609278772577, "trades": 371, "turnover_eur": 46669.396241796116 }, "candidate": { "annual_returns": { "2021": 1.0341103035142134, "2022": -0.17871136243105334, "2023": 0.07271048188277351 }, "average_exposure": 0.30191518717873866, "cagr": 0.21481120559310707, "costs_eur": 614.762378167497, "final_eur": 17920.612059085284, "fixed_cost_sensitivity_profit_eur": 4323.076124793703, "max_drawdown": 0.44675055469743763, "profit_eur": 7920.612059085284, "sharpe": 0.7079746722103349, "trades": 239, "turnover_eur": 55887.48892431791 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 140, "filled": 802, "partial": 174 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2021": 0.5334710159865557, "2022": -0.23923273222431785, "2023": 0.23261056356202725 }, "average_exposure": 0.29265557299629286, "cagr": 0.12880894444568192, "costs_eur": 278.7033420474691, "final_eur": 14379.814241540404, "fixed_cost_sensitivity_profit_eur": 782.2783072488223, "max_drawdown": 0.3259669815553923, "profit_eur": 4379.814241540404, "sharpe": 0.6276491141847335, "trades": 372, "turnover_eur": 25336.66745886083 }, "basket60": { "annual_returns": { "2021": 1.0432676089346358, "2022": -0.4435063937435181, "2023": 0.4958918085035582 }, "average_exposure": 0.5678392150201677, "cagr": 0.19384480073116328, "costs_eur": 511.40518643506664, "final_eur": 17009.267581207925, "fixed_cost_sensitivity_profit_eur": 3411.731646916344, "max_drawdown": 0.5793668778839256, "profit_eur": 7009.267581207925, "sharpe": 0.6158496967213228, "trades": 374, "turnover_eur": 46491.38058500606 }, "candidate": { "annual_returns": { "2021": 0.9442840517309972, "2022": -0.18372707459849902, "2023": 0.07678178513721567 }, "average_exposure": 0.30183635845741835, "cagr": 0.1957142410134054, "costs_eur": 597.4741373376013, "final_eur": 17089.24224399817, "fixed_cost_sensitivity_profit_eur": 3491.7063097065898, "max_drawdown": 0.43923555379039014, "profit_eur": 7089.242243998171, "sharpe": 0.669227651304875, "trades": 243, "turnover_eur": 54315.83066705466 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 123, "filled": 806, "partial": 183 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2021": 0.4958604561270381, "2022": -0.24260722934569745, "2023": 0.22783781969837902 }, "average_exposure": 0.2860847214197587, "cagr": 0.11639309966051825, "costs_eur": 513.3725844920319, "final_eur": 13910.836407200357, "fixed_cost_sensitivity_profit_eur": 313.30047290877565, "max_drawdown": 0.3400029527143664, "profit_eur": 3910.836407200357, "sharpe": 0.5860793187266145, "trades": 359, "turnover_eur": 23335.117476910542 }, "basket60": { "annual_returns": { "2021": 0.85261585764417, "2022": -0.44750173040298136, "2023": 0.4842509216042248 }, "average_exposure": 0.5551053134346672, "cagr": 0.14969508683635446, "costs_eur": 847.3648942771093, "final_eur": 15192.303455629952, "fixed_cost_sensitivity_profit_eur": 1594.7675213383704, "max_drawdown": 0.5853712865742751, "profit_eur": 5192.303455629952, "sharpe": 0.5366468491892428, "trades": 370, "turnover_eur": 38516.58610350497 }, "candidate": { "annual_returns": { "2021": 0.7883763952309739, "2022": -0.20517730690536484, "2023": 0.06557365581792496 }, "average_exposure": 0.30224601947407337, "cagr": 0.14853805113841623, "costs_eur": 980.5472279334538, "final_eur": 15146.513005564591, "fixed_cost_sensitivity_profit_eur": 1548.97707127301, "max_drawdown": 0.44983683091845617, "profit_eur": 5146.513005564591, "sharpe": 0.5633389985425323, "trades": 245, "turnover_eur": 44570.32854242972 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 146, "filled": 723, "partial": 251 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2021": 0.5686118739110797, "2022": -0.24206715111360566, "2023": 0.2385683288878906 }, "average_exposure": 0.29319307122161353, "cagr": 0.1377856118124825, "costs_eur": 283.13314072730526, "final_eur": 14725.369410079113, "fixed_cost_sensitivity_profit_eur": 1127.8334757875314, "max_drawdown": 0.33647629628429354, "profit_eur": 4725.369410079113, "sharpe": 0.6554854585829127, "trades": 366, "turnover_eur": 25739.376429755022 }, "basket60": { "annual_returns": { "2021": 1.0842646704564332, "2022": -0.4449790017850225, "2023": 0.5084772256640697 }, "average_exposure": 0.5699659743994887, "cagr": 0.20408058030040066, "costs_eur": 513.3633586597573, "final_eur": 17450.225319093774, "fixed_cost_sensitivity_profit_eur": 3852.6893848021923, "max_drawdown": 0.582435440677553, "profit_eur": 7450.225319093774, "sharpe": 0.6334609278772577, "trades": 371, "turnover_eur": 46669.396241796116 }, "candidate": { "annual_returns": { "2021": 1.1133325764206639, "2022": -0.18845755445172319, "2023": 0.10287907055457901 }, "average_exposure": 0.30116607634430703, "cagr": 0.23689317167164603, "costs_eur": 671.6365426285331, "final_eur": 18915.02772175474, "fixed_cost_sensitivity_profit_eur": 5317.491787463159, "max_drawdown": 0.4404042330017216, "profit_eur": 8915.027721754741, "sharpe": 0.7647022723090443, "trades": 249, "turnover_eur": 61057.867511684824 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 136, "filled": 801, "partial": 185 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2021": 0.5686118739110797, "2022": -0.24206715111360566, "2023": 0.2385683288878906 }, "average_exposure": 0.29319307122161353, "cagr": 0.1377856118124825, "costs_eur": 283.13314072730526, "final_eur": 14725.369410079113, "fixed_cost_sensitivity_profit_eur": 1127.8334757875314, "max_drawdown": 0.33647629628429354, "profit_eur": 4725.369410079113, "sharpe": 0.6554854585829127, "trades": 366, "turnover_eur": 25739.376429755022 }, "basket60": { "annual_returns": { "2021": 1.0842646704564332, "2022": -0.4449790017850225, "2023": 0.5084772256640697 }, "average_exposure": 0.5699659743994887, "cagr": 0.20408058030040066, "costs_eur": 513.3633586597573, "final_eur": 17450.225319093774, "fixed_cost_sensitivity_profit_eur": 3852.6893848021923, "max_drawdown": 0.582435440677553, "profit_eur": 7450.225319093774, "sharpe": 0.6334609278772577, "trades": 371, "turnover_eur": 46669.396241796116 }, "candidate": { "annual_returns": { "2021": 0.9346196167067522, "2022": -0.14726221387759963, "2023": 0.06662479678204325 }, "average_exposure": 0.283280594837641, "cagr": 0.20743461689572462, "costs_eur": 592.8836800309145, "final_eur": 17596.35725146688, "fixed_cost_sensitivity_profit_eur": 3998.8213171753, "max_drawdown": 0.4450239735123319, "profit_eur": 7596.357251466881, "sharpe": 0.7009318715300135, "trades": 227, "turnover_eur": 53898.51636644678 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 130, "filled": 801, "partial": 163 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2021": 0.5681421568981597, "2022": -0.22620881851069774, "2023": 0.231431536720339 }, "average_exposure": 0.28993040690625854, "cagr": 0.14335118902103683, "costs_eur": 235.4404923991718, "final_eur": 14942.369714824581, "fixed_cost_sensitivity_profit_eur": 1344.8337805329998, "max_drawdown": 0.3169237719635486, "profit_eur": 4942.369714824581, "sharpe": 0.6751055703041848, "trades": 251, "turnover_eur": 21403.681127197437 }, "basket60": { "annual_returns": { "2021": 1.0362060560487163, "2022": -0.43152744535355125, "2023": 0.4979383229030774 }, "average_exposure": 0.5624170840281764, "cagr": 0.2015161837292323, "costs_eur": 426.58734403009197, "final_eur": 17339.044402650274, "fixed_cost_sensitivity_profit_eur": 3741.5084683586924, "max_drawdown": 0.5688784383590527, "profit_eur": 7339.044402650274, "sharpe": 0.62986520324701, "trades": 253, "turnover_eur": 38780.66763909927 }, "candidate": { "annual_returns": { "2021": 0.9154474639343719, "2022": -0.18014565149776518, "2023": 0.045109779456229626 }, "average_exposure": 0.30270667166953474, "cagr": 0.17970135694125822, "costs_eur": 459.80389932629424, "final_eur": 16412.277859360245, "fixed_cost_sensitivity_profit_eur": 2814.741925068664, "max_drawdown": 0.432178574502162, "profit_eur": 6412.277859360245, "sharpe": 0.6300436581098979, "trades": 168, "turnover_eur": 41800.35448420857 } }, "decisions": { "executed": 24, "missed_scenario": 12 }, "orders": { "capacity_or_minimum": 74, "filled": 535, "partial": 137 } }, "months2": { "books": { "basket30": { "annual_returns": { "2021": 0.687569377198, "2022": -0.24203325270972564, "2023": 0.23278737492092905 }, "average_exposure": 0.2920080156580384, "cagr": 0.1640683524749733, "costs_eur": 229.37329729898678, "final_eur": 15768.84801254505, "fixed_cost_sensitivity_profit_eur": 2171.3120782534684, "max_drawdown": 0.3293139044674108, "profit_eur": 5768.84801254505, "sharpe": 0.7447859092624632, "trades": 188, "turnover_eur": 20852.117936271527 }, "basket60": { "annual_returns": { "2021": 1.0894265719863387, "2022": -0.45045158123276763, "2023": 0.497397729950275 }, "average_exposure": 0.5632779689047497, "cagr": 0.198148052915873, "costs_eur": 360.6182546794403, "final_eur": 17193.735698048844, "fixed_cost_sensitivity_profit_eur": 3596.1997637572626, "max_drawdown": 0.5883561697081032, "profit_eur": 7193.735698048844, "sharpe": 0.6247007685840086, "trades": 192, "turnover_eur": 32783.47769813094 }, "candidate": { "annual_returns": { "2021": 1.0893091746876502, "2022": -0.24523503217377818, "2023": 0.035420807265254206 }, "average_exposure": 0.31582024132418995, "cagr": 0.1776757318455675, "costs_eur": 418.0610651635352, "final_eur": 16327.937667355733, "fixed_cost_sensitivity_profit_eur": 2730.4017330641514, "max_drawdown": 0.4729277544517838, "profit_eur": 6327.937667355733, "sharpe": 0.623690486769661, "trades": 140, "turnover_eur": 38005.5513785032 } }, "decisions": { "executed": 18 }, "orders": { "capacity_or_minimum": 55, "filled": 384, "partial": 136 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -0.477411525552552, "upper": 0.6656780965626194 }, "basket60": { "lower": -0.5100244230412813, "upper": 0.7517689224471371 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "sharpe_advantage_at_least_point1" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "bitvavo11-recent": { "base_checks": { "positive_profit": false, "reduces_drawdown20percent": true, "retains90percent_reference": false, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": false }, "code_hash": "fdbcd4919225790ba384f0715acd9f060e415b24bd49b43bb136624913ecb1ba", "dataset_sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010", "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "dataset_sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2026-09-30", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "member_count": 11, "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "provider": "bitvavo", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2024-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "reproduced_identically": true, "result_sha256": "74fba540025c58db4d4bd4ffb4285a18622710d93de7ed9ef49506fd019614cd", "runs_sha256": { "base": "d5348039af6a2cacdda67f043103bf1e7d40b0b0d91346bb9862b6b16d7aa821", "delay_one_more_day": "a44264a25cca602e2de55e22a54241daed0b7bdc901962ecfca896dca83d3b5b", "double_cost_half_capacity": "c2047bcdeca68c446b87c9d10af3069de7391d4abbc5005c66faca21ad80f254", "lookback292": "9ff2ee6aed52e6692a6fef7bacaa474b29cd6e4b4a2b0e479a311619afd751eb", "lookback330": "28c469554feb17edd218e6d05856a11863eb9a5fcd8f0d9747f694c433229898", "miss_each_3rd": "df5e586229dc40794854225423b533f17e5e875f3bc258b0e92c8a50c9f99a4a", "months2": "b77d8f47897a140afc917e90e98a655677f46d2fe420678e08c9e6b0b8cfa18a" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2024": 0.37479029678062625, "2025": -0.09484208639857916, "2026": -0.03147043763585189 }, "average_exposure": 0.28402790291236557, "cagr": 0.07027206297352695, "costs_eur": 183.6841330294205, "final_eur": 12052.404311726492, "fixed_cost_sensitivity_profit_eur": -1246.1583166102637, "max_drawdown": 0.2816963421633768, "profit_eur": 2052.404311726492, "sharpe": 0.45409817909395417, "trades": 311, "turnover_eur": 16698.557548129138 }, "basket60": { "annual_returns": { "2024": 0.6427879002829657, "2025": -0.17584066849160496, "2026": -0.06527390047394233 }, "average_exposure": 0.5345880017021938, "cagr": 0.0894513948451876, "costs_eur": 312.72076772401124, "final_eur": 12655.434051066417, "fixed_cost_sensitivity_profit_eur": -643.1285772703386, "max_drawdown": 0.4765448501967481, "profit_eur": 2655.434051066417, "sharpe": 0.41939276668524816, "trades": 322, "turnover_eur": 28429.160702182842 }, "candidate": { "annual_returns": { "2024": 0.1382477825880548, "2025": -0.17474424310489267, "2026": -0.040205532700496316 }, "average_exposure": 0.3161863776981959, "cagr": -0.03699054936838442, "costs_eur": 375.0301981583944, "final_eur": 9015.78647715147, "fixed_cost_sensitivity_profit_eur": -4282.776151185285, "max_drawdown": 0.3099382308428059, "profit_eur": -984.2135228485295, "sharpe": -0.03807396315761579, "trades": 246, "turnover_eur": 34093.654378035855 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 186, "filled": 677, "partial": 202 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2024": 0.3918499146997598, "2025": -0.09807215735758035, "2026": -0.029572832094831858 }, "average_exposure": 0.2852725061456566, "cagr": 0.07445218217181648, "costs_eur": 179.86397371734535, "final_eur": 12182.239895787154, "fixed_cost_sensitivity_profit_eur": -1116.3227325496018, "max_drawdown": 0.2862211050109513, "profit_eur": 2182.2398957871537, "sharpe": 0.47348048483988064, "trades": 308, "turnover_eur": 16351.270337940485 }, "basket60": { "annual_returns": { "2024": 0.6723877501021189, "2025": -0.18457254469285678, "2026": -0.06321462100817299 }, "average_exposure": 0.5353223136294755, "cagr": 0.0931860836367795, "costs_eur": 306.5020085007789, "final_eur": 12775.04420443895, "fixed_cost_sensitivity_profit_eur": -523.5184238978063, "max_drawdown": 0.4832528587730526, "profit_eur": 2775.0442044389492, "sharpe": 0.42904134693235013, "trades": 326, "turnover_eur": 27863.818954616265 }, "candidate": { "annual_returns": { "2024": 0.1653859687388639, "2025": -0.18848967757073365, "2026": -0.044378184178118785 }, "average_exposure": 0.3221218023731526, "cagr": -0.036146170427515556, "costs_eur": 387.17294491859934, "final_eur": 9037.532851646196, "fixed_cost_sensitivity_profit_eur": -4261.02977669056, "max_drawdown": 0.32600027682936983, "profit_eur": -962.4671483538041, "sharpe": -0.027829084709317015, "trades": 250, "turnover_eur": 35197.540447145395 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 180, "filled": 683, "partial": 201 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2024": 0.36021877842372696, "2025": -0.09692589689430109, "2026": -0.0292731856312608 }, "average_exposure": 0.2681068796473736, "cagr": 0.0661161939232906, "costs_eur": 348.1572540628771, "final_eur": 11924.198057894255, "fixed_cost_sensitivity_profit_eur": -1374.3645704425007, "max_drawdown": 0.27486133801884005, "profit_eur": 1924.1980578942548, "sharpe": 0.4477555650287902, "trades": 306, "turnover_eur": 15825.329730130776 }, "basket60": { "annual_returns": { "2024": 0.5903960472366077, "2025": -0.1650361298918357, "2026": -0.047229439418521646 }, "average_exposure": 0.5003351744446264, "cagr": 0.08934577174467795, "costs_eur": 586.458892606336, "final_eur": 12652.061684552436, "fixed_cost_sensitivity_profit_eur": -646.5009437843191, "max_drawdown": 0.44968583029925646, "profit_eur": 2652.0616845524364, "sharpe": 0.424159626013641, "trades": 313, "turnover_eur": 26657.222391197094 }, "candidate": { "annual_returns": { "2024": 0.21101103054538783, "2025": -0.1802304946146862, "2026": -0.049265449053554455 }, "average_exposure": 0.3157300462529304, "cagr": -0.020806695298474898, "costs_eur": 684.6033332634324, "final_eur": 9438.416432385986, "fixed_cost_sensitivity_profit_eur": -3860.1461959507697, "max_drawdown": 0.31838371388712294, "profit_eur": -561.5835676140141, "sharpe": 0.031847079626898527, "trades": 247, "turnover_eur": 31118.33333015602 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 218, "filled": 637, "partial": 229 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2024": 0.37479029678062625, "2025": -0.09484208639857916, "2026": -0.03147043763585189 }, "average_exposure": 0.28402790291236557, "cagr": 0.07027206297352695, "costs_eur": 183.6841330294205, "final_eur": 12052.404311726492, "fixed_cost_sensitivity_profit_eur": -1246.1583166102637, "max_drawdown": 0.2816963421633768, "profit_eur": 2052.404311726492, "sharpe": 0.45409817909395417, "trades": 311, "turnover_eur": 16698.557548129138 }, "basket60": { "annual_returns": { "2024": 0.6427879002829657, "2025": -0.17584066849160496, "2026": -0.06527390047394233 }, "average_exposure": 0.5345880017021938, "cagr": 0.0894513948451876, "costs_eur": 312.72076772401124, "final_eur": 12655.434051066417, "fixed_cost_sensitivity_profit_eur": -643.1285772703386, "max_drawdown": 0.4765448501967481, "profit_eur": 2655.434051066417, "sharpe": 0.41939276668524816, "trades": 322, "turnover_eur": 28429.160702182842 }, "candidate": { "annual_returns": { "2024": -0.0705731408791449, "2025": -0.03679570209610872, "2026": -0.06612631775593747 }, "average_exposure": 0.28486552517567343, "cagr": -0.06307531423000057, "costs_eur": 351.9815961792848, "final_eur": 8360.298177181137, "fixed_cost_sensitivity_profit_eur": -4938.264451155618, "max_drawdown": 0.3489465680716536, "profit_eur": -1639.7018228188626, "sharpe": -0.18127490759245452, "trades": 231, "turnover_eur": 31998.326925389527 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 169, "filled": 662, "partial": 202 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2024": 0.37479029678062625, "2025": -0.09484208639857916, "2026": -0.03147043763585189 }, "average_exposure": 0.28402790291236557, "cagr": 0.07027206297352695, "costs_eur": 183.6841330294205, "final_eur": 12052.404311726492, "fixed_cost_sensitivity_profit_eur": -1246.1583166102637, "max_drawdown": 0.2816963421633768, "profit_eur": 2052.404311726492, "sharpe": 0.45409817909395417, "trades": 311, "turnover_eur": 16698.557548129138 }, "basket60": { "annual_returns": { "2024": 0.6427879002829657, "2025": -0.17584066849160496, "2026": -0.06527390047394233 }, "average_exposure": 0.5345880017021938, "cagr": 0.0894513948451876, "costs_eur": 312.72076772401124, "final_eur": 12655.434051066417, "fixed_cost_sensitivity_profit_eur": -643.1285772703386, "max_drawdown": 0.4765448501967481, "profit_eur": 2655.434051066417, "sharpe": 0.41939276668524816, "trades": 322, "turnover_eur": 28429.160702182842 }, "candidate": { "annual_returns": { "2024": -0.032568365402861676, "2025": -0.07326982261828607, "2026": -0.04911198095442859 }, "average_exposure": 0.2930309239294737, "cagr": -0.05639529505497465, "costs_eur": 356.91980824195747, "final_eur": 8525.168375976311, "fixed_cost_sensitivity_profit_eur": -4773.394252360445, "max_drawdown": 0.30714135093851713, "profit_eur": -1474.831624023689, "sharpe": -0.15038070429540218, "trades": 232, "turnover_eur": 32447.255294723407 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 180, "filled": 677, "partial": 188 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2024": 0.2979397015987446, "2025": -0.0580028989663548, "2026": -0.02008977551955804 }, "average_exposure": 0.273661120873395, "cagr": 0.06795853502601501, "costs_eur": 142.75913687330046, "final_eur": 11980.925629710147, "fixed_cost_sensitivity_profit_eur": -1317.6369986266081, "max_drawdown": 0.2830593109627736, "profit_eur": 1980.9256297101474, "sharpe": 0.4421461384991244, "trades": 217, "turnover_eur": 12978.103352118223 }, "basket60": { "annual_returns": { "2024": 0.5729063840482282, "2025": -0.123723761974043, "2026": -0.03371312334936649 }, "average_exposure": 0.5064648448328503, "cagr": 0.1098754941767599, "costs_eur": 251.84226175562517, "final_eur": 13318.33674583291, "fixed_cost_sensitivity_profit_eur": 19.77411749615476, "max_drawdown": 0.4484191054145764, "profit_eur": 3318.3367458329103, "sharpe": 0.47657336613796375, "trades": 219, "turnover_eur": 22894.751068693196 }, "candidate": { "annual_returns": { "2024": 0.19457055046788563, "2025": -0.22203608669338637, "2026": -0.034051844446392754 }, "average_exposure": 0.3237756745206584, "cagr": -0.038504746588300054, "costs_eur": 299.3193376497969, "final_eur": 8976.872848937934, "fixed_cost_sensitivity_profit_eur": -4321.689779398822, "max_drawdown": 0.34236305757941, "profit_eur": -1023.1271510620663, "sharpe": -0.042312167883900395, "trades": 176, "turnover_eur": 27210.848877254266 } }, "decisions": { "executed": 22, "missed_scenario": 11 }, "orders": { "capacity_or_minimum": 102, "filled": 456, "partial": 156 } }, "months2": { "books": { "basket30": { "annual_returns": { "2024": 0.268249526493727, "2025": -0.06033099664581165, "2026": -0.023819318363085595 }, "average_exposure": 0.2823509413844047, "cagr": 0.05658609696688921, "costs_eur": 141.2661196136824, "final_eur": 11633.48458707979, "fixed_cost_sensitivity_profit_eur": -1665.0780412569648, "max_drawdown": 0.29072542152632663, "profit_eur": 1633.4845870797908, "sharpe": 0.38043613218612593, "trades": 169, "turnover_eur": 12842.374510334763 }, "basket60": { "annual_returns": { "2024": 0.5040799729628924, "2025": -0.12601924315641277, "2026": -0.038718850960700046 }, "average_exposure": 0.5178893812612061, "cagr": 0.08885488253185825, "costs_eur": 250.26931171602675, "final_eur": 12636.395927530737, "fixed_cost_sensitivity_profit_eur": -662.1667008060185, "max_drawdown": 0.45490179515839047, "profit_eur": 2636.395927530737, "sharpe": 0.4187252162491274, "trades": 173, "turnover_eur": 22751.755610547887 }, "candidate": { "annual_returns": { "2024": 0.24442606341351047, "2025": -0.19501173268500882, "2026": -0.03919937426823927 }, "average_exposure": 0.31810238908839306, "cagr": -0.013815735225484516, "costs_eur": 299.4271648338336, "final_eur": 9624.804708955518, "fixed_cost_sensitivity_profit_eur": -3673.757919381237, "max_drawdown": 0.3397318372390037, "profit_eur": -375.19529104448156, "sharpe": 0.059620684494622135, "trades": 136, "turnover_eur": 27220.65134853033 } }, "decisions": { "executed": 17 }, "orders": { "capacity_or_minimum": 72, "filled": 367, "partial": 111 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -1.3412061169484504, "upper": 0.4826921492913169 }, "basket60": { "lower": -1.2418841319727956, "upper": 0.4339794276754567 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "positive_profit", "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback292:profit_positive", "lookback292:retains80percent_reference", "lookback330:profit_positive", "lookback330:retains80percent_reference", "months2:profit_positive", "months2:retains80percent_reference", "double_cost_half_capacity:profit_positive", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:profit_positive", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:profit_positive", "miss_each_3rd:retains80percent_reference" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "bitvavo12-early": { "base_checks": { "positive_profit": true, "reduces_drawdown20percent": true, "retains90percent_reference": true, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": true }, "code_hash": "fdbcd4919225790ba384f0715acd9f060e415b24bd49b43bb136624913ecb1ba", "dataset_sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372", "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "dataset_sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2023-12-31", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "member_count": 12, "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "provider": "bitvavo", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2021-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "reproduced_identically": true, "result_sha256": "4348fac48880f54e0ad0e3c33b6434746e61c9011edb6391ae298f95dacbfc5a", "runs_sha256": { "base": "4e54bc0459f3df7031881b2bae887690ad56b950a64f97e503d168a58f293e15", "delay_one_more_day": "25781c55e27008bfc7e6ad8e3e0556e1a249ebffd7946dfdfc95397c8b6ca327", "double_cost_half_capacity": "fa09e7ab2fe1eece6936ebf06b814fdd2ccefe44d32a86b48cd7e07875f9a019", "lookback292": "072ba4158fd5a78c7c9ad05ddc8e12fb4089b9176833a93981a283bf4c4e0948", "lookback330": "bd20d5c33615f828ad1928d3363d09ebc2cf187022aa21cccad64c1ac2dbf859", "miss_each_3rd": "5b0eaa84c58ad3cf93b57107c7f867df9de38521445ee03d5680e88f3409dbc8", "months2": "03779884e573c7f32592c49e00f1b423ec63d51fbe5a4064d32d8567018961d6" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2021": 0.5332809387230879, "2022": -0.24269477734424205, "2023": 0.23633042065397558 }, "average_exposure": 0.2915872829507215, "cagr": 0.1281796602637948, "costs_eur": 272.13012692941294, "final_eur": 14355.794868851464, "fixed_cost_sensitivity_profit_eur": 758.2589345598831, "max_drawdown": 0.34812704831884345, "profit_eur": 4355.794868851464, "sharpe": 0.6254508295334942, "trades": 397, "turnover_eur": 24739.102448128448 }, "basket60": { "annual_returns": { "2021": 0.9655340663953331, "2022": -0.44401527251422657, "2023": 0.4984296350579125 }, "average_exposure": 0.5666899248294796, "cagr": 0.17880552626923607, "costs_eur": 481.98887977201235, "final_eur": 16374.942777240187, "fixed_cost_sensitivity_profit_eur": 2777.4068429486056, "max_drawdown": 0.5959132646531243, "profit_eur": 6374.942777240187, "sharpe": 0.5899897085939775, "trades": 404, "turnover_eur": 43817.17088836476 }, "candidate": { "annual_returns": { "2021": 0.9184129890795816, "2022": -0.17730503262205533, "2023": 0.06765847566991767 }, "average_exposure": 0.29567711855117385, "cagr": 0.19011657712512786, "costs_eur": 570.1762441407924, "final_eur": 16850.519666837186, "fixed_cost_sensitivity_profit_eur": 3252.983732545605, "max_drawdown": 0.455571590355785, "profit_eur": 6850.519666837186, "sharpe": 0.6569949139456441, "trades": 264, "turnover_eur": 51834.2040127993 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 159, "filled": 848, "partial": 217 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2021": 0.5081828913609996, "2022": -0.23998314841362234, "2023": 0.22936448272937437 }, "average_exposure": 0.29115932325684696, "cagr": 0.12120916690706274, "costs_eur": 270.0485757639783, "final_eur": 14091.521695109766, "fixed_cost_sensitivity_profit_eur": 493.9857608181851, "max_drawdown": 0.3390488122939469, "profit_eur": 4091.5216951097664, "sharpe": 0.6033844556902168, "trades": 403, "turnover_eur": 24549.87052399803 }, "basket60": { "annual_returns": { "2021": 0.933932902500598, "2022": -0.4421060267145196, "2023": 0.4862950406356321 }, "average_exposure": 0.5653005323134532, "cagr": 0.17061169779468854, "costs_eur": 479.8633055328067, "final_eur": 16036.075814595006, "fixed_cost_sensitivity_profit_eur": 2438.5398803034245, "max_drawdown": 0.5884464182126403, "profit_eur": 6036.075814595006, "sharpe": 0.5752468914435442, "trades": 401, "turnover_eur": 43623.936866618795 }, "candidate": { "annual_returns": { "2021": 0.863548273613679, "2022": -0.1846655291162259, "2023": 0.07107496668259161 }, "average_exposure": 0.297863630211049, "cagr": 0.17637845036974786, "costs_eur": 562.3964399416708, "final_eur": 16274.07526486083, "fixed_cost_sensitivity_profit_eur": 2676.539330569249, "max_drawdown": 0.45058389461838366, "profit_eur": 6274.07526486083, "sharpe": 0.6273373039551302, "trades": 271, "turnover_eur": 51126.94908560643 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 139, "filled": 850, "partial": 225 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2021": 0.45024973547727676, "2022": -0.24150100072169556, "2023": 0.22265590808496927 }, "average_exposure": 0.28313206209908015, "cagr": 0.10390085567434348, "costs_eur": 485.42923017216975, "final_eur": 13449.373604857603, "fixed_cost_sensitivity_profit_eur": -148.16232943397836, "max_drawdown": 0.3503875238079741, "profit_eur": 3449.373604857603, "sharpe": 0.5431823006293376, "trades": 380, "turnover_eur": 22064.965007825896 }, "basket60": { "annual_returns": { "2021": 0.7713292409750312, "2022": -0.44236010956104, "2023": 0.46996775691393955 }, "average_exposure": 0.5459450742856888, "cagr": 0.13246282736597936, "costs_eur": 806.4283118627934, "final_eur": 14519.810019322795, "fixed_cost_sensitivity_profit_eur": 922.2740850312134, "max_drawdown": 0.5890408365606716, "profit_eur": 4519.810019322795, "sharpe": 0.5047644205690907, "trades": 394, "turnover_eur": 36655.8323573997 }, "candidate": { "annual_returns": { "2021": 0.7098017642147356, "2022": -0.20423015415476176, "2023": 0.06438840458203643 }, "average_exposure": 0.297598021966224, "cagr": 0.131482508448018, "costs_eur": 923.5433024532276, "final_eur": 14482.161089086525, "fixed_cost_sensitivity_profit_eur": 884.6251547949437, "max_drawdown": 0.45491496038357626, "profit_eur": 4482.161089086525, "sharpe": 0.5261024590954699, "trades": 269, "turnover_eur": 41979.24102060126 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 184, "filled": 757, "partial": 286 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2021": 0.5332809387230879, "2022": -0.24269477734424205, "2023": 0.23633042065397558 }, "average_exposure": 0.2915872829507215, "cagr": 0.1281796602637948, "costs_eur": 272.13012692941294, "final_eur": 14355.794868851464, "fixed_cost_sensitivity_profit_eur": 758.2589345598831, "max_drawdown": 0.34812704831884345, "profit_eur": 4355.794868851464, "sharpe": 0.6254508295334942, "trades": 397, "turnover_eur": 24739.102448128448 }, "basket60": { "annual_returns": { "2021": 0.9655340663953331, "2022": -0.44401527251422657, "2023": 0.4984296350579125 }, "average_exposure": 0.5666899248294796, "cagr": 0.17880552626923607, "costs_eur": 481.98887977201235, "final_eur": 16374.942777240187, "fixed_cost_sensitivity_profit_eur": 2777.4068429486056, "max_drawdown": 0.5959132646531243, "profit_eur": 6374.942777240187, "sharpe": 0.5899897085939775, "trades": 404, "turnover_eur": 43817.17088836476 }, "candidate": { "annual_returns": { "2021": 0.9958008483118961, "2022": -0.18755104920407517, "2023": 0.09289004108856957 }, "average_exposure": 0.29386876060888484, "cagr": 0.21028221292219418, "costs_eur": 620.9013360849348, "final_eur": 17721.06234723998, "fixed_cost_sensitivity_profit_eur": 4123.526412948397, "max_drawdown": 0.4495718657207568, "profit_eur": 7721.062347239978, "sharpe": 0.7097117895489178, "trades": 279, "turnover_eur": 56445.57600772135 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 161, "filled": 849, "partial": 231 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2021": 0.5332809387230879, "2022": -0.24269477734424205, "2023": 0.23633042065397558 }, "average_exposure": 0.2915872829507215, "cagr": 0.1281796602637948, "costs_eur": 272.13012692941294, "final_eur": 14355.794868851464, "fixed_cost_sensitivity_profit_eur": 758.2589345598831, "max_drawdown": 0.34812704831884345, "profit_eur": 4355.794868851464, "sharpe": 0.6254508295334942, "trades": 397, "turnover_eur": 24739.102448128448 }, "basket60": { "annual_returns": { "2021": 0.9655340663953331, "2022": -0.44401527251422657, "2023": 0.4984296350579125 }, "average_exposure": 0.5666899248294796, "cagr": 0.17880552626923607, "costs_eur": 481.98887977201235, "final_eur": 16374.942777240187, "fixed_cost_sensitivity_profit_eur": 2777.4068429486056, "max_drawdown": 0.5959132646531243, "profit_eur": 6374.942777240187, "sharpe": 0.5899897085939775, "trades": 404, "turnover_eur": 43817.17088836476 }, "candidate": { "annual_returns": { "2021": 0.8042913720926486, "2022": -0.14799611326482898, "2023": 0.061603928100228744 }, "average_exposure": 0.2762731611724139, "cagr": 0.17747624032976916, "costs_eur": 545.0698131449299, "final_eur": 16319.647172783029, "fixed_cost_sensitivity_profit_eur": 2722.1112384914472, "max_drawdown": 0.45172200691720943, "profit_eur": 6319.6471727830285, "sharpe": 0.6369902644646123, "trades": 250, "turnover_eur": 49551.801194993626 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 146, "filled": 844, "partial": 207 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2021": 0.5255173148988475, "2022": -0.22665458765500368, "2023": 0.22844789853981484 }, "average_exposure": 0.2878275450950317, "cagr": 0.1317554395182179, "costs_eur": 222.081447617239, "final_eur": 14492.636403060404, "fixed_cost_sensitivity_profit_eur": 895.1004687688223, "max_drawdown": 0.3288997978458835, "profit_eur": 4492.636403060404, "sharpe": 0.6391011084177428, "trades": 264, "turnover_eur": 20189.22251065809 }, "basket60": { "annual_returns": { "2021": 0.9107813308646557, "2022": -0.42874658448057157, "2023": 0.4849366968139359 }, "average_exposure": 0.5561409684166955, "cagr": 0.17479962884584066, "costs_eur": 396.5871816823388, "final_eur": 16208.683389446778, "fixed_cost_sensitivity_profit_eur": 2611.147455155197, "max_drawdown": 0.5806454484553536, "profit_eur": 6208.683389446778, "sharpe": 0.5837495143207344, "trades": 276, "turnover_eur": 36053.38015293989 }, "candidate": { "annual_returns": { "2021": 0.8146623957213768, "2022": -0.18316201055119508, "2023": 0.043293436846666644 }, "average_exposure": 0.29970991302705163, "cagr": 0.15652753076898018, "costs_eur": 432.93489167663193, "final_eur": 15464.584028018411, "fixed_cost_sensitivity_profit_eur": 1867.0480937268298, "max_drawdown": 0.44066903766464993, "profit_eur": 5464.584028018411, "sharpe": 0.5798746897539249, "trades": 191, "turnover_eur": 39357.71742514836 } }, "decisions": { "executed": 24, "missed_scenario": 12 }, "orders": { "capacity_or_minimum": 90, "filled": 550, "partial": 181 } }, "months2": { "books": { "basket30": { "annual_returns": { "2021": 0.6325275475874557, "2022": -0.24027800101619945, "2023": 0.22470215476619182 }, "average_exposure": 0.28726188966466976, "cagr": 0.1496262798866026, "costs_eur": 219.80276143676733, "final_eur": 15189.577798733912, "fixed_cost_sensitivity_profit_eur": 1592.0418644423303, "max_drawdown": 0.3390065996219389, "profit_eur": 5189.577798733912, "sharpe": 0.7028740042075483, "trades": 201, "turnover_eur": 19982.0692215243 }, "basket60": { "annual_returns": { "2021": 0.9894320309252511, "2022": -0.43938111845995254, "2023": 0.47217116561402594 }, "average_exposure": 0.54699212939848, "cagr": 0.17987014619194364, "costs_eur": 346.1548801248463, "final_eur": 16419.31874895602, "fixed_cost_sensitivity_profit_eur": 2821.7828146644374, "max_drawdown": 0.5857602995675107, "profit_eur": 6419.318748956019, "sharpe": 0.5957352808664215, "trades": 207, "turnover_eur": 31468.62546589512 }, "candidate": { "annual_returns": { "2021": 0.9890139900797723, "2022": -0.23659206493360663, "2023": 0.037614193242603955 }, "average_exposure": 0.30725751198734175, "cagr": 0.16373799145032142, "costs_eur": 397.0097449856009, "final_eur": 15755.435471852696, "fixed_cost_sensitivity_profit_eur": 2157.8995375611144, "max_drawdown": 0.47092130897597595, "profit_eur": 5755.435471852696, "sharpe": 0.598274518237351, "trades": 151, "turnover_eur": 36091.79499869099 } }, "decisions": { "executed": 18 }, "orders": { "capacity_or_minimum": 67, "filled": 391, "partial": 168 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -0.5050873575586096, "upper": 0.6611662244904272 }, "basket60": { "lower": -0.512811513726299, "upper": 0.7392162699260807 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "sharpe_advantage_at_least_point1" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "bitvavo12-recent": { "base_checks": { "positive_profit": false, "reduces_drawdown20percent": true, "retains90percent_reference": false, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": false }, "code_hash": "fdbcd4919225790ba384f0715acd9f060e415b24bd49b43bb136624913ecb1ba", "dataset_sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372", "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "dataset_sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2026-09-30", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "member_count": 12, "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "provider": "bitvavo", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2024-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "reproduced_identically": true, "result_sha256": "561a421a36f8a5f80c74af636024b0622314ceebe02c203e71c278513c13cdc0", "runs_sha256": { "base": "b5d1e5ecd70949e0d07f9367a84d312f26b14f5232b9b2de53fe35e24da80882", "delay_one_more_day": "2cfc2164d699a345f490e30d619fcdf0776d31a9fb713171da867b25a64aeb9e", "double_cost_half_capacity": "51db7f4f00684d7e9379407f08e877d55bcccea81ddee12031557b5395979f46", "lookback292": "722969a3dcff861f6954566eaacd780260dc7c7b32f5223c814a6d339129dd1e", "lookback330": "b8e605edf281c2dbb3f05810ebcaa72ed0d19c4b65b09aab9aace9ffcde53172", "miss_each_3rd": "52cc26ccf16f0c529f38da589da15d28d8495e09b50370a3185738fbe257b871", "months2": "8c55adde8c11e1b223f5f3dd84e42165fc5032c6c92cb24f7d53254a3a6042e5" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2024": 0.33457013483555476, "2025": -0.10435349977828634, "2026": 0.001675197192826161 }, "average_exposure": 0.27979096491057676, "cagr": 0.06770323285886226, "costs_eur": 176.55422370806863, "final_eur": 11973.054389142737, "fixed_cost_sensitivity_profit_eur": -1325.5082391940186, "max_drawdown": 0.2934660423068254, "profit_eur": 1973.054389142737, "sharpe": 0.42392768355578797, "trades": 332, "turnover_eur": 16050.383973460785 }, "basket60": { "annual_returns": { "2024": 0.5721886481384113, "2025": -0.18916489603389552, "2026": -0.029176768657941055 }, "average_exposure": 0.5248255037587892, "cagr": 0.08063533393188749, "costs_eur": 295.5778157541279, "final_eur": 12375.916171690995, "fixed_cost_sensitivity_profit_eur": -922.6464566457607, "max_drawdown": 0.48530501875921783, "profit_eur": 2375.916171690995, "sharpe": 0.39498166404344087, "trades": 338, "turnover_eur": 26870.710523102538 }, "candidate": { "annual_returns": { "2024": 0.0984250251030927, "2025": -0.17709357167237028, "2026": -0.03670838386485409 }, "average_exposure": 0.30727731741167685, "cagr": -0.04911462949934198, "costs_eur": 350.13133953533764, "final_eur": 8707.202687884354, "fixed_cost_sensitivity_profit_eur": -4591.359940452402, "max_drawdown": 0.3115905947551527, "profit_eur": -1292.7973121156465, "sharpe": -0.1015930995777888, "trades": 263, "turnover_eur": 31830.121775939784 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 220, "filled": 690, "partial": 243 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2024": 0.3531784834236431, "2025": -0.10486906522360917, "2026": 0.007075694197122173 }, "average_exposure": 0.28022130071134277, "cagr": 0.07497128251954344, "costs_eur": 173.93716320663094, "final_eur": 12198.425104873491, "fixed_cost_sensitivity_profit_eur": -1100.1375234632642, "max_drawdown": 0.2941304357709845, "profit_eur": 2198.4251048734914, "sharpe": 0.45544232832385606, "trades": 327, "turnover_eur": 15812.469382420995 }, "basket60": { "annual_returns": { "2024": 0.6004928026453384, "2025": -0.19431033466055725, "2026": -0.023637312349762074 }, "average_exposure": 0.5225535292339984, "cagr": 0.0874051248925507, "costs_eur": 289.52876782292077, "final_eur": 12590.201841986622, "fixed_cost_sensitivity_profit_eur": -708.3607863501338, "max_drawdown": 0.48497422740502616, "profit_eur": 2590.2018419866217, "sharpe": 0.4132215777224188, "trades": 346, "turnover_eur": 26320.797074810976 }, "candidate": { "annual_returns": { "2024": 0.11984666200841798, "2025": -0.19147197143634975, "2026": -0.04065111142919753 }, "average_exposure": 0.31403304710758834, "cagr": -0.04994937163044155, "costs_eur": 360.08766413798696, "final_eur": 8686.207832326438, "fixed_cost_sensitivity_profit_eur": -4612.354796010318, "max_drawdown": 0.32874658617701247, "profit_eur": -1313.7921676735623, "sharpe": -0.0969939014469533, "trades": 262, "turnover_eur": 32735.242194362454 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 223, "filled": 695, "partial": 240 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2024": 0.3217487486942785, "2025": -0.1014022663946722, "2026": -0.009599777134539078 }, "average_exposure": 0.2618372373294355, "cagr": 0.06085643186704792, "costs_eur": 330.4285184497748, "final_eur": 11763.18578546483, "fixed_cost_sensitivity_profit_eur": -1535.3768428719259, "max_drawdown": 0.27841759473889216, "profit_eur": 1763.1857854648297, "sharpe": 0.4184970718371024, "trades": 315, "turnover_eur": 15019.4781113534 }, "basket60": { "annual_returns": { "2024": 0.5308512185904268, "2025": -0.17414032663518164, "2026": -0.027778151569419984 }, "average_exposure": 0.4843169062333719, "cagr": 0.07794771687436608, "costs_eur": 553.6927462352224, "final_eur": 12291.492512446597, "fixed_cost_sensitivity_profit_eur": -1007.0701158901584, "max_drawdown": 0.4496936436243204, "profit_eur": 2291.492512446597, "sharpe": 0.3941178453343849, "trades": 328, "turnover_eur": 25167.852101601024 }, "candidate": { "annual_returns": { "2024": 0.1718797419472513, "2025": -0.1837294495554065, "2026": -0.044464179341359156 }, "average_exposure": 0.30614930428174736, "cagr": -0.03217026946841539, "costs_eur": 637.5834134343074, "final_eur": 9140.377809849846, "fixed_cost_sensitivity_profit_eur": -4158.1848184869095, "max_drawdown": 0.3191458026415108, "profit_eur": -859.622190150154, "sharpe": -0.025967170084656002, "trades": 254, "turnover_eur": 28981.064247013972 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 279, "filled": 633, "partial": 264 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2024": 0.33457013483555476, "2025": -0.10435349977828634, "2026": 0.001675197192826161 }, "average_exposure": 0.27979096491057676, "cagr": 0.06770323285886226, "costs_eur": 176.55422370806863, "final_eur": 11973.054389142737, "fixed_cost_sensitivity_profit_eur": -1325.5082391940186, "max_drawdown": 0.2934660423068254, "profit_eur": 1973.054389142737, "sharpe": 0.42392768355578797, "trades": 332, "turnover_eur": 16050.383973460785 }, "basket60": { "annual_returns": { "2024": 0.5721886481384113, "2025": -0.18916489603389552, "2026": -0.029176768657941055 }, "average_exposure": 0.5248255037587892, "cagr": 0.08063533393188749, "costs_eur": 295.5778157541279, "final_eur": 12375.916171690995, "fixed_cost_sensitivity_profit_eur": -922.6464566457607, "max_drawdown": 0.48530501875921783, "profit_eur": 2375.916171690995, "sharpe": 0.39498166404344087, "trades": 338, "turnover_eur": 26870.710523102538 }, "candidate": { "annual_returns": { "2024": -0.07729687583032696, "2025": -0.051546290306760056, "2026": -0.06167305200433193 }, "average_exposure": 0.2805697015153431, "cagr": -0.06916882279999248, "costs_eur": 330.39620065977095, "final_eur": 8211.685722598984, "fixed_cost_sensitivity_profit_eur": -5086.876905737771, "max_drawdown": 0.35987885908160633, "profit_eur": -1788.3142774010157, "sharpe": -0.21886128900210888, "trades": 240, "turnover_eur": 30036.018241797363 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 216, "filled": 667, "partial": 243 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2024": 0.33457013483555476, "2025": -0.10435349977828634, "2026": 0.001675197192826161 }, "average_exposure": 0.27979096491057676, "cagr": 0.06770323285886226, "costs_eur": 176.55422370806863, "final_eur": 11973.054389142737, "fixed_cost_sensitivity_profit_eur": -1325.5082391940186, "max_drawdown": 0.2934660423068254, "profit_eur": 1973.054389142737, "sharpe": 0.42392768355578797, "trades": 332, "turnover_eur": 16050.383973460785 }, "basket60": { "annual_returns": { "2024": 0.5721886481384113, "2025": -0.18916489603389552, "2026": -0.029176768657941055 }, "average_exposure": 0.5248255037587892, "cagr": 0.08063533393188749, "costs_eur": 295.5778157541279, "final_eur": 12375.916171690995, "fixed_cost_sensitivity_profit_eur": -922.6464566457607, "max_drawdown": 0.48530501875921783, "profit_eur": 2375.916171690995, "sharpe": 0.39498166404344087, "trades": 338, "turnover_eur": 26870.710523102538 }, "candidate": { "annual_returns": { "2024": -0.04781173030930208, "2025": -0.0872488916398454, "2026": -0.04464628908245394 }, "average_exposure": 0.2882471660337734, "cagr": -0.0654130582604503, "costs_eur": 333.0377818029373, "final_eur": 8303.083221073424, "fixed_cost_sensitivity_profit_eur": -4995.479407263331, "max_drawdown": 0.3266295065679998, "profit_eur": -1696.9167789265757, "sharpe": -0.20161791608067922, "trades": 244, "turnover_eur": 30276.161982085207 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 219, "filled": 684, "partial": 230 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2024": 0.2633385686819405, "2025": -0.06729777077947074, "2026": -9.985550556446121e-05 }, "average_exposure": 0.2684520168257902, "cagr": 0.06147372689214681, "costs_eur": 137.91901059495663, "final_eur": 11782.010376604869, "fixed_cost_sensitivity_profit_eur": -1516.5522517318868, "max_drawdown": 0.2882002404245386, "profit_eur": 1782.0103766048687, "sharpe": 0.407565872499104, "trades": 233, "turnover_eur": 12538.091872268786 }, "basket60": { "annual_returns": { "2024": 0.5019423714589688, "2025": -0.1349082059350598, "2026": -0.013563659662607863 }, "average_exposure": 0.49295151167634993, "cagr": 0.09448912827572076, "costs_eur": 238.72495169023532, "final_eur": 12816.94513281219, "fixed_cost_sensitivity_profit_eur": -481.61749552456513, "max_drawdown": 0.44985543667461514, "profit_eur": 2816.9451328121904, "sharpe": 0.4378109540541891, "trades": 234, "turnover_eur": 21702.26833547594 }, "candidate": { "annual_returns": { "2024": 0.1489152117254149, "2025": -0.22111620215989214, "2026": -0.030078072500004827 }, "average_exposure": 0.3138390279353205, "cagr": -0.05021417754230817, "costs_eur": 280.7397843605448, "final_eur": 8679.554353490365, "fixed_cost_sensitivity_profit_eur": -4619.008274846391, "max_drawdown": 0.33833706669808394, "profit_eur": -1320.4456465096355, "sharpe": -0.10613684444925883, "trades": 186, "turnover_eur": 25521.79857823134 } }, "decisions": { "executed": 22, "missed_scenario": 11 }, "orders": { "capacity_or_minimum": 123, "filled": 466, "partial": 187 } }, "months2": { "books": { "basket30": { "annual_returns": { "2024": 0.23768752642149482, "2025": -0.06574444304178029, "2026": -0.0135336278414252 }, "average_exposure": 0.27165616574614965, "cagr": 0.04904506270568865, "costs_eur": 134.14662529016363, "final_eur": 11406.672928449076, "fixed_cost_sensitivity_profit_eur": -1891.8896998876799, "max_drawdown": 0.28694547337373544, "profit_eur": 1406.6729284490757, "sharpe": 0.34979787443432253, "trades": 177, "turnover_eur": 12195.14775365124 }, "basket60": { "annual_returns": { "2024": 0.43723546928781487, "2025": -0.13699177697220177, "2026": -0.028063510250866952 }, "average_exposure": 0.5010726374391994, "cagr": 0.07036804611538616, "costs_eur": 234.95650312000333, "final_eur": 12055.37564939341, "fixed_cost_sensitivity_profit_eur": -1243.186978943345, "max_drawdown": 0.45340483466794057, "profit_eur": 2055.3756493934106, "sharpe": 0.37035106223770303, "trades": 183, "turnover_eur": 21359.682101818486 }, "candidate": { "annual_returns": { "2024": 0.19901254297695203, "2025": -0.19334869909911478, "2026": -0.035495654866589454 }, "average_exposure": 0.3094920897401546, "cagr": -0.024969053890808612, "costs_eur": 279.67097445544493, "final_eur": 9328.541616574108, "fixed_cost_sensitivity_profit_eur": -3970.0210117626475, "max_drawdown": 0.3355506501816825, "profit_eur": -671.458383425892, "sharpe": 0.0041903183097257045, "trades": 142, "turnover_eur": 25424.634041404082 } }, "decisions": { "executed": 17 }, "orders": { "capacity_or_minimum": 94, "filled": 374, "partial": 128 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -1.3197421569756882, "upper": 0.5243565189933065 }, "basket60": { "lower": -1.296793536532145, "upper": 0.4675745129247776 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "positive_profit", "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback292:profit_positive", "lookback292:retains80percent_reference", "lookback330:profit_positive", "lookback330:retains80percent_reference", "months2:profit_positive", "months2:retains80percent_reference", "double_cost_half_capacity:profit_positive", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:profit_positive", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:profit_positive", "miss_each_3rd:retains80percent_reference" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "kraken11-early": { "base_checks": { "positive_profit": true, "reduces_drawdown20percent": true, "retains90percent_reference": true, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": true }, "code_hash": "fdbcd4919225790ba384f0715acd9f060e415b24bd49b43bb136624913ecb1ba", "dataset_sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a", "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "dataset_sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2023-12-31", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "member_count": 11, "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "provider": "kraken", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2021-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "reproduced_identically": true, "result_sha256": "6f5f9fbf7c97d6e0826f6fd64c777adcd6003490301e15e8e3127a6eda479c5d", "runs_sha256": { "base": "f4656a40d703341e0824c6e517148a089bdba19492681ba76fb7a57e0a077b0f", "delay_one_more_day": "33de13509b798a4dfe311f6cddd12538e3b5dc249757c718056ffeaf83e555c8", "double_cost_half_capacity": "4a116139328aebd3d84aa1b19984ff05cfbc15db28ca0ca8118ef203610f5b37", "lookback292": "4a256889e45b1b03ad58c4e3067493592839c638f5c51be57cecca117921fadf", "lookback330": "2ee486b6b87691b902abe7019398af3d1c093e2884a152d34b84c09b08691752", "miss_each_3rd": "b6912779d234587c77f2864a278f91f091fe9c3a1cd3572f56624f20ec7a0ce1", "months2": "716e2fdd89d6725ceaa2f8c209c7e6cdbce0709c7374cb24a755852f2435e6cb" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2021": 0.6457092812708696, "2022": -0.24574146562414334, "2023": 0.23973883744916535 }, "average_exposure": 0.29608805073006456, "cagr": 0.154632895821202, "costs_eur": 300.6375474749657, "final_eur": 15388.75756886767, "fixed_cost_sensitivity_profit_eur": 1791.2216345760885, "max_drawdown": 0.33986788107996535, "profit_eur": 5388.75756886767, "sharpe": 0.7045642744328758, "trades": 369, "turnover_eur": 27330.686134087788 }, "basket60": { "annual_returns": { "2021": 1.445834505417026, "2022": -0.4474619427791021, "2023": 0.5060203724917627 }, "average_exposure": 0.5745753671282217, "cagr": 0.26748792745291916, "costs_eur": 584.521291741997, "final_eur": 20352.61000460367, "fixed_cost_sensitivity_profit_eur": 6755.074070312088, "max_drawdown": 0.5951219558229199, "profit_eur": 10352.61000460367, "sharpe": 0.7326398873580359, "trades": 380, "turnover_eur": 53138.29924927245 }, "candidate": { "annual_returns": { "2021": 1.3184341438981786, "2022": -0.16999916267589277, "2023": 0.05101091860774143 }, "average_exposure": 0.30002063053896216, "cagr": 0.264823744109115, "costs_eur": 695.8425045761443, "final_eur": 20224.627077345976, "fixed_cost_sensitivity_profit_eur": 6627.091143054395, "max_drawdown": 0.4543308363509708, "profit_eur": 10224.627077345976, "sharpe": 0.7962020615074005, "trades": 237, "turnover_eur": 63258.40950692221 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 121, "filled": 814, "partial": 172 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2021": 0.6295955973106426, "2022": -0.24269456852419724, "2023": 0.23199772941284968 }, "average_exposure": 0.29242910751035794, "cagr": 0.14999287817350337, "costs_eur": 298.80064565512833, "final_eur": 15204.103653101347, "fixed_cost_sensitivity_profit_eur": 1606.5677188097657, "max_drawdown": 0.3324017442366053, "profit_eur": 5204.103653101347, "sharpe": 0.6941490541190083, "trades": 368, "turnover_eur": 27163.69505955712 }, "basket60": { "annual_returns": { "2021": 1.353985649237531, "2022": -0.4447435751027431, "2023": 0.48831029332041687 }, "average_exposure": 0.5714819570921903, "cagr": 0.24852222000985735, "costs_eur": 558.2245984915049, "final_eur": 19453.19269654717, "fixed_cost_sensitivity_profit_eur": 5855.656762255587, "max_drawdown": 0.5925270222631066, "profit_eur": 9453.192696547168, "sharpe": 0.7025588535177205, "trades": 366, "turnover_eur": 50747.690771955 }, "candidate": { "annual_returns": { "2021": 1.22646914301659, "2022": -0.1713449856285464, "2023": 0.04389136606162003 }, "average_exposure": 0.3010784906654867, "cagr": 0.24436246884024815, "costs_eur": 665.953713059717, "final_eur": 19259.532848901104, "fixed_cost_sensitivity_profit_eur": 5661.996914609523, "max_drawdown": 0.4525348286976256, "profit_eur": 9259.532848901104, "sharpe": 0.7573761965022763, "trades": 245, "turnover_eur": 60541.24664179246 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 134, "filled": 804, "partial": 175 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2021": 0.6114339253294365, "2022": -0.24851378649322475, "2023": 0.22858563630623507 }, "average_exposure": 0.29123885914610653, "cagr": 0.1417009883777125, "costs_eur": 561.1872299778202, "final_eur": 14877.808134623912, "fixed_cost_sensitivity_profit_eur": 1280.272200332331, "max_drawdown": 0.3621282180116534, "profit_eur": 4877.808134623912, "sharpe": 0.6552261212801205, "trades": 360, "turnover_eur": 25508.51045353728 }, "basket60": { "annual_returns": { "2021": 1.2444192995637597, "2022": -0.4458715979943312, "2023": 0.47507173820091997 }, "average_exposure": 0.5605888864896802, "cagr": 0.224341814008443, "costs_eur": 998.0429275607959, "final_eur": 18345.415283974326, "fixed_cost_sensitivity_profit_eur": 4747.879349682744, "max_drawdown": 0.5939938512156802, "profit_eur": 8345.415283974326, "sharpe": 0.6659874256008838, "trades": 371, "turnover_eur": 45365.58761639981 }, "candidate": { "annual_returns": { "2021": 1.0840890587631677, "2022": -0.19206181679681644, "2023": 0.02702084837028651 }, "average_exposure": 0.302120116281153, "cagr": 0.20045402285955305, "costs_eur": 1157.4858536859501, "final_eur": 17293.132410218346, "fixed_cost_sensitivity_profit_eur": 3695.596475926765, "max_drawdown": 0.44267004767027984, "profit_eur": 7293.132410218346, "sharpe": 0.671489090002042, "trades": 249, "turnover_eur": 52612.99334936137 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 157, "filled": 750, "partial": 230 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2021": 0.6457092812708696, "2022": -0.24574146562414334, "2023": 0.23973883744916535 }, "average_exposure": 0.29608805073006456, "cagr": 0.154632895821202, "costs_eur": 300.6375474749657, "final_eur": 15388.75756886767, "fixed_cost_sensitivity_profit_eur": 1791.2216345760885, "max_drawdown": 0.33986788107996535, "profit_eur": 5388.75756886767, "sharpe": 0.7045642744328758, "trades": 369, "turnover_eur": 27330.686134087788 }, "basket60": { "annual_returns": { "2021": 1.445834505417026, "2022": -0.4474619427791021, "2023": 0.5060203724917627 }, "average_exposure": 0.5745753671282217, "cagr": 0.26748792745291916, "costs_eur": 584.521291741997, "final_eur": 20352.61000460367, "fixed_cost_sensitivity_profit_eur": 6755.074070312088, "max_drawdown": 0.5951219558229199, "profit_eur": 10352.61000460367, "sharpe": 0.7326398873580359, "trades": 380, "turnover_eur": 53138.29924927245 }, "candidate": { "annual_returns": { "2021": 1.4726346528726637, "2022": -0.1867418961738162, "2023": 0.06591947685450084 }, "average_exposure": 0.2984391809314016, "cagr": 0.289574725580501, "costs_eur": 741.891213249134, "final_eur": 21434.469972189643, "fixed_cost_sensitivity_profit_eur": 7836.934037898061, "max_drawdown": 0.45205263037558885, "profit_eur": 11434.469972189643, "sharpe": 0.8501153729954142, "trades": 246, "turnover_eur": 67444.65574992126 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 139, "filled": 810, "partial": 185 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2021": 0.6457092812708696, "2022": -0.24574146562414334, "2023": 0.23973883744916535 }, "average_exposure": 0.29608805073006456, "cagr": 0.154632895821202, "costs_eur": 300.6375474749657, "final_eur": 15388.75756886767, "fixed_cost_sensitivity_profit_eur": 1791.2216345760885, "max_drawdown": 0.33986788107996535, "profit_eur": 5388.75756886767, "sharpe": 0.7045642744328758, "trades": 369, "turnover_eur": 27330.686134087788 }, "basket60": { "annual_returns": { "2021": 1.445834505417026, "2022": -0.4474619427791021, "2023": 0.5060203724917627 }, "average_exposure": 0.5745753671282217, "cagr": 0.26748792745291916, "costs_eur": 584.521291741997, "final_eur": 20352.61000460367, "fixed_cost_sensitivity_profit_eur": 6755.074070312088, "max_drawdown": 0.5951219558229199, "profit_eur": 10352.61000460367, "sharpe": 0.7326398873580359, "trades": 380, "turnover_eur": 53138.29924927245 }, "candidate": { "annual_returns": { "2021": 1.1824948816817615, "2022": -0.14745983927033834, "2023": 0.06974015113892085 }, "average_exposure": 0.2827884872489885, "cagr": 0.2581054537437688, "costs_eur": 657.8956379085965, "final_eur": 19904.275632652298, "fixed_cost_sensitivity_profit_eur": 6306.739698360716, "max_drawdown": 0.4531502210748789, "profit_eur": 9904.275632652298, "sharpe": 0.7967125030022618, "trades": 221, "turnover_eur": 59808.69435532696 } }, "decisions": { "executed": 36 }, "orders": { "capacity_or_minimum": 132, "filled": 805, "partial": 165 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2021": 0.6968746721400922, "2022": -0.2328712633453982, "2023": 0.23205599686709144 }, "average_exposure": 0.2937081979236208, "cagr": 0.17065698167290622, "costs_eur": 262.08665754498605, "final_eur": 16037.935628679676, "fixed_cost_sensitivity_profit_eur": 2440.3996943880943, "max_drawdown": 0.32342392401440356, "profit_eur": 6037.935628679676, "sharpe": 0.7567796469391023, "trades": 250, "turnover_eur": 23826.059776816914 }, "basket60": { "annual_returns": { "2021": 1.3984810082677361, "2022": -0.44003783294972343, "2023": 0.49372100580066847 }, "average_exposure": 0.568304348242587, "cagr": 0.2614126606299103, "costs_eur": 479.47882087477444, "final_eur": 20061.548772245053, "fixed_cost_sensitivity_profit_eur": 6464.012837953471, "max_drawdown": 0.5877885540601843, "profit_eur": 10061.548772245053, "sharpe": 0.7243053231890276, "trades": 256, "turnover_eur": 43588.983715888586 }, "candidate": { "annual_returns": { "2021": 1.1156391162488397, "2022": -0.1680909352718546, "2023": 0.022001991865872483 }, "average_exposure": 0.29929680689349564, "cagr": 0.21632026097699786, "costs_eur": 501.50307499050956, "final_eur": 17987.43290110366, "fixed_cost_sensitivity_profit_eur": 4389.896966812079, "max_drawdown": 0.4332610415651851, "profit_eur": 7987.432901103661, "sharpe": 0.7026395158626672, "trades": 164, "turnover_eur": 45591.18863550087 } }, "decisions": { "executed": 24, "missed_scenario": 12 }, "orders": { "capacity_or_minimum": 74, "filled": 548, "partial": 122 } }, "months2": { "books": { "basket30": { "annual_returns": { "2021": 0.7944829697311995, "2022": -0.24244737539160288, "2023": 0.2341597811860574 }, "average_exposure": 0.2945103908485014, "cagr": 0.18839044877075506, "costs_eur": 245.99067126595426, "final_eur": 16777.35668868465, "fixed_cost_sensitivity_profit_eur": 3179.820754393068, "max_drawdown": 0.3495035409473999, "profit_eur": 6777.356688684649, "sharpe": 0.7995390291182198, "trades": 188, "turnover_eur": 22362.78829690493 }, "basket60": { "annual_returns": { "2021": 1.3699572679797862, "2022": -0.4525081453894958, "2023": 0.49285250093543165 }, "average_exposure": 0.5708064699638191, "cagr": 0.2467438900479504, "costs_eur": 391.17802646774226, "final_eur": 19370.243390903917, "fixed_cost_sensitivity_profit_eur": 5772.707456612336, "max_drawdown": 0.588498947772769, "profit_eur": 9370.243390903917, "sharpe": 0.70176199053895, "trades": 191, "turnover_eur": 35561.63876979475 }, "candidate": { "annual_returns": { "2021": 1.3419012320050006, "2022": -0.23648612322369844, "2023": 0.03750871020161717 }, "average_exposure": 0.3250501264985972, "cagr": 0.22891079853011287, "costs_eur": 459.54938316856, "final_eur": 18551.42441486479, "fixed_cost_sensitivity_profit_eur": 4953.888480573207, "max_drawdown": 0.46800548010463805, "profit_eur": 8551.424414864789, "sharpe": 0.7184144565450259, "trades": 132, "turnover_eur": 41777.216651687275 } }, "decisions": { "executed": 18 }, "orders": { "capacity_or_minimum": 61, "filled": 399, "partial": 112 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -0.4719662317191774, "upper": 0.7088132767974422 }, "basket60": { "lower": -0.5047436147470001, "upper": 0.6947766105337185 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "sharpe_advantage_at_least_point1" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } }, "kraken11-recent": { "base_checks": { "positive_profit": false, "reduces_drawdown20percent": true, "retains90percent_reference": false, "sharpe_advantage_at_least_point1": false, "sharpe_not_below_lower_exposure": false }, "code_hash": "fdbcd4919225790ba384f0715acd9f060e415b24bd49b43bb136624913ecb1ba", "dataset_sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a", "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "dataset_sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2026-09-30", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "member_count": 11, "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "provider": "kraken", "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2024-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "reproduced_identically": true, "result_sha256": "5073ceb73e141ab5a850f04cb16b66db62502d969d887e0006990087e1637a6f", "runs_sha256": { "base": "0fb6cc009353d8cc063ceb8d398fd3e3902f09a82852b33cbb62bfa59ac05976", "delay_one_more_day": "d63917b525e7e9eca4f336d4dec3bb3ff19cdd5bb493162dd992d7f72584e738", "double_cost_half_capacity": "262a7d927b63f11bc17cd117fda5d50530608970cacb1bd9723371b9252d940b", "lookback292": "e4b12a9bf5837a205ba969e50b32c395076c15be444dc806bc35946446edabc8", "lookback330": "5d20611307acb919bde81580cf970ed0eca48e3cc62bdba08e445b1340a05795", "miss_each_3rd": "d316a46877b3a7f6985740baa7cc42ccfb3928af76388d99fed2a4ce37651f32", "months2": "2e529d942328feed53e15a3ac6ca44109b7300b8129d9ce17cda5ec9edc1b413" }, "scenarios": { "base": { "books": { "basket30": { "annual_returns": { "2024": 0.39510807900563116, "2025": -0.09632240426238037, "2026": -0.03247070612677605 }, "average_exposure": 0.277471166649551, "cagr": 0.07495482916002194, "costs_eur": 182.19932893318406, "final_eur": 12197.91189008166, "fixed_cost_sensitivity_profit_eur": -1100.6507382550963, "max_drawdown": 0.2802021151889237, "profit_eur": 2197.9118900816593, "sharpe": 0.4814769592291674, "trades": 320, "turnover_eur": 16563.575357562186 }, "basket60": { "annual_returns": { "2024": 0.645958312760841, "2025": -0.17482178028410544, "2026": -0.06044449708857791 }, "average_exposure": 0.5249244823811782, "cagr": 0.092752679697377, "costs_eur": 308.4047514392967, "final_eur": 12761.126933114674, "fixed_cost_sensitivity_profit_eur": -537.4356952220814, "max_drawdown": 0.46956599391433373, "profit_eur": 2761.126933114674, "sharpe": 0.4287905661213186, "trades": 323, "turnover_eur": 28036.79558539061 }, "candidate": { "annual_returns": { "2024": 0.19056183561177686, "2025": -0.19207146852530332, "2026": -0.043698692814349904 }, "average_exposure": 0.3197962294109398, "cagr": -0.029933745571553372, "costs_eur": 351.5363316353225, "final_eur": 9198.555889846915, "fixed_cost_sensitivity_profit_eur": -4100.00673848984, "max_drawdown": 0.32692172858988655, "profit_eur": -801.4441101530847, "sharpe": -0.0022821898677115003, "trades": 247, "turnover_eur": 31957.84833048386 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 167, "filled": 651, "partial": 239 } }, "delay_one_more_day": { "books": { "basket30": { "annual_returns": { "2024": 0.41569714738667685, "2025": -0.09901128128701042, "2026": -0.0326846008192343 }, "average_exposure": 0.28012593666116625, "cagr": 0.07944152091320178, "costs_eur": 182.44117833170267, "final_eur": 12338.370628865054, "fixed_cost_sensitivity_profit_eur": -960.1919994717018, "max_drawdown": 0.28565297122773325, "profit_eur": 2338.3706288650537, "sharpe": 0.5006529508042995, "trades": 314, "turnover_eur": 16585.561666518424 }, "basket60": { "annual_returns": { "2024": 0.6910209386256903, "2025": -0.18312355182680784, "2026": -0.061460891546781804 }, "average_exposure": 0.5254842963946635, "cagr": 0.09905817176780451, "costs_eur": 303.8393363993998, "final_eur": 12964.558573403534, "fixed_cost_sensitivity_profit_eur": -334.0040549332216, "max_drawdown": 0.4769101640792951, "profit_eur": 2964.558573403534, "sharpe": 0.4453838520505345, "trades": 332, "turnover_eur": 27621.75785449089 }, "candidate": { "annual_returns": { "2024": 0.19447782966396976, "2025": -0.20972969348926762, "2026": -0.05074017110271367 }, "average_exposure": 0.323595840351825, "cagr": -0.03913776582498307, "costs_eur": 362.44428562255376, "final_eur": 8960.636503593785, "fixed_cost_sensitivity_profit_eur": -4337.92612474297, "max_drawdown": 0.34811835094064825, "profit_eur": -1039.3634964062148, "sharpe": -0.03964751869457888, "trades": 252, "turnover_eur": 32949.48051114125 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 168, "filled": 664, "partial": 234 } }, "double_cost_half_capacity": { "books": { "basket30": { "annual_returns": { "2024": 0.36343006208628714, "2025": -0.09414238700944288, "2026": -0.02680510716253859 }, "average_exposure": 0.2620295299669936, "cagr": 0.06921372082349553, "costs_eur": 342.60240825679796, "final_eur": 12019.672239591675, "fixed_cost_sensitivity_profit_eur": -1278.8903887450806, "max_drawdown": 0.26672631098649047, "profit_eur": 2019.672239591675, "sharpe": 0.4674351175952284, "trades": 306, "turnover_eur": 15572.836738945362 }, "basket60": { "annual_returns": { "2024": 0.5924705113336199, "2025": -0.15888507288920084, "2026": -0.04434815963177352 }, "average_exposure": 0.4843992588435267, "cagr": 0.09397758460115013, "costs_eur": 555.8877219530862, "final_eur": 12800.485438027692, "fixed_cost_sensitivity_profit_eur": -498.07719030906355, "max_drawdown": 0.4379635185871822, "profit_eur": 2800.485438027692, "sharpe": 0.43994139684661077, "trades": 314, "turnover_eur": 25267.623725140278 }, "candidate": { "annual_returns": { "2024": 0.30928312634517474, "2025": -0.18723238141347043, "2026": -0.04824896297325032 }, "average_exposure": 0.3128980082908524, "cagr": 0.004637432905969963, "costs_eur": 658.293595982845, "final_eur": 10127.991358921681, "fixed_cost_sensitivity_profit_eur": -3170.5712694150743, "max_drawdown": 0.3244800758706854, "profit_eur": 127.99135892168124, "sharpe": 0.13898272332097408, "trades": 247, "turnover_eur": 29922.436181038407 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 214, "filled": 596, "partial": 271 } }, "lookback292": { "books": { "basket30": { "annual_returns": { "2024": 0.39510807900563116, "2025": -0.09632240426238037, "2026": -0.03247070612677605 }, "average_exposure": 0.277471166649551, "cagr": 0.07495482916002194, "costs_eur": 182.19932893318406, "final_eur": 12197.91189008166, "fixed_cost_sensitivity_profit_eur": -1100.6507382550963, "max_drawdown": 0.2802021151889237, "profit_eur": 2197.9118900816593, "sharpe": 0.4814769592291674, "trades": 320, "turnover_eur": 16563.575357562186 }, "basket60": { "annual_returns": { "2024": 0.645958312760841, "2025": -0.17482178028410544, "2026": -0.06044449708857791 }, "average_exposure": 0.5249244823811782, "cagr": 0.092752679697377, "costs_eur": 308.4047514392967, "final_eur": 12761.126933114674, "fixed_cost_sensitivity_profit_eur": -537.4356952220814, "max_drawdown": 0.46956599391433373, "profit_eur": 2761.126933114674, "sharpe": 0.4287905661213186, "trades": 323, "turnover_eur": 28036.79558539061 }, "candidate": { "annual_returns": { "2024": -0.06958826292314446, "2025": -0.039698606368433365, "2026": -0.06513746542172916 }, "average_exposure": 0.28613665710563274, "cagr": -0.06338234707232748, "costs_eur": 353.7594727505935, "final_eur": 8352.76946049053, "fixed_cost_sensitivity_profit_eur": -4945.7931678462255, "max_drawdown": 0.3384287995677324, "profit_eur": -1647.23053950947, "sharpe": -0.1814257570300007, "trades": 239, "turnover_eur": 32159.95206823577 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 159, "filled": 644, "partial": 238 } }, "lookback330": { "books": { "basket30": { "annual_returns": { "2024": 0.39510807900563116, "2025": -0.09632240426238037, "2026": -0.03247070612677605 }, "average_exposure": 0.277471166649551, "cagr": 0.07495482916002194, "costs_eur": 182.19932893318406, "final_eur": 12197.91189008166, "fixed_cost_sensitivity_profit_eur": -1100.6507382550963, "max_drawdown": 0.2802021151889237, "profit_eur": 2197.9118900816593, "sharpe": 0.4814769592291674, "trades": 320, "turnover_eur": 16563.575357562186 }, "basket60": { "annual_returns": { "2024": 0.645958312760841, "2025": -0.17482178028410544, "2026": -0.06044449708857791 }, "average_exposure": 0.5249244823811782, "cagr": 0.092752679697377, "costs_eur": 308.4047514392967, "final_eur": 12761.126933114674, "fixed_cost_sensitivity_profit_eur": -537.4356952220814, "max_drawdown": 0.46956599391433373, "profit_eur": 2761.126933114674, "sharpe": 0.4287905661213186, "trades": 323, "turnover_eur": 28036.79558539061 }, "candidate": { "annual_returns": { "2024": 0.048731233141016794, "2025": -0.08593701172171608, "2026": -0.04881478554914265 }, "average_exposure": 0.3009408254801414, "cagr": -0.033028223162196335, "costs_eur": 349.11113047530597, "final_eur": 9118.122387860963, "fixed_cost_sensitivity_profit_eur": -4180.440240475792, "max_drawdown": 0.2598796447639895, "profit_eur": -881.8776121390365, "sharpe": -0.03093224865399186, "trades": 239, "turnover_eur": 31737.37549775509 } }, "decisions": { "executed": 33 }, "orders": { "capacity_or_minimum": 170, "filled": 648, "partial": 234 } }, "miss_each_3rd": { "books": { "basket30": { "annual_returns": { "2024": 0.3091012813893266, "2025": -0.06613961319910477, "2026": -0.02393796874668641 }, "average_exposure": 0.279396088175495, "cagr": 0.06638721575335405, "costs_eur": 145.0518179259951, "final_eur": 11932.532354169205, "fixed_cost_sensitivity_profit_eur": -1366.0302741675505, "max_drawdown": 0.29507213781583574, "profit_eur": 1932.532354169205, "sharpe": 0.4271142181145946, "trades": 220, "turnover_eur": 13186.52890236319 }, "basket60": { "annual_returns": { "2024": 0.5910630949657525, "2025": -0.13025056803959711, "2026": -0.03919666420336354 }, "average_exposure": 0.4981094589792199, "cagr": 0.10919336042771266, "costs_eur": 244.21982103269337, "final_eur": 13295.84851278547, "fixed_cost_sensitivity_profit_eur": -2.7141155512863406, "max_drawdown": 0.4541734584204504, "profit_eur": 3295.848512785469, "sharpe": 0.4759380991963525, "trades": 219, "turnover_eur": 22201.801912063034 }, "candidate": { "annual_returns": { "2024": 0.24785748190961354, "2025": -0.20715897129219507, "2026": -0.0333235674412532 }, "average_exposure": 0.30573659215043225, "cagr": -0.016092871325384395, "costs_eur": 289.1535225600858, "final_eur": 9563.83851227499, "fixed_cost_sensitivity_profit_eur": -3734.724116061766, "max_drawdown": 0.32832537673896167, "profit_eur": -436.1614877250104, "sharpe": 0.046387942100199045, "trades": 169, "turnover_eur": 26286.68386909871 } }, "decisions": { "executed": 22, "missed_scenario": 11 }, "orders": { "capacity_or_minimum": 100, "filled": 432, "partial": 176 } }, "months2": { "books": { "basket30": { "annual_returns": { "2024": 0.2745491751204223, "2025": -0.056445488180377534, "2026": -0.022889027052471866 }, "average_exposure": 0.2705717905452383, "cagr": 0.06044997736345392, "costs_eur": 138.7976579287547, "final_eur": 11750.801291541351, "fixed_cost_sensitivity_profit_eur": -1547.7613367954045, "max_drawdown": 0.28131775902251055, "profit_eur": 1750.801291541351, "sharpe": 0.40605655845584154, "trades": 168, "turnover_eur": 12617.968902614064 }, "basket60": { "annual_returns": { "2024": 0.5055927741727317, "2025": -0.1241025502166504, "2026": -0.03785560874326521 }, "average_exposure": 0.5041329822027255, "cagr": 0.09047763125455588, "costs_eur": 243.22164507032278, "final_eur": 12688.229814296303, "fixed_cost_sensitivity_profit_eur": -610.3328140404528, "max_drawdown": 0.44878634860602884, "profit_eur": 2688.2298142963027, "sharpe": 0.42445473741468276, "trades": 174, "turnover_eur": 22111.058642756616 }, "candidate": { "annual_returns": { "2024": 0.27901084559832645, "2025": -0.18083320749321152, "2026": -0.039353692515340044 }, "average_exposure": 0.3310918712818003, "cagr": 0.002356691101881969, "costs_eur": 286.8955283563796, "final_eur": 10064.914348451175, "fixed_cost_sensitivity_profit_eur": -3233.6482798855805, "max_drawdown": 0.33242038968255183, "profit_eur": 64.9143484511751, "sharpe": 0.13357080556111137, "trades": 135, "turnover_eur": 26081.411668761782 } }, "decisions": { "executed": 17 }, "orders": { "capacity_or_minimum": 71, "filled": 344, "partial": 133 } } }, "uncertainty": { "block_days": 90, "comparisons": { "basket30": { "lower": -1.1943590011147032, "upper": 0.3432365234279968 }, "basket60": { "lower": -1.1059706405682181, "upper": 0.31748278897428656 } }, "confidence": 0.975, "global_multiple_testing_adjustment": false, "local_family_count": 2, "metric": "paired_daily_sharpe_difference", "samples": 2000, "seed": 20261019 }, "verdict": { "automatic_promotion": false, "economic_failures": [ "positive_profit", "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback292:profit_positive", "lookback292:retains80percent_reference", "lookback330:profit_positive", "lookback330:retains80percent_reference", "months2:retains80percent_reference", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:profit_positive", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:profit_positive", "miss_each_3rd:retains80percent_reference" ], "economic_screen_passed": false, "outcome": "negative", "scope": "fixed_cohort_exploration_modeled_costs_not_live_validation", "statistical_screen_passed": false, "sufficient_sample": true } } }, "experiment_id": 44, "hypothesis_id": 30, "protocol": { "asset_cap": "0.15", "band": "0", "capacity": "0.001", "capital": "10000", "cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" } ], "commission": "0.008", "contributions": "none", "count": 6, "criteria": "profit>0;final>=.9*basket60;DD<=.8*basket60;SharpeDiff60>=.1;SharpeDiff30>=0;stressProfit>0;stressFinal>=.8*basket60;stressDD<=basket60+.05;730days6reviews;paired90day2000seed20261019_CI97.5_lower_both>0", "dataset_path": "data/research/defensive-20261019/bridge/datasets.json", "dataset_sha256": "a2f97cb9d2864d1a2b8adb0fe0e9288a357f55445a3d6f83599c23e21ff8c3b2", "datasets": { "bitvavo11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo11.json", "provider": "bitvavo", "sha256": "21f8e7a64611232ace811a152badf0d7990a63ccde984332d77385be4aa99010" }, "bitvavo12": { "count": 12, "path": "data/research/defensive-20261019/bridge/dataset-bitvavo12.json", "provider": "bitvavo", "sha256": "07e8d7a1a741f19bd7a11e232ff75009648375589bd2f58066d2a0132dee7372" }, "kraken11": { "count": 11, "path": "data/research/defensive-20261019/bridge/dataset-kraken11.json", "provider": "kraken", "sha256": "dd755d8af0edae9c38aebfc67898070322fec1a52a42d93a8c4d887cfe57287a" } }, "end": "2026-09-30", "exposure": "0.60", "family": "absolute_trend", "ficha_path": "docs/estrategias/historical-trend-current-bridge-1.0.1.md", "ficha_sha256": "0da44e3903f7322f577c9604f98001327a7797cecdbf6cf80e98f46345899914", "fixed_cost_eur_year": "1200", "half_spread": "0.001", "lookback": 365, "lower_fee": "0.0038", "max_order_eur": "1500", "min_coverage": ".98", "min_notional": "5", "min_qty": "0.00000001", "months": 1, "name": "historical_trend_current_bridge", "origin_cohort": [ { "cmc_id": 1, "kraken_symbol": "XBT", "name": "Bitcoin", "symbol": "BTC" }, { "cmc_id": 2, "kraken_symbol": "LTC", "name": "Litecoin", "symbol": "LTC" }, { "cmc_id": 52, "kraken_symbol": "XRP", "name": "XRP", "symbol": "XRP" }, { "cmc_id": 74, "kraken_symbol": "XDG", "name": "Dogecoin", "symbol": "DOGE" }, { "cmc_id": 131, "kraken_symbol": "DASH", "name": "Dash", "symbol": "DASH" }, { "cmc_id": 328, "kraken_symbol": "XMR", "name": "Monero", "symbol": "XMR" }, { "cmc_id": 512, "kraken_symbol": "XLM", "name": "Stellar", "symbol": "XLM" }, { "cmc_id": 1027, "kraken_symbol": "ETH", "name": "Ethereum", "symbol": "ETH" }, { "cmc_id": 1042, "kraken_symbol": "SC", "name": "Siacoin", "symbol": "SC" }, { "cmc_id": 1104, "kraken_symbol": "REP", "name": "Augur", "symbol": "REP" }, { "cmc_id": 1214, "kraken_symbol": "LSK", "name": "Lisk", "symbol": "LSK" }, { "cmc_id": 1274, "kraken_symbol": "WAVES", "name": "Waves", "symbol": "WAVES" }, { "cmc_id": 1321, "kraken_symbol": "ETC", "name": "Ethereum Classic", "symbol": "ETC" }, { "cmc_id": 1437, "kraken_symbol": "ZEC", "name": "Zcash", "symbol": "ZEC" }, { "cmc_id": 1567, "kraken_symbol": "NANO", "name": "Nano", "symbol": "NANO" }, { "cmc_id": 1684, "kraken_symbol": "QTUM", "name": "Qtum", "symbol": "QTUM" }, { "cmc_id": 1697, "kraken_symbol": "BAT", "name": "Basic Attention Token", "symbol": "BAT" }, { "cmc_id": 1765, "kraken_symbol": "EOS", "name": "EOS", "symbol": "EOS" }, { "cmc_id": 1808, "kraken_symbol": "OMG", "name": "OmiseGO", "symbol": "OMG" }, { "cmc_id": 1831, "kraken_symbol": "BCH", "name": "Bitcoin Cash", "symbol": "BCH" }, { "cmc_id": 1975, "kraken_symbol": "LINK", "name": "Chainlink", "symbol": "LINK" }, { "cmc_id": 2010, "kraken_symbol": "ADA", "name": "Cardano", "symbol": "ADA" }, { "cmc_id": 2011, "kraken_symbol": "XTZ", "name": "Tezos", "symbol": "XTZ" }, { "cmc_id": 2099, "kraken_symbol": "ICX", "name": "ICON", "symbol": "ICX" } ], "periods": { "early": [ "2021-01-01", "2023-12-31" ], "recent": [ "2024-01-01", "2026-09-30" ] }, "qty_step": "0.00000001", "scenarios": [ "base", "lookback292", "lookback330", "months2", "double_cost_half_capacity", "delay_one_more_day", "miss_each_3rd" ], "slippage": "0.002", "start": "2021-01-01", "terminal_liquidation": false, "universe_label": "fixed", "version": "1.0.1" }, "result_sha256": "1484f04609a27181a2e934d50828667a17a359382fe464467d61860b6e88c2bc", "verdict": { "automatic_promotion": false, "economic_failures": { "bitvavo11-early": [ "sharpe_advantage_at_least_point1" ], "bitvavo11-recent": [ "positive_profit", "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback292:profit_positive", "lookback292:retains80percent_reference", "lookback330:profit_positive", "lookback330:retains80percent_reference", "months2:profit_positive", "months2:retains80percent_reference", "double_cost_half_capacity:profit_positive", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:profit_positive", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:profit_positive", "miss_each_3rd:retains80percent_reference" ], "bitvavo12-early": [ "sharpe_advantage_at_least_point1" ], "bitvavo12-recent": [ "positive_profit", "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback292:profit_positive", "lookback292:retains80percent_reference", "lookback330:profit_positive", "lookback330:retains80percent_reference", "months2:profit_positive", "months2:retains80percent_reference", "double_cost_half_capacity:profit_positive", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:profit_positive", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:profit_positive", "miss_each_3rd:retains80percent_reference" ], "kraken11-early": [ "sharpe_advantage_at_least_point1" ], "kraken11-recent": [ "positive_profit", "retains90percent_reference", "sharpe_advantage_at_least_point1", "sharpe_not_below_lower_exposure", "lookback292:profit_positive", "lookback292:retains80percent_reference", "lookback330:profit_positive", "lookback330:retains80percent_reference", "months2:retains80percent_reference", "double_cost_half_capacity:retains80percent_reference", "delay_one_more_day:profit_positive", "delay_one_more_day:retains80percent_reference", "miss_each_3rd:profit_positive", "miss_each_3rd:retains80percent_reference" ] }, "outcome": "negative" } }, "attribution_catalog": { "attribution": { "basket30": [ { "symbol": "DOGE", "profit_eur": "1308.067501557283974260", "costs_eur": "26.512838544427469740" }, { "symbol": "ETC", "profit_eur": "534.99480521374148", "costs_eur": "16.40688703384852" }, { "symbol": "ADA", "profit_eur": "502.81492096246979950", "costs_eur": "17.50610786939372050" }, { "symbol": "XRP", "profit_eur": "425.9393139051310259", "costs_eur": "16.3371121252992741" }, { "symbol": "SC", "profit_eur": "392.4161883923148092", "costs_eur": "18.5665680520821908" }, { "symbol": "WAVES", "profit_eur": "382.007306003223841", "costs_eur": "19.627831091665159" }, { "symbol": "ETH", "profit_eur": "333.2179317796028", "costs_eur": "11.8533951617972" }, { "symbol": "BAT", "profit_eur": "223.0835317358492270", "costs_eur": "13.1075371461599730" }, { "symbol": "QTUM", "profit_eur": "222.5134249113602136", "costs_eur": "10.9346734445779864" }, { "symbol": "NANO", "profit_eur": "139.23806972698804079", "costs_eur": "13.26891200735614921" }, { "symbol": "BCH", "profit_eur": "131.0097322042977", "costs_eur": "13.1741428215023" }, { "symbol": "LINK", "profit_eur": "118.9916980833098358", "costs_eur": "11.4469998475507642" }, { "symbol": "XMR", "profit_eur": "117.2612980749035", "costs_eur": "9.8072709083965" }, { "symbol": "BTC", "profit_eur": "112.830347166869", "costs_eur": "9.437309804131" }, { "symbol": "XLM", "profit_eur": "107.19767570606555591", "costs_eur": "11.59605720887319409" }, { "symbol": "ICX", "profit_eur": "104.357643235533238", "costs_eur": "15.130900387496762" }, { "symbol": "OMG", "profit_eur": "92.33316587314037206", "costs_eur": "14.56156087966791794" }, { "symbol": "LSK", "profit_eur": "45.51459272418747101", "costs_eur": "10.46802292229262899" }, { "symbol": "ZEC", "profit_eur": "21.56438696794219", "costs_eur": "13.51267134536781" }, { "symbol": "XTZ", "profit_eur": "-9.985843861967462", "costs_eur": "12.156357209293462" }, { "symbol": "LTC", "profit_eur": "-45.6539988175366", "costs_eur": "9.4043846779366" }, { "symbol": "DASH", "profit_eur": "-78.57580394786222", "costs_eur": "11.55395885734222" }, { "symbol": "EOS", "profit_eur": "-106.470533309603501", "costs_eur": "10.908202246706501" }, { "symbol": "REP", "profit_eur": "-271.64510155061443", "costs_eur": "6.80598594151443" } ], "basket60": [ { "symbol": "DOGE", "profit_eur": "3315.415274424564365504", "costs_eur": "64.199533462979058496" }, { "symbol": "ETC", "profit_eur": "1364.98558850218812", "costs_eur": "36.58156523957188" }, { "symbol": "ADA", "profit_eur": "982.49285592031170892", "costs_eur": "36.62273844804001108" }, { "symbol": "XRP", "profit_eur": "911.5414327700294299", "costs_eur": "33.5717806798646701" }, { "symbol": "WAVES", "profit_eur": "906.114831569352007", "costs_eur": "44.319335539064993" }, { "symbol": "SC", "profit_eur": "745.9083034930537642", "costs_eur": "37.2014122010812358" }, { "symbol": "ETH", "profit_eur": "720.6591028610356", "costs_eur": "21.7640590701644" }, { "symbol": "BAT", "profit_eur": "441.0472266535307997", "costs_eur": "25.7347845953289003" }, { "symbol": "QTUM", "profit_eur": "374.8767956008058241", "costs_eur": "20.9062048838654759" }, { "symbol": "OMG", "profit_eur": "238.60556503763098641", "costs_eur": "33.37669702434844359" }, { "symbol": "BTC", "profit_eur": "192.881684409876", "costs_eur": "19.323562173124" }, { "symbol": "XMR", "profit_eur": "174.0453465342324", "costs_eur": "20.2445877991676" }, { "symbol": "ICX", "profit_eur": "137.984968492079692", "costs_eur": "31.332100226130308" }, { "symbol": "BCH", "profit_eur": "108.0978712809111", "costs_eur": "26.0998742431889" }, { "symbol": "LINK", "profit_eur": "39.9168030558263067", "costs_eur": "23.4502153550949933" }, { "symbol": "XLM", "profit_eur": "16.66134189264861325", "costs_eur": "22.63726647181971675" }, { "symbol": "ZEC", "profit_eur": "-58.32490737927101", "costs_eur": "24.47319347090101" }, { "symbol": "XTZ", "profit_eur": "-121.878481481580093", "costs_eur": "24.559414044929093" }, { "symbol": "NANO", "profit_eur": "-140.20027946000463965", "costs_eur": "23.01412396727232965" }, { "symbol": "LSK", "profit_eur": "-179.06776892667454367", "costs_eur": "20.06170274820529367" }, { "symbol": "LTC", "profit_eur": "-248.1181223981668", "costs_eur": "19.3984341647668" }, { "symbol": "DASH", "profit_eur": "-393.79751215504017", "costs_eur": "22.13861133028017" }, { "symbol": "EOS", "profit_eur": "-440.108239248942603", "costs_eur": "19.750005351085603" }, { "symbol": "REP", "profit_eur": "-885.99264565775596", "costs_eur": "11.73765472728596" } ], "candidate": [ { "symbol": "DOGE", "profit_eur": "3071.188759422870021776", "costs_eur": "65.963062612332010224" }, { "symbol": "WAVES", "profit_eur": "1366.116034187737499", "costs_eur": "35.214776623901501" }, { "symbol": "ADA", "profit_eur": "1136.34021663231930358", "costs_eur": "48.44853432042595642" }, { "symbol": "ETC", "profit_eur": "1058.95500095729905", "costs_eur": "32.51109759322095" }, { "symbol": "SC", "profit_eur": "1015.6522691019304029", "costs_eur": "35.4300554043912971" }, { "symbol": "XRP", "profit_eur": "842.6352271027370492", "costs_eur": "47.2934578864497508" }, { "symbol": "ETH", "profit_eur": "590.1307119947601", "costs_eur": "34.7115395597399" }, { "symbol": "ZEC", "profit_eur": "545.60116689173020", "costs_eur": "23.34712714258980" }, { "symbol": "QTUM", "profit_eur": "519.9466265013626778", "costs_eur": "21.9255402087669222" }, { "symbol": "OMG", "profit_eur": "494.45474410378329376", "costs_eur": "29.87859158158146624" }, { "symbol": "BAT", "profit_eur": "462.3577372816216574", "costs_eur": "22.3808156352151426" }, { "symbol": "XTZ", "profit_eur": "413.501908286545056", "costs_eur": "23.231584998026944" }, { "symbol": "BTC", "profit_eur": "388.530871830772", "costs_eur": "26.380627688228" }, { "symbol": "ICX", "profit_eur": "331.878983348149008", "costs_eur": "28.121291055002992" }, { "symbol": "LINK", "profit_eur": "211.7027214075577044", "costs_eur": "24.5100674051914956" }, { "symbol": "XLM", "profit_eur": "135.66957258399135575", "costs_eur": "25.13378129020095425" }, { "symbol": "NANO", "profit_eur": "66.74256788322664721", "costs_eur": "19.02505090522678279" }, { "symbol": "XMR", "profit_eur": "55.2311597724394", "costs_eur": "34.2485992641606" }, { "symbol": "LSK", "profit_eur": "-96.51549537127232362", "costs_eur": "18.74704018579743362" }, { "symbol": "DASH", "profit_eur": "-204.48680301408442", "costs_eur": "22.54656617622442" }, { "symbol": "LTC", "profit_eur": "-236.8405178995289", "costs_eur": "29.1147694566289" }, { "symbol": "BCH", "profit_eur": "-253.1542002205151", "costs_eur": "29.7678636879151" }, { "symbol": "EOS", "profit_eur": "-501.887117060993021", "costs_eur": "15.488481671728021" }, { "symbol": "REP", "profit_eur": "-525.59822985871569", "costs_eur": "12.29189234523569" } ] }, "catalog": [ { "symbol": "BTC", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "LTC", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "XRP", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "DOGE", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "DASH", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "XMR", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "XLM", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "ETH", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "SC", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "REP", "bitvavo_status": null, "kraken_statuses": [] }, { "symbol": "LSK", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "WAVES", "bitvavo_status": null, "kraken_statuses": [] }, { "symbol": "ETC", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "ZEC", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "NANO", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "QTUM", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "BAT", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "EOS", "bitvavo_status": null, "kraken_statuses": [] }, { "symbol": "OMG", "bitvavo_status": null, "kraken_statuses": [ "online" ] }, { "symbol": "BCH", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "LINK", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "ADA", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "XTZ", "bitvavo_status": "trading", "kraken_statuses": [ "online" ] }, { "symbol": "ICX", "bitvavo_status": null, "kraken_statuses": [] } ], "catalog_scope": "current_only_not_historical_eligibility_not_account_authorization", "analysis": "ex_post_diagnostic_no_changed_portfolio_no_new_return_experiment" }, "admission": { "at": "2026-10-19T21:45:39.007719+00:00", "start": "2019-12-31", "end_exclusive": "2026-10-01", "eligibility": "current_Bitvavo_trading_intersection_prior24_no_DOGE_per_architecture", "returns_computed": false, "source_docs": "https://docs.bitvavo.com/docs/rest-api/get-candlestick-data/", "coverage": [ { "symbol": "BTC", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "f37a290dd265f1b2dc9572668a6afac91ac2fae28ba293311076a816fba52c96" }, { "symbol": "LTC", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "22bcb53b1338128e66669e72c5ad82fdec25626ea842f1ceb75085d364a0ab4b" }, { "symbol": "XRP", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "ed12e288cdbb06c2dd129781e5dd96b39a0c08536c2f7dc70b5e4ac6a812ce24" }, { "symbol": "XLM", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "8543cb14c4f77234ecc82e3f61513955fac0347b4084ba19c160b975634217c9" }, { "symbol": "ETH", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "a5b1ba68f1ec6883c3de0feefad08c3baa1d09e4d718e198bac5c7868520ddc0" }, { "symbol": "LSK", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [ "2024-05-21", "2024-05-22", "2024-05-23", "2024-05-24", "2024-05-25", "2024-05-26", "2024-05-27", "2024-05-28", "2024-05-29", "2024-05-30", "2024-05-31", "2024-06-01", "2024-06-02", "2024-06-03", "2024-06-04", "2024-06-05", "2024-06-06", "2024-06-07", "2024-06-08", "2024-06-09", "2024-06-10", "2024-06-11", "2024-06-12", "2024-06-13", "2024-06-14", "2024-06-15", "2024-06-16", "2024-06-17", "2024-06-18", "2024-06-19", "2024-06-20", "2024-06-21", "2024-06-22", "2024-06-23", "2024-06-24", "2024-06-25", "2024-06-26", "2024-06-27", "2024-06-28", "2024-06-29", "2024-06-30", "2024-07-01", "2024-07-02", "2024-07-03", "2024-07-04", "2024-07-05", "2024-07-06", "2024-07-07", "2024-07-08", "2024-07-09", "2024-07-10", "2024-07-11", "2024-07-12", "2024-07-13", "2024-07-14", "2025-06-19", "2025-08-05", "2026-01-09", "2026-03-19", "2026-03-31", "2026-04-05" ], "kraken_sha256": "a05653e8d1f9c3a60b2cf1acccf17fefafd1cb4d25fda558c5862f50d2e5603d" }, { "symbol": "ETC", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "facd8f40a6bd62101c19a15402aa271d5836e1866fa61f073722ceff7d1c6266" }, { "symbol": "BAT", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "4c9748cd264150d46fad5e1c6e77f6caac84fd85cd37f0433bd34be6263446f9" }, { "symbol": "BCH", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "dd73068092801afe4b32c09fa4a329fd096d035dc08fc469694abf59e3a36610" }, { "symbol": "LINK", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "c75f25790b2f4b493ec72668e844e38375436e189efc0f324a166c962709c757" }, { "symbol": "ADA", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "e62973ea69f86bdd4f30ac193a20a17c971e74d796a90e27b1fbd1773cdc25a6" }, { "symbol": "XTZ", "bitvavo_rows": 2466, "bitvavo_missing": [], "kraken_missing": [], "kraken_sha256": "bd8be8b907494d4e203753843c042108b9b832cb21ccdf1f04194ffb8f059813" } ], "provenance": [ { "file": "BTC-2019-12-31.json", "url": "https://api.bitvavo.com/v2/BTC-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:44:53.913027+00:00", "sha256": "09bcb08480728ee5203d712576b9864c27dfae4e94bc6635db44cf4f560ef32d" }, { "file": "BTC-2023-06-03.json", "url": "https://api.bitvavo.com/v2/BTC-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:44:55.636128+00:00", "sha256": "c4426c73fce89dd3e449c2649331ced6749b7048cfef789f8fa927befe5621ec" }, { "file": "LTC-2019-12-31.json", "url": "https://api.bitvavo.com/v2/LTC-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:44:57.404746+00:00", "sha256": "66d9f3f274980495b64db8c57794d40c82913ced5bb3c4ab52a384e31df8c90b" }, { "file": "LTC-2023-06-03.json", "url": "https://api.bitvavo.com/v2/LTC-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:44:59.165216+00:00", "sha256": "b8cd894c90be64e8b78eb2afb7190b8c01bee52a46be9953786a1bb9beda92ac" }, { "file": "XRP-2019-12-31.json", "url": "https://api.bitvavo.com/v2/XRP-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:00.959036+00:00", "sha256": "9a6c388b7185389a66b76e861573923dfe8ed6690562222fea28acdbd44f9d51" }, { "file": "XRP-2023-06-03.json", "url": "https://api.bitvavo.com/v2/XRP-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:02.677506+00:00", "sha256": "66f64a5d4e041a56e2642750dcf57ef3f6ac12169821ea2e3ec6fde14e1b4396" }, { "file": "XLM-2019-12-31.json", "url": "https://api.bitvavo.com/v2/XLM-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:04.545300+00:00", "sha256": "270af171f15443a9050542d2a92b64cd7aee30f95f2a155eaa3fb81e9f741635" }, { "file": "XLM-2023-06-03.json", "url": "https://api.bitvavo.com/v2/XLM-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:06.442885+00:00", "sha256": "0d1ab305fdf736eb15ceffee57f306403cedf7ac078bb1bd6239253450f3abfa" }, { "file": "ETH-2019-12-31.json", "url": "https://api.bitvavo.com/v2/ETH-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:08.758748+00:00", "sha256": "d7e67ed2227bc8e4157d0459ebaf60263355aa88d2db5fed29c1bcc2af73bf68" }, { "file": "ETH-2023-06-03.json", "url": "https://api.bitvavo.com/v2/ETH-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:11.243070+00:00", "sha256": "2bd069f4a4b74ade0c546024c83517dcbbd947d206cbbe7577ba4c1f9a0de898" }, { "file": "LSK-2019-12-31.json", "url": "https://api.bitvavo.com/v2/LSK-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:13.140869+00:00", "sha256": "7b6518ee549a7c3bc0317fa4332588be7f4b1c0cac1b34d231a53e74bb2330cb" }, { "file": "LSK-2023-06-03.json", "url": "https://api.bitvavo.com/v2/LSK-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:15.257561+00:00", "sha256": "16363424456815f455f5967d20fc57f678837ee419ecb643944319270155f678" }, { "file": "ETC-2019-12-31.json", "url": "https://api.bitvavo.com/v2/ETC-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:17.159562+00:00", "sha256": "17c4419a726f74e7131bdbca8a973e9bd19ab1a231d8b17778333201af08a52d" }, { "file": "ETC-2023-06-03.json", "url": "https://api.bitvavo.com/v2/ETC-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:18.899782+00:00", "sha256": "f1cf05678d5d77b5f94a69e63cb33aa0e0b5c0c5539fdd8a403b1727fdf660ae" }, { "file": "BAT-2019-12-31.json", "url": "https://api.bitvavo.com/v2/BAT-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:20.825145+00:00", "sha256": "e44917f27fb75080014a927eeb6b2b1b01e94ca1d45400998441427d2691471c" }, { "file": "BAT-2023-06-03.json", "url": "https://api.bitvavo.com/v2/BAT-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:22.625104+00:00", "sha256": "e73d11d45c7420ce51a11700b4e812c37c76ccea24a76f499ca8834de09635d6" }, { "file": "BCH-2019-12-31.json", "url": "https://api.bitvavo.com/v2/BCH-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:24.341178+00:00", "sha256": "4f5aa7b5ee7b1077ec14d1c9d7de8f7d8f0e5287af4b0c553d6ffc74e43ab1a8" }, { "file": "BCH-2023-06-03.json", "url": "https://api.bitvavo.com/v2/BCH-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:26.250568+00:00", "sha256": "b60a36cb69202ad6da85dd02e3c78339f6bec1dd7d8afbc14ad40738c8b904b0" }, { "file": "LINK-2019-12-31.json", "url": "https://api.bitvavo.com/v2/LINK-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:28.006077+00:00", "sha256": "b8ebf677bd9d75262b771c57431dfef5af5f97ae398359de2494c16894beb72d" }, { "file": "LINK-2023-06-03.json", "url": "https://api.bitvavo.com/v2/LINK-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:30.122439+00:00", "sha256": "a9121c87c6faa7aae62279dd9fca216d676f4af55165b8d16c4ca915f352928f" }, { "file": "ADA-2019-12-31.json", "url": "https://api.bitvavo.com/v2/ADA-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:32.007988+00:00", "sha256": "7b49b960b9b41cdbb73463ed99f6d0c272fbb60f4b0f7f275331cafebfd8a4fa" }, { "file": "ADA-2023-06-03.json", "url": "https://api.bitvavo.com/v2/ADA-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:33.851236+00:00", "sha256": "27c9810a42963bce56e88a7fa2ad6c5dcfd86517c016d432a9d1c12e03a8cd29" }, { "file": "XTZ-2019-12-31.json", "url": "https://api.bitvavo.com/v2/XTZ-EUR/candles?interval=1d&limit=1440&start=1577750400000&end=1685750400000", "at": "2026-10-19T21:45:35.754844+00:00", "sha256": "96fb749c648b47dc2fa194a83d69129402bf11d63da001bc2743dde8c6959640" }, { "file": "XTZ-2023-06-03.json", "url": "https://api.bitvavo.com/v2/XTZ-EUR/candles?interval=1d&limit=1440&start=1685750400000&end=1790812800000", "at": "2026-10-19T21:45:37.493312+00:00", "sha256": "992c18b23fb09b95b2bff92ea5fcff341ce0871eb54e8aecd4bac517c3d626c6" } ] }, "validation": { "full_suite": 375, "additional_bridge_tests": 2, "frozen_files": 211 }, "next_step": "Review liquidity reversal implementability then at most one preregistered bounded study; no parameter fishing" }