data: regenerate ultrashort reports after candle fix

reports/ultrashort/ultrashort-correlation.csv

@@ -1,12 +1,12 @@
 name,BTC RSI2 Guarded 15m,BTC Trend RSI-BB 15m,ETH RSI2 15m,ETH Trend RSI-BB 15m,ETH/BTC RSI Filter 15m,BTC Lead ETH Lag 15m,BTC Lead ETH Lag 5m,BTC Lead ETH Lag 3m,Balanced 4,Aggressive 5,Lead Lag Basket
-BTC RSI2 Guarded 15m,1.0,0.5149909289044021,0.1795333451721414,0.13950927985916053,0.18500546977814505,0.07491702810132567,0.06750931499863953,0.08545759013200216,0.5894083307586631,0.3221492033309466,0.09564704473736317
-BTC Trend RSI-BB 15m,0.5149909289044021,1.0,0.05594503896031975,0.132626140663201,0.061935274560604,0.055901236653856434,0.09162426426508247,0.01813479618483062,0.5659968659642115,0.1872659469101036,0.07962220616067182
-ETH RSI2 15m,0.1795333451721414,0.05594503896031975,1.0,0.10738394316779926,0.6559076271581705,0.05002122144805691,0.06674594681174963,-0.0147024533574942,0.2519531320066602,0.3433069149330058,0.057992132709222745
-ETH Trend RSI-BB 15m,0.13950927985916053,0.132626140663201,0.10738394316779926,1.0,0.13018180188840578,-0.011073237072441447,-0.015520463576382067,0.018859416681030146,0.1033136669735003,0.043738063063127414,-0.0116691475540524
-ETH/BTC RSI Filter 15m,0.18500546977814505,0.061935274560604,0.6559076271581705,0.13018180188840578,1.0,0.06117879003328507,0.07419502623497894,0.04901435064330361,0.32583201790624106,0.32772017893624356,0.08039206716643461
-BTC Lead ETH Lag 15m,0.07491702810132567,0.055901236653856434,0.05002122144805691,-0.011073237072441447,0.06117879003328507,1.0,0.45028215033526486,0.20616477221752125,0.38066418052096757,0.8533939691526671,0.8786823437172707
-BTC Lead ETH Lag 5m,0.06750931499863953,0.09162426426508247,0.06674594681174963,-0.015520463576382067,0.07419502623497894,0.45028215033526486,1.0,0.3348234447743723,0.7782738714118886,0.7163861006538207,0.7782521917212968
-BTC Lead ETH Lag 3m,0.08545759013200216,0.01813479618483062,-0.0147024533574942,0.018859416681030146,0.04901435064330361,0.20616477221752125,0.3348234447743723,1.0,0.27494925168617673,0.2804090816926382,0.48459894719580127
-Balanced 4,0.5894083307586631,0.5659968659642115,0.2519531320066602,0.1033136669735003,0.32583201790624106,0.38066418052096757,0.7782738714118886,0.27494925168617673,1.0,0.7472108850559614,0.6289985422023004
-Aggressive 5,0.3221492033309466,0.1872659469101036,0.3433069149330058,0.043738063063127414,0.32772017893624356,0.8533939691526671,0.7163861006538207,0.2804090816926382,0.7472108850559614,1.0,0.9144606774254255
-Lead Lag Basket,0.09564704473736317,0.07962220616067182,0.057992132709222745,-0.0116691475540524,0.08039206716643461,0.8786823437172707,0.7782521917212968,0.48459894719580127,0.6289985422023004,0.9144606774254255,1.0
+BTC RSI2 Guarded 15m,1.0,0.5149909289044029,0.17956332343187892,0.13950927985916178,0.18500546977814564,0.07491702810132556,0.06750931499863921,0.0854575901320023,0.5909406595597062,0.32331692395187467,0.09564704473736313
+BTC Trend RSI-BB 15m,0.5149909289044029,1.0,0.055943721371995485,0.13262614066320175,0.061935274560604,0.055901236653856434,0.09162426426508247,0.01813479618483062,0.5664185029496085,0.18785653835755153,0.07962220616067182
+ETH RSI2 15m,0.17956332343187892,0.055943721371995485,1.0,0.10740852196206939,0.6560674021922206,0.050021352015253095,0.06675109197178428,-0.014712623862573854,0.2520706852645001,0.34335992438461127,0.05799369989435516
+ETH Trend RSI-BB 15m,0.13950927985916178,0.13262614066320175,0.10740852196206939,1.0,0.1301818018884054,-0.011073237072441658,-0.01552046357638219,0.01885941668103009,0.10349471727666164,0.043901279769122954,-0.011669147554052644
+ETH/BTC RSI Filter 15m,0.18500546977814564,0.061935274560604,0.6560674021922206,0.1301818018884054,1.0,0.06117879003328507,0.07419502623497894,0.04901435064330361,0.3258138412762762,0.3278215245257931,0.08039206716643461
+BTC Lead ETH Lag 15m,0.07491702810132556,0.055901236653856434,0.050021352015253095,-0.011073237072441658,0.06117879003328507,1.0,0.45028215033526486,0.20616477221752125,0.3803128059198608,0.8531457582911218,0.8786823437172707
+BTC Lead ETH Lag 5m,0.06750931499863921,0.09162426426508247,0.06675109197178428,-0.01552046357638219,0.07419502623497894,0.45028215033526486,1.0,0.3348234447743723,0.7773460351666048,0.7161684873111916,0.7782521917212968
+BTC Lead ETH Lag 3m,0.0854575901320023,0.01813479618483062,-0.014712623862573854,0.01885941668103009,0.04901435064330361,0.20616477221752125,0.3348234447743723,1.0,0.27474735013012813,0.28039107227916926,0.48459894719580127
+Balanced 4,0.5909406595597062,0.5664185029496085,0.2520706852645001,0.10349471727666164,0.3258138412762762,0.3803128059198608,0.7773460351666048,0.27474735013012813,1.0,0.747389295837787,0.6283434737892283
+Aggressive 5,0.32331692395187467,0.18785653835755153,0.34335992438461127,0.043901279769122954,0.3278215245257931,0.8531457582911218,0.7161684873111916,0.28039107227916926,0.747389295837787,1.0,0.9142048688880176
+Lead Lag Basket,0.09564704473736313,0.07962220616067182,0.05799369989435516,-0.011669147554052644,0.08039206716643461,0.8786823437172707,0.7782521917212968,0.48459894719580127,0.6283434737892283,0.9142048688880176,1.0

reports/ultrashort/ultrashort-overlay-horizons.csv

@@ -1,49 +1,49 @@
 overlay,horizon,return,annualized,max_dd,calmar
-Balanced 4 DD>3% x0.0,3y,50.08%,14.59%,7.12%,2.05
-Balanced 4 DD>3% x0.0,1y,7.67%,7.67%,7.12%,1.08
-Balanced 4 DD>3% x0.0,6m,4.01%,8.20%,3.47%,2.36
-Balanced 4 DD>3% x0.0,3m,5.95%,26.44%,1.37%,19.31
-Balanced 4 DD>3% x0.5,3y,66.32%,18.61%,5.53%,3.36
-Balanced 4 DD>3% x0.5,1y,10.14%,10.14%,5.53%,1.83
-Balanced 4 DD>3% x0.5,6m,5.66%,11.67%,3.30%,3.53
-Balanced 4 DD>3% x0.5,3m,5.95%,26.44%,1.37%,19.31
-Balanced 4 DD>5% x0.0,3y,80.91%,22.00%,6.09%,3.62
-Balanced 4 DD>5% x0.0,1y,12.65%,12.65%,4.09%,3.09
-Balanced 4 DD>5% x0.0,6m,7.33%,15.25%,3.30%,4.61
-Balanced 4 DD>5% x0.0,3m,5.95%,26.44%,1.37%,19.31
-Balanced 4 DD>5% x0.5,3y,82.44%,22.35%,5.88%,3.80
-Balanced 4 DD>5% x0.5,1y,12.65%,12.65%,4.09%,3.09
-Balanced 4 DD>5% x0.5,6m,7.33%,15.25%,3.30%,4.61
-Balanced 4 DD>5% x0.5,3m,5.95%,26.44%,1.37%,19.31
-Balanced 4 DD>7% x0.0,3y,83.94%,22.69%,6.38%,3.56
-Balanced 4 DD>7% x0.0,1y,12.65%,12.65%,4.09%,3.09
-Balanced 4 DD>7% x0.0,6m,7.33%,15.25%,3.30%,4.61
-Balanced 4 DD>7% x0.0,3m,5.95%,26.44%,1.37%,19.31
-Balanced 4 DD>7% x0.5,3y,83.94%,22.69%,6.38%,3.56
-Balanced 4 DD>7% x0.5,1y,12.65%,12.65%,4.09%,3.09
-Balanced 4 DD>7% x0.5,6m,7.33%,15.25%,3.30%,4.61
-Balanced 4 DD>7% x0.5,3m,5.95%,26.44%,1.37%,19.31
-Aggressive 5 DD>3% x0.0,3y,49.42%,14.41%,7.92%,1.82
-Aggressive 5 DD>3% x0.0,1y,5.80%,5.80%,6.31%,0.92
-Aggressive 5 DD>3% x0.0,6m,-2.64%,-5.22%,4.79%,-1.09
-Aggressive 5 DD>3% x0.0,3m,0.85%,3.49%,1.56%,2.24
-Aggressive 5 DD>3% x0.5,3y,71.80%,19.89%,6.86%,2.90
-Aggressive 5 DD>3% x0.5,1y,7.81%,7.81%,6.39%,1.22
-Aggressive 5 DD>3% x0.5,6m,-0.79%,-1.58%,4.88%,-0.32
-Aggressive 5 DD>3% x0.5,3m,3.39%,14.48%,1.23%,11.79
-Aggressive 5 DD>5% x0.0,3y,61.74%,17.49%,8.78%,1.99
-Aggressive 5 DD>5% x0.0,1y,8.94%,8.94%,5.02%,1.78
-Aggressive 5 DD>5% x0.0,6m,0.26%,0.52%,3.49%,0.15
-Aggressive 5 DD>5% x0.0,3m,3.37%,14.37%,1.11%,12.89
-Aggressive 5 DD>5% x0.5,3y,78.56%,21.45%,7.30%,2.94
-Aggressive 5 DD>5% x0.5,1y,9.39%,9.39%,6.18%,1.52
-Aggressive 5 DD>5% x0.5,6m,0.67%,1.34%,4.67%,0.29
-Aggressive 5 DD>5% x0.5,3m,4.67%,20.33%,1.11%,18.23
-Aggressive 5 DD>7% x0.0,3y,68.67%,19.15%,9.03%,2.12
-Aggressive 5 DD>7% x0.0,1y,8.04%,8.04%,7.90%,1.02
-Aggressive 5 DD>7% x0.0,6m,-0.57%,-1.15%,6.41%,-0.18
-Aggressive 5 DD>7% x0.0,3m,5.98%,26.54%,1.11%,23.80
-Aggressive 5 DD>7% x0.5,3y,82.21%,22.28%,8.03%,2.77
-Aggressive 5 DD>7% x0.5,1y,8.92%,8.92%,7.57%,1.18
-Aggressive 5 DD>7% x0.5,6m,0.23%,0.47%,6.08%,0.08
-Aggressive 5 DD>7% x0.5,3m,5.98%,26.54%,1.11%,23.80
+Balanced 4 DD>3% x0.0,3y,50.08%,14.59%,7.13%,2.05
+Balanced 4 DD>3% x0.0,1y,7.67%,7.67%,7.13%,1.08
+Balanced 4 DD>3% x0.0,6m,4.02%,8.22%,3.47%,2.37
+Balanced 4 DD>3% x0.0,3m,5.96%,26.49%,1.37%,19.34
+Balanced 4 DD>3% x0.5,3y,66.33%,18.61%,5.54%,3.36
+Balanced 4 DD>3% x0.5,1y,10.15%,10.15%,5.54%,1.83
+Balanced 4 DD>3% x0.5,6m,5.67%,11.70%,3.31%,3.53
+Balanced 4 DD>3% x0.5,3m,5.96%,26.49%,1.37%,19.34
+Balanced 4 DD>5% x0.0,3y,80.93%,22.01%,6.08%,3.62
+Balanced 4 DD>5% x0.0,1y,12.66%,12.66%,4.10%,3.09
+Balanced 4 DD>5% x0.0,6m,7.35%,15.28%,3.31%,4.61
+Balanced 4 DD>5% x0.0,3m,5.96%,26.49%,1.37%,19.34
+Balanced 4 DD>5% x0.5,3y,82.46%,22.35%,5.88%,3.80
+Balanced 4 DD>5% x0.5,1y,12.66%,12.66%,4.10%,3.09
+Balanced 4 DD>5% x0.5,6m,7.35%,15.28%,3.31%,4.61
+Balanced 4 DD>5% x0.5,3m,5.96%,26.49%,1.37%,19.34
+Balanced 4 DD>7% x0.0,3y,83.96%,22.69%,6.38%,3.56
+Balanced 4 DD>7% x0.0,1y,12.66%,12.66%,4.10%,3.09
+Balanced 4 DD>7% x0.0,6m,7.35%,15.28%,3.31%,4.61
+Balanced 4 DD>7% x0.0,3m,5.96%,26.49%,1.37%,19.34
+Balanced 4 DD>7% x0.5,3y,83.96%,22.69%,6.38%,3.56
+Balanced 4 DD>7% x0.5,1y,12.66%,12.66%,4.10%,3.09
+Balanced 4 DD>7% x0.5,6m,7.35%,15.28%,3.31%,4.61
+Balanced 4 DD>7% x0.5,3m,5.96%,26.49%,1.37%,19.34
+Aggressive 5 DD>3% x0.0,3y,49.46%,14.42%,7.91%,1.82
+Aggressive 5 DD>3% x0.0,1y,5.83%,5.83%,6.31%,0.92
+Aggressive 5 DD>3% x0.0,6m,-2.60%,-5.14%,4.79%,-1.07
+Aggressive 5 DD>3% x0.0,3m,0.89%,3.65%,1.56%,2.35
+Aggressive 5 DD>3% x0.5,3y,71.85%,19.90%,6.84%,2.91
+Aggressive 5 DD>3% x0.5,1y,7.85%,7.85%,6.39%,1.23
+Aggressive 5 DD>3% x0.5,6m,-0.74%,-1.49%,4.88%,-0.30
+Aggressive 5 DD>3% x0.5,3m,3.43%,14.67%,1.23%,11.95
+Aggressive 5 DD>5% x0.0,3y,61.83%,17.51%,8.78%,2.00
+Aggressive 5 DD>5% x0.0,1y,8.99%,8.99%,5.01%,1.80
+Aggressive 5 DD>5% x0.0,6m,0.31%,0.62%,3.47%,0.18
+Aggressive 5 DD>5% x0.0,3m,3.41%,14.57%,1.12%,13.05
+Aggressive 5 DD>5% x0.5,3y,78.64%,21.47%,7.29%,2.94
+Aggressive 5 DD>5% x0.5,1y,9.44%,9.44%,6.18%,1.53
+Aggressive 5 DD>5% x0.5,6m,0.72%,1.45%,4.66%,0.31
+Aggressive 5 DD>5% x0.5,3m,4.71%,20.54%,1.12%,18.39
+Aggressive 5 DD>7% x0.0,3y,68.74%,19.17%,9.02%,2.12
+Aggressive 5 DD>7% x0.0,1y,8.09%,8.09%,7.90%,1.02
+Aggressive 5 DD>7% x0.0,6m,-0.53%,-1.05%,6.41%,-0.16
+Aggressive 5 DD>7% x0.0,3m,6.02%,26.75%,1.12%,23.95
+Aggressive 5 DD>7% x0.5,3y,82.28%,22.29%,8.02%,2.78
+Aggressive 5 DD>7% x0.5,1y,8.96%,8.96%,7.57%,1.18
+Aggressive 5 DD>7% x0.5,6m,0.28%,0.57%,6.08%,0.09
+Aggressive 5 DD>7% x0.5,3m,6.02%,26.75%,1.12%,23.95

reports/ultrashort/ultrashort-overlay-summary.csv

@@ -1,13 +1,13 @@
 overlay,base,threshold,reduced_exposure,3y_return,3y_annualized,3y_max_dd,3y_calmar
-Balanced 4 DD>5% x0.5,Balanced 4,5.00%,0.5,82.44%,22.35%,5.88%,3.80
-Balanced 4 DD>5% x0.0,Balanced 4,5.00%,0.0,80.91%,22.00%,6.09%,3.62
-Balanced 4 DD>7% x0.0,Balanced 4,7.00%,0.0,83.94%,22.69%,6.38%,3.56
-Balanced 4 DD>7% x0.5,Balanced 4,7.00%,0.5,83.94%,22.69%,6.38%,3.56
-Balanced 4 DD>3% x0.5,Balanced 4,3.00%,0.5,66.32%,18.61%,5.53%,3.36
-Aggressive 5 DD>5% x0.5,Aggressive 5,5.00%,0.5,78.56%,21.45%,7.30%,2.94
-Aggressive 5 DD>3% x0.5,Aggressive 5,3.00%,0.5,71.80%,19.89%,6.86%,2.90
-Aggressive 5 DD>7% x0.5,Aggressive 5,7.00%,0.5,82.21%,22.28%,8.03%,2.77
-Aggressive 5 DD>7% x0.0,Aggressive 5,7.00%,0.0,68.67%,19.15%,9.03%,2.12
-Balanced 4 DD>3% x0.0,Balanced 4,3.00%,0.0,50.08%,14.59%,7.12%,2.05
-Aggressive 5 DD>5% x0.0,Aggressive 5,5.00%,0.0,61.74%,17.49%,8.78%,1.99
-Aggressive 5 DD>3% x0.0,Aggressive 5,3.00%,0.0,49.42%,14.41%,7.92%,1.82
+Balanced 4 DD>5% x0.5,Balanced 4,5.00%,0.5,82.46%,22.35%,5.88%,3.80
+Balanced 4 DD>5% x0.0,Balanced 4,5.00%,0.0,80.93%,22.01%,6.08%,3.62
+Balanced 4 DD>7% x0.0,Balanced 4,7.00%,0.0,83.96%,22.69%,6.38%,3.56
+Balanced 4 DD>7% x0.5,Balanced 4,7.00%,0.5,83.96%,22.69%,6.38%,3.56
+Balanced 4 DD>3% x0.5,Balanced 4,3.00%,0.5,66.33%,18.61%,5.54%,3.36
+Aggressive 5 DD>5% x0.5,Aggressive 5,5.00%,0.5,78.64%,21.47%,7.29%,2.94
+Aggressive 5 DD>3% x0.5,Aggressive 5,3.00%,0.5,71.85%,19.90%,6.84%,2.91
+Aggressive 5 DD>7% x0.5,Aggressive 5,7.00%,0.5,82.28%,22.29%,8.02%,2.78
+Aggressive 5 DD>7% x0.0,Aggressive 5,7.00%,0.0,68.74%,19.17%,9.02%,2.12
+Balanced 4 DD>3% x0.0,Balanced 4,3.00%,0.0,50.08%,14.59%,7.13%,2.05
+Aggressive 5 DD>5% x0.0,Aggressive 5,5.00%,0.0,61.83%,17.51%,8.78%,2.00
+Aggressive 5 DD>3% x0.0,Aggressive 5,3.00%,0.0,49.46%,14.42%,7.91%,1.82

reports/ultrashort/ultrashort-portfolio-horizons.csv

@@ -1,12 +1,12 @@
 portfolio,horizon,return,annualized,max_dd,calmar
-Balanced 4,3y,83.94%,22.69%,6.38%,3.56
-Balanced 4,1y,12.65%,12.65%,4.09%,3.09
-Balanced 4,6m,7.33%,15.25%,3.30%,4.61
-Balanced 4,3m,5.95%,26.44%,1.37%,19.31
-Aggressive 5,3y,96.47%,25.40%,8.62%,2.95
-Aggressive 5,1y,9.80%,9.80%,7.57%,1.29
-Aggressive 5,6m,1.04%,2.10%,6.08%,0.34
-Aggressive 5,3m,5.98%,26.54%,1.11%,23.80
+Balanced 4,3y,83.96%,22.69%,6.38%,3.56
+Balanced 4,1y,12.66%,12.66%,4.10%,3.09
+Balanced 4,6m,7.35%,15.28%,3.31%,4.61
+Balanced 4,3m,5.96%,26.49%,1.37%,19.34
+Aggressive 5,3y,96.54%,25.42%,8.60%,2.96
+Aggressive 5,1y,9.85%,9.85%,7.57%,1.30
+Aggressive 5,6m,1.09%,2.21%,6.08%,0.36
+Aggressive 5,3m,6.02%,26.75%,1.12%,23.95
 Lead Lag Basket,3y,89.49%,25.15%,14.29%,1.76
 Lead Lag Basket,1y,1.09%,1.09%,8.48%,0.13
 Lead Lag Basket,6m,-2.25%,-4.49%,4.71%,-0.95

reports/ultrashort/ultrashort-portfolio-monthly.csv

@@ -1,36 +1,36 @@
 portfolio,period,return,end_equity
-Balanced 4,2025-01,-1.21%,"58,620"
-Balanced 4,2025-02,-1.51%,"57,736"
-Balanced 4,2025-03,7.40%,"62,008"
-Balanced 4,2025-04,6.17%,"65,832"
-Balanced 4,2025-05,2.17%,"67,258"
-Balanced 4,2025-06,0.86%,"67,835"
-Balanced 4,2025-07,4.94%,"71,188"
-Balanced 4,2025-08,0.16%,"71,301"
-Balanced 4,2025-09,-2.06%,"69,836"
-Balanced 4,2025-10,-1.01%,"69,128"
-Balanced 4,2025-11,1.28%,"70,011"
-Balanced 4,2025-12,-2.09%,"68,549"
-Balanced 4,2026-01,2.43%,"70,212"
-Balanced 4,2026-02,3.89%,"72,941"
-Balanced 4,2026-03,1.03%,"73,691"
-Balanced 4,2026-04,0.49%,"74,051"
-Aggressive 5,2025-01,-6.91%,"77,398"
-Aggressive 5,2025-02,1.85%,"78,830"
-Aggressive 5,2025-03,10.69%,"87,260"
-Aggressive 5,2025-04,3.13%,"89,989"
-Aggressive 5,2025-05,2.21%,"91,973"
-Aggressive 5,2025-06,2.59%,"94,360"
-Aggressive 5,2025-07,5.31%,"99,367"
-Aggressive 5,2025-08,-0.25%,"99,122"
-Aggressive 5,2025-09,-0.49%,"98,639"
-Aggressive 5,2025-10,-0.94%,"97,714"
-Aggressive 5,2025-11,-1.53%,"96,223"
-Aggressive 5,2025-12,-4.43%,"91,965"
-Aggressive 5,2026-01,1.36%,"93,218"
-Aggressive 5,2026-02,4.28%,"97,213"
-Aggressive 5,2026-03,0.63%,"97,822"
-Aggressive 5,2026-04,0.89%,"98,695"
+Balanced 4,2025-01,-1.20%,"58,728"
+Balanced 4,2025-02,-1.51%,"57,843"
+Balanced 4,2025-03,7.39%,"62,118"
+Balanced 4,2025-04,6.17%,"65,948"
+Balanced 4,2025-05,2.17%,"67,378"
+Balanced 4,2025-06,0.86%,"67,955"
+Balanced 4,2025-07,4.94%,"71,314"
+Balanced 4,2025-08,0.16%,"71,429"
+Balanced 4,2025-09,-2.06%,"69,959"
+Balanced 4,2025-10,-1.02%,"69,248"
+Balanced 4,2025-11,1.28%,"70,133"
+Balanced 4,2025-12,-2.09%,"68,667"
+Balanced 4,2026-01,2.43%,"70,336"
+Balanced 4,2026-02,3.89%,"73,072"
+Balanced 4,2026-03,1.03%,"73,827"
+Balanced 4,2026-04,0.49%,"74,188"
+Aggressive 5,2025-01,-6.90%,"77,506"
+Aggressive 5,2025-02,1.85%,"78,937"
+Aggressive 5,2025-03,10.68%,"87,370"
+Aggressive 5,2025-04,3.13%,"90,105"
+Aggressive 5,2025-05,2.21%,"92,093"
+Aggressive 5,2025-06,2.59%,"94,480"
+Aggressive 5,2025-07,5.31%,"99,493"
+Aggressive 5,2025-08,-0.24%,"99,250"
+Aggressive 5,2025-09,-0.49%,"98,762"
+Aggressive 5,2025-10,-0.94%,"97,834"
+Aggressive 5,2025-11,-1.52%,"96,345"
+Aggressive 5,2025-12,-4.42%,"92,083"
+Aggressive 5,2026-01,1.37%,"93,343"
+Aggressive 5,2026-02,4.29%,"97,344"
+Aggressive 5,2026-03,0.63%,"97,958"
+Aggressive 5,2026-04,0.93%,"98,867"
 Lead Lag Basket,2025-01,-11.43%,"50,601"
 Lead Lag Basket,2025-02,1.70%,"51,460"
 Lead Lag Basket,2025-03,15.20%,"59,285"

reports/ultrashort/ultrashort-portfolio-summary.csv

@@ -1,4 +1,4 @@
 portfolio,legs,3y_return,3y_annualized,3y_max_dd,3y_calmar
-Balanced 4,4,83.94%,22.69%,6.38%,3.56
-Aggressive 5,5,96.47%,25.40%,8.62%,2.95
+Balanced 4,4,83.96%,22.69%,6.38%,3.56
+Aggressive 5,5,96.54%,25.42%,8.60%,2.96
 Lead Lag Basket,3,89.49%,25.15%,14.29%,1.76

reports/ultrashort/ultrashort-recent-monthly.csv

@@ -46,7 +46,7 @@ ETH RSI2 15m,2025-12,-12.59%,"36,154"
 ETH RSI2 15m,2026-01,0.33%,"36,275"
 ETH RSI2 15m,2026-02,5.35%,"38,217"
 ETH RSI2 15m,2026-03,6.10%,"40,547"
-ETH RSI2 15m,2026-04,2.28%,"41,472"
+ETH RSI2 15m,2026-04,2.49%,"41,555"
 ETH Trend RSI-BB 15m,2025-01,-5.70%,"98,441"
 ETH Trend RSI-BB 15m,2025-02,-5.12%,"93,398"
 ETH Trend RSI-BB 15m,2025-03,-2.33%,"91,219"

reports/ultrashort/ultrashort-recent-summary.csv

@@ -1,9 +1,9 @@
 strategy,bar,trades,3y_return,3y_annualized,3y_max_dd,3y_calmar
-BTC RSI2 Guarded 15m,15m,842,100.59%,26.11%,16.89%,1.55
-BTC Trend RSI-BB 15m,15m,642,66.98%,18.73%,7.47%,2.51
-ETH RSI2 15m,15m,535,76.41%,20.96%,18.60%,1.13
-ETH Trend RSI-BB 15m,15m,1735,22.67%,7.04%,29.73%,0.24
-ETH/BTC RSI Filter 15m,15m,282,61.80%,17.51%,7.47%,2.34
-BTC Lead ETH Lag 15m,15m,864,137.01%,33.50%,30.01%,1.12
-BTC Lead ETH Lag 5m,5m,1043,111.14%,28.42%,17.35%,1.64
-BTC Lead ETH Lag 3m,3m,999,26.93%,8.30%,20.26%,0.41
+BTC RSI2 Guarded 15m,15m,842,101.95%,26.42%,16.89%,1.56
+BTC Trend RSI-BB 15m,15m,642,66.98%,18.72%,7.47%,2.51
+ETH RSI2 15m,15m,536,76.77%,21.03%,18.60%,1.13
+ETH Trend RSI-BB 15m,15m,1735,21.72%,6.77%,29.73%,0.23
+ETH/BTC RSI Filter 15m,15m,282,61.80%,17.50%,7.47%,2.34
+BTC Lead ETH Lag 15m,15m,864,137.01%,33.48%,30.01%,1.12
+BTC Lead ETH Lag 5m,5m,1043,111.14%,28.40%,17.35%,1.64
+BTC Lead ETH Lag 3m,3m,999,26.93%,8.29%,20.26%,0.41

reports/ultrashort/ultrashort-strategy-horizons.csv

@@ -7,10 +7,10 @@ BTC Trend RSI-BB 15m,3y,66.50%,18.51%,7.47%,2.48
 BTC Trend RSI-BB 15m,1y,-3.94%,-3.94%,7.28%,-0.54
 BTC Trend RSI-BB 15m,6m,-0.74%,-1.48%,7.28%,-0.20
 BTC Trend RSI-BB 15m,3m,-3.79%,-14.50%,5.90%,-2.46
-ETH RSI2 15m,3y,78.91%,21.38%,18.60%,1.15
-ETH RSI2 15m,1y,38.64%,38.64%,18.60%,2.08
-ETH RSI2 15m,6m,-4.42%,-8.66%,17.60%,-0.49
-ETH RSI2 15m,3m,14.33%,72.12%,2.40%,30.10
+ETH RSI2 15m,3y,79.27%,21.46%,18.60%,1.15
+ETH RSI2 15m,1y,33.65%,33.65%,18.60%,1.81
+ETH RSI2 15m,6m,-4.23%,-8.30%,17.60%,-0.47
+ETH RSI2 15m,3m,14.56%,73.52%,2.40%,30.68
 ETH Trend RSI-BB 15m,3y,24.69%,7.63%,29.73%,0.26
 ETH Trend RSI-BB 15m,1y,-17.53%,-17.53%,29.57%,-0.59
 ETH Trend RSI-BB 15m,6m,-19.41%,-35.13%,25.47%,-1.38

reports/ultrashort/ultrashort-worst-portfolio-months.csv

@@ -1,13 +1,13 @@
 portfolio,period,return,end_equity
 Lead Lag Basket,2025-01,-11.43%,"50,601"
-Aggressive 5,2025-01,-6.91%,"77,398"
-Aggressive 5,2025-12,-4.43%,"91,965"
+Aggressive 5,2025-01,-6.90%,"77,506"
+Aggressive 5,2025-12,-4.42%,"92,083"
 Lead Lag Basket,2025-08,-2.67%,"59,622"
-Balanced 4,2025-12,-2.09%,"68,549"
-Balanced 4,2025-09,-2.06%,"69,836"
+Balanced 4,2025-12,-2.09%,"68,667"
+Balanced 4,2025-09,-2.06%,"69,959"
 Lead Lag Basket,2025-11,-1.81%,"57,094"
-Aggressive 5,2025-11,-1.53%,"96,223"
-Balanced 4,2025-02,-1.51%,"57,736"
+Aggressive 5,2025-11,-1.52%,"96,345"
+Balanced 4,2025-02,-1.51%,"57,843"
 Lead Lag Basket,2026-03,-1.40%,"57,508"
 Lead Lag Basket,2025-09,-1.32%,"58,834"
-Balanced 4,2025-01,-1.21%,"58,620"
+Balanced 4,2025-01,-1.20%,"58,728"

reports/ultrashort/ultrashort-yearly.csv

@@ -1,8 +1,8 @@
 name,year,return,end_equity
-BTC RSI2 Guarded 15m,2023,5.90%,"10,590"
-BTC RSI2 Guarded 15m,2024,42.79%,"15,121"
-BTC RSI2 Guarded 15m,2025,14.73%,"17,348"
-BTC RSI2 Guarded 15m,2026,15.62%,"20,059"
+BTC RSI2 Guarded 15m,2023,6.62%,"10,662"
+BTC RSI2 Guarded 15m,2024,42.79%,"15,224"
+BTC RSI2 Guarded 15m,2025,14.73%,"17,467"
+BTC RSI2 Guarded 15m,2026,15.62%,"20,195"
 BTC Trend RSI-BB 15m,2023,3.19%,"10,319"
 BTC Trend RSI-BB 15m,2024,49.22%,"15,398"
 BTC Trend RSI-BB 15m,2025,9.72%,"16,895"
@@ -10,11 +10,11 @@ BTC Trend RSI-BB 15m,2026,-1.16%,"16,698"
 ETH RSI2 15m,2023,5.13%,"10,513"
 ETH RSI2 15m,2024,17.14%,"12,315"
 ETH RSI2 15m,2025,24.88%,"15,379"
-ETH RSI2 15m,2026,14.71%,"17,641"
-ETH Trend RSI-BB 15m,2023,-7.88%,"9,212"
-ETH Trend RSI-BB 15m,2024,78.65%,"16,457"
-ETH Trend RSI-BB 15m,2025,-4.16%,"15,771"
-ETH Trend RSI-BB 15m,2026,-22.22%,"12,267"
+ETH RSI2 15m,2026,14.94%,"17,677"
+ETH Trend RSI-BB 15m,2023,-8.59%,"9,141"
+ETH Trend RSI-BB 15m,2024,78.65%,"16,330"
+ETH Trend RSI-BB 15m,2025,-4.16%,"15,650"
+ETH Trend RSI-BB 15m,2026,-22.22%,"12,172"
 ETH/BTC RSI Filter 15m,2023,7.49%,"10,749"
 ETH/BTC RSI Filter 15m,2024,6.07%,"11,402"
 ETH/BTC RSI Filter 15m,2025,30.54%,"14,884"
@@ -31,14 +31,14 @@ BTC Lead ETH Lag 3m,2023,2.02%,"10,202"
 BTC Lead ETH Lag 3m,2024,25.71%,"12,825"
 BTC Lead ETH Lag 3m,2025,-5.76%,"12,086"
 BTC Lead ETH Lag 3m,2026,5.03%,"12,693"
-Balanced 4,2023,11.32%,"44,815"
-Balanced 4,2024,32.41%,"59,338"
-Balanced 4,2025,15.52%,"68,549"
-Balanced 4,2026,8.03%,"74,051"
-Aggressive 5,2023,20.03%,"60,295"
-Aggressive 5,2024,37.90%,"83,145"
-Aggressive 5,2025,10.61%,"91,965"
-Aggressive 5,2026,7.32%,"98,695"
+Balanced 4,2023,11.31%,"44,887"
+Balanced 4,2024,32.42%,"59,441"
+Balanced 4,2025,15.52%,"68,667"
+Balanced 4,2026,8.04%,"74,188"
+Aggressive 5,2023,20.01%,"60,368"
+Aggressive 5,2024,37.90%,"83,248"
+Aggressive 5,2025,10.61%,"92,083"
+Aggressive 5,2026,7.37%,"98,867"
 Lead Lag Basket,2023,27.34%,"38,645"
 Lead Lag Basket,2024,47.84%,"57,132"
 Lead Lag Basket,2025,-1.21%,"56,440"