[ { "name": "switch-l30-r96_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 30, "micro_weight": 1.0, "min_recent_total_return": -0.003843000000000041, "trades": 482, "trades_per_year": 76.09429065743944, "win_rate": 0.6867219917012448, "avg_return": 0.0020778226775767378, "payoff_ratio": 1.018733519552604, "profit_factor": 2.2331178474961058, "net_total_return": 1.6717200569081716, "net_annualized_return": 0.16782650873017224, "net_max_drawdown": 0.08025411441603439, "net_calmar": 2.09118884372913 }, { "name": "switch-l30-r96_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 30, "micro_weight": 1.0, "min_recent_total_return": -0.00384299999999993, "trades": 482, "trades_per_year": 76.09429065743944, "win_rate": 0.6867219917012448, "avg_return": 0.0021529808069443586, "payoff_ratio": 0.981399149381249, "profit_factor": 2.1512789301006183, "net_total_return": 1.771003398455611, "net_annualized_return": 0.1745729241979026, "net_max_drawdown": 0.08748874089776397, "net_calmar": 1.9953758895890605 }, { "name": "switch-l60-r48_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 60, "micro_weight": 1.0, "min_recent_total_return": -0.003843000000000041, "trades": 553, "trades_per_year": 87.30320069204153, "win_rate": 0.6419529837251357, "avg_return": 0.0017541560963928282, "payoff_ratio": 1.0750298902075714, "profit_factor": 1.9274525809277165, "net_total_return": 1.7711843623364896, "net_annualized_return": 0.17458503374557188, "net_max_drawdown": 0.09246029938685126, "net_calmar": 1.8882161847120251 }, { "name": "switch-l90-r96_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 90, "micro_weight": 1.0, "min_recent_total_return": -0.003843000000000152, "trades": 483, "trades_per_year": 76.25216262975779, "win_rate": 0.6770186335403726, "avg_return": 0.0019179105097959853, "payoff_ratio": 1.0071699701775199, "profit_factor": 2.1111832067182625, "net_total_return": 1.440924661481815, "net_annualized_return": 0.15128798836758262, "net_max_drawdown": 0.08044133714024941, "net_calmar": 1.8807244352963965 }, { "name": "switch-l90-r96_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 90, "micro_weight": 1.0, "min_recent_total_return": -0.00384299999999993, "trades": 483, "trades_per_year": 76.25216262975779, "win_rate": 0.6770186335403726, "avg_return": 0.0020360462566673667, "payoff_ratio": 0.9647755888131423, "profit_factor": 2.02231806116601, "net_total_return": 1.5546658285159598, "net_annualized_return": 0.15959581038158888, "net_max_drawdown": 0.08711872023541072, "net_calmar": 1.8319347431910364 }, { "name": "switch-l60-r48_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 60, "micro_weight": 1.0, "min_recent_total_return": -0.00384299999999993, "trades": 553, "trades_per_year": 87.30320069204153, "win_rate": 0.6419529837251357, "avg_return": 0.001835651743378614, "payoff_ratio": 1.004402142826505, "profit_factor": 1.8008220237545927, "net_total_return": 1.9671085772616062, "net_annualized_return": 0.18732117066655452, "net_max_drawdown": 0.1049847336226827, "net_calmar": 1.7842705715651066 }, { "name": "switch-l90-r48_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 90, "micro_weight": 1.0, "min_recent_total_return": -0.00384299999999993, "trades": 538, "trades_per_year": 84.93512110726644, "win_rate": 0.6412639405204461, "avg_return": 0.0016578805471695309, "payoff_ratio": 1.032562404289396, "profit_factor": 1.845772173470682, "net_total_return": 1.3825202498579618, "net_annualized_return": 0.14689461013581817, "net_max_drawdown": 0.08951150842347409, "net_calmar": 1.641069542039977 }, { "name": "switch-l90-r48_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 90, "micro_weight": 1.0, "min_recent_total_return": -0.003843000000000041, "trades": 535, "trades_per_year": 84.46150519031143, "win_rate": 0.6429906542056075, "avg_return": 0.0017462954672963211, "payoff_ratio": 0.9559429186157203, "profit_factor": 1.7216982408576325, "net_total_return": 1.4893530676052849, "net_annualized_return": 0.15486430060768241, "net_max_drawdown": 0.10168712214039817, "net_calmar": 1.5229489963720595 }, { "name": "switch-l30-r48_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 30, "micro_weight": 1.0, "min_recent_total_return": -0.003843000000000041, "trades": 542, "trades_per_year": 85.5666089965398, "win_rate": 0.6512915129151291, "avg_return": 0.0017532129000179212, "payoff_ratio": 1.0202797240659351, "profit_factor": 1.905601812673413, "net_total_return": 1.6499791396404309, "net_annualized_return": 0.16632106945424008, "net_max_drawdown": 0.12058189073583027, "net_calmar": 1.3793204637885037 }, { "name": "switch-l60-r96_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 60, "micro_weight": 1.0, "min_recent_total_return": -0.015524194752504994, "trades": 486, "trades_per_year": 76.7257785467128, "win_rate": 0.668724279835391, "avg_return": 0.0017198685761221652, "payoff_ratio": 0.9774801219120743, "profit_factor": 1.9731741591392806, "net_total_return": 1.3011495331055318, "net_annualized_return": 0.14061990419859494, "net_max_drawdown": 0.1116050680559339, "net_calmar": 1.2599777648817836 }, { "name": "switch-l60-r96_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 60, "micro_weight": 1.0, "min_recent_total_return": -0.020838992776764043, "trades": 484, "trades_per_year": 76.41003460207612, "win_rate": 0.6694214876033058, "avg_return": 0.0017588568280838776, "payoff_ratio": 0.9252051361102457, "profit_factor": 1.8735404006232474, "net_total_return": 1.3664131331335012, "net_annualized_return": 0.14566703125382063, "net_max_drawdown": 0.12632819961924255, "net_calmar": 1.1530840437278926 }, { "name": "switch-l30-r48_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "recent_regime_switch", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 30, "micro_weight": 1.0, "min_recent_total_return": -0.003843000000000041, "trades": 542, "trades_per_year": 85.5666089965398, "win_rate": 0.6512915129151291, "avg_return": 0.0018163887950102232, "payoff_ratio": 0.9584999247514546, "profit_factor": 1.790214145170706, "net_total_return": 1.744202607628217, "net_annualized_return": 0.17277210062341442, "net_max_drawdown": 0.15838488989955324, "net_calmar": 1.0908370156584095 }, { "name": "riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 60, "micro_weight": 0.4, "min_recent_total_return": -0.003843000000000152, "trades": 637, "trades_per_year": 100.56444636678201, "win_rate": 0.6452119309262166, "avg_return": 0.001564679066931475, "payoff_ratio": 1.0383806763460288, "profit_factor": 1.8883825574257425, "net_total_return": 1.7251486526265016, "net_annualized_return": 0.17148278009984064, "net_max_drawdown": 0.10448589198811133, "net_calmar": 1.6412051123548086 }, { "name": "riskoff-overlay-l90-m0.40-r96_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 90, "micro_weight": 0.4, "min_recent_total_return": -0.003843000000000152, "trades": 597, "trades_per_year": 94.24956747404845, "win_rate": 0.6666666666666666, "avg_return": 0.0016909422726769444, "payoff_ratio": 0.9937274721651046, "profit_factor": 1.9874549443302094, "net_total_return": 1.6550006099090644, "net_annualized_return": 0.1666696999286459, "net_max_drawdown": 0.1029126075088788, "net_calmar": 1.6195265474569422 }, { "name": "riskoff-overlay-l90-m0.40-r48_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 90, "micro_weight": 0.4, "min_recent_total_return": -0.003843000000000041, "trades": 651, "trades_per_year": 102.77465397923876, "win_rate": 0.6405529953917051, "avg_return": 0.001523961950847024, "payoff_ratio": 1.0430085300377485, "profit_factor": 1.8586946881441926, "net_total_return": 1.6330152406250176, "net_annualized_return": 0.16513917135665146, "net_max_drawdown": 0.10291260750887862, "net_calmar": 1.6046544281992305 }, { "name": "riskoff-overlay-l30-m0.40-r96_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 30, "micro_weight": 0.4, "min_recent_total_return": -0.003843000000000041, "trades": 575, "trades_per_year": 90.77638408304499, "win_rate": 0.6730434782608695, "avg_return": 0.0017169918253545605, "payoff_ratio": 0.9748647064909577, "profit_factor": 2.0067693692127695, "net_total_return": 1.6276072069574203, "net_annualized_return": 0.16476103820264698, "net_max_drawdown": 0.10291260750887869, "net_calmar": 1.6009801149818537 }, { "name": "riskoff-overlay-l60-m0.40-r48_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 60, "micro_weight": 0.4, "min_recent_total_return": -0.003843000000000041, "trades": 637, "trades_per_year": 100.56444636678201, "win_rate": 0.6452119309262166, "avg_return": 0.0015363794796265198, "payoff_ratio": 1.0707062813510861, "profit_factor": 1.9471693877667984, "net_total_return": 1.647775898321211, "net_annualized_return": 0.16616792726285623, "net_max_drawdown": 0.10387607536838316, "net_calmar": 1.5996746765177932 }, { "name": "riskoff-overlay-l60-m0.25-r48_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 60, "micro_weight": 0.25, "min_recent_total_return": -0.003843000000000041, "trades": 637, "trades_per_year": 100.56444636678201, "win_rate": 0.6452119309262166, "avg_return": 0.0015363794796265198, "payoff_ratio": 1.070706281351086, "profit_factor": 1.947169387766798, "net_total_return": 1.6481646721287646, "net_annualized_return": 0.1661949578234283, "net_max_drawdown": 0.10389318387593403, "net_calmar": 1.599671428126537 }, { "name": "riskoff-overlay-l90-m0.25-r96_q0.15_mf0.4_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us", "lookback_days": 90, "micro_weight": 0.25, "min_recent_total_return": -0.003843000000000041, "trades": 597, "trades_per_year": 94.24956747404845, "win_rate": 0.6666666666666666, "avg_return": 0.0016527114078602745, "payoff_ratio": 1.0080654371010964, "profit_factor": 2.016130874202193, "net_total_return": 1.6049739663926932, "net_annualized_return": 0.16317136151408618, "net_max_drawdown": 0.10291260750887865, "net_calmar": 1.5855332545141156 }, { "name": "riskoff-overlay-l90-m0.40-r96_q0.15_mf0.25_us", "cost_model": "maker_taker", "kind": "riskoff_overlay", "micro_name": "atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us", "lookback_days": 90, "micro_weight": 0.4, "min_recent_total_return": -0.003843000000000041, "trades": 597, "trades_per_year": 94.24956747404845, "win_rate": 0.6666666666666666, "avg_return": 0.0016527114078602747, "payoff_ratio": 1.0080654371010964, "profit_factor": 2.016130874202193, "net_total_return": 1.604746563620409, "net_annualized_return": 0.16315533064501886, "net_max_drawdown": 0.10291260750887872, "net_calmar": 1.5853774828408924 } ]