{
  "id": "2026-09-09",
  "source_commit": "358d387865d29ee0baef84ed0a8f75908b26f042",
  "source_audit_sha256": "e1177f209458036209b218d90b8bc910d269afcd65ff83947f91e1103ad1212d",
  "type": "historical_simulation_not_live_account_returns",
  "start": "2021-06-02 13:30:00",
  "end": "2026-09-09 12:30:00",
  "initial_equity": 10000,
  "final_equity": 69585.69960429028,
  "return_pct": 595.8569960429028,
  "max_drawdown_pct": 19.1514211163202,
  "cagr_pct": 44.49852817096394,
  "trades": 3480,
  "cost_stress": {
    "return_pct": 108.980768457045,
    "max_drawdown_pct": 32.97418793375171
  },
  "yearly": {
    "2021": {
      "return_pct": 28.243233460829153,
      "trades": 240,
      "profit_factor": 1.4299279228722688
    },
    "2022": {
      "return_pct": 122.19557607120852,
      "trades": 655,
      "profit_factor": 1.6498592569866246
    },
    "2023": {
      "return_pct": 52.84497795629972,
      "trades": 894,
      "profit_factor": 1.1899204161672725
    },
    "2024": {
      "return_pct": -2.3364720171070053,
      "trades": 683,
      "profit_factor": 0.9845805234680579
    },
    "2025": {
      "return_pct": 44.54070616526733,
      "trades": 543,
      "profit_factor": 1.3317994785353664
    },
    "2026": {
      "return_pct": 13.181742553213628,
      "trades": 465,
      "profit_factor": 1.1039410163833712
    }
  },
  "curve_sampling": "first point and last point in each timestamp month; drawdown calculated from full 15m marked equity, not this sampled curve",
  "equity_curve": [
    {
      "time": "2021-06-02T13:30:00",
      "equity": 10000.0
    },
    {
      "time": "2021-06-30T23:45:00",
      "equity": 10000.0
    },
    {
      "time": "2021-07-31T23:45:00",
      "equity": 10653.63
    },
    {
      "time": "2021-08-31T23:45:00",
      "equity": 10493.25
    },
    {
      "time": "2021-09-30T23:45:00",
      "equity": 11476.43
    },
    {
      "time": "2021-10-31T23:45:00",
      "equity": 11064.63
    },
    {
      "time": "2021-11-30T23:45:00",
      "equity": 12782.3
    },
    {
      "time": "2021-12-31T23:45:00",
      "equity": 12824.32
    },
    {
      "time": "2022-01-31T23:45:00",
      "equity": 13594.24
    },
    {
      "time": "2022-02-28T23:45:00",
      "equity": 15121.37
    },
    {
      "time": "2022-03-31T23:45:00",
      "equity": 14804.12
    },
    {
      "time": "2022-04-30T23:45:00",
      "equity": 15627.32
    },
    {
      "time": "2022-05-31T23:45:00",
      "equity": 16087.05
    },
    {
      "time": "2022-06-30T23:45:00",
      "equity": 17717.82
    },
    {
      "time": "2022-07-31T23:45:00",
      "equity": 17894.14
    },
    {
      "time": "2022-08-31T23:45:00",
      "equity": 19334.36
    },
    {
      "time": "2022-09-30T23:45:00",
      "equity": 21152.75
    },
    {
      "time": "2022-10-31T23:45:00",
      "equity": 22525.65
    },
    {
      "time": "2022-11-30T23:45:00",
      "equity": 24847.59
    },
    {
      "time": "2022-12-31T23:45:00",
      "equity": 28495.08
    },
    {
      "time": "2023-01-31T23:45:00",
      "equity": 29563.28
    },
    {
      "time": "2023-02-28T23:45:00",
      "equity": 31348.61
    },
    {
      "time": "2023-03-31T23:45:00",
      "equity": 30946.89
    },
    {
      "time": "2023-04-30T23:45:00",
      "equity": 31113.2
    },
    {
      "time": "2023-05-31T23:45:00",
      "equity": 34303.12
    },
    {
      "time": "2023-06-30T23:45:00",
      "equity": 39640.69
    },
    {
      "time": "2023-07-31T23:45:00",
      "equity": 38819.15
    },
    {
      "time": "2023-08-31T23:45:00",
      "equity": 44916.49
    },
    {
      "time": "2023-09-30T23:45:00",
      "equity": 43625.61
    },
    {
      "time": "2023-10-31T23:45:00",
      "equity": 46221.62
    },
    {
      "time": "2023-11-30T23:45:00",
      "equity": 43177.54
    },
    {
      "time": "2023-12-31T23:45:00",
      "equity": 43611.34
    },
    {
      "time": "2024-01-31T23:45:00",
      "equity": 42858.23
    },
    {
      "time": "2024-02-29T23:45:00",
      "equity": 41084.17
    },
    {
      "time": "2024-03-31T23:45:00",
      "equity": 41659.68
    },
    {
      "time": "2024-04-30T23:45:00",
      "equity": 44943.29
    },
    {
      "time": "2024-05-31T23:45:00",
      "equity": 42403.39
    },
    {
      "time": "2024-06-30T23:45:00",
      "equity": 39896.19
    },
    {
      "time": "2024-07-31T23:45:00",
      "equity": 43840.93
    },
    {
      "time": "2024-08-31T23:45:00",
      "equity": 44954.44
    },
    {
      "time": "2024-09-30T23:45:00",
      "equity": 43445.59
    },
    {
      "time": "2024-10-31T23:45:00",
      "equity": 41135.86
    },
    {
      "time": "2024-11-30T23:45:00",
      "equity": 41610.96
    },
    {
      "time": "2024-12-31T23:45:00",
      "equity": 42535.69
    },
    {
      "time": "2025-01-31T23:45:00",
      "equity": 43412.34
    },
    {
      "time": "2025-02-28T23:45:00",
      "equity": 47361.74
    },
    {
      "time": "2025-03-31T23:45:00",
      "equity": 48416.59
    },
    {
      "time": "2025-04-30T23:45:00",
      "equity": 52798.64
    },
    {
      "time": "2025-05-31T23:45:00",
      "equity": 52906.73
    },
    {
      "time": "2025-06-30T23:45:00",
      "equity": 54634.12
    },
    {
      "time": "2025-07-31T23:45:00",
      "equity": 59059.9
    },
    {
      "time": "2025-08-31T23:45:00",
      "equity": 57130.26
    },
    {
      "time": "2025-09-30T23:45:00",
      "equity": 54447.47
    },
    {
      "time": "2025-10-31T23:45:00",
      "equity": 58126.95
    },
    {
      "time": "2025-11-30T23:45:00",
      "equity": 61029.76
    },
    {
      "time": "2025-12-31T23:45:00",
      "equity": 61388.18
    },
    {
      "time": "2026-01-31T23:45:00",
      "equity": 66771.54
    },
    {
      "time": "2026-02-28T23:45:00",
      "equity": 64498.07
    },
    {
      "time": "2026-03-31T23:45:00",
      "equity": 66481.66
    },
    {
      "time": "2026-04-30T23:45:00",
      "equity": 64517.07
    },
    {
      "time": "2026-05-31T23:45:00",
      "equity": 67592.78
    },
    {
      "time": "2026-06-30T23:45:00",
      "equity": 63589.21
    },
    {
      "time": "2026-07-31T23:45:00",
      "equity": 64779.77
    },
    {
      "time": "2026-08-31T23:45:00",
      "equity": 67799.68
    },
    {
      "time": "2026-09-09T12:30:00",
      "equity": 69585.7
    }
  ],
  "conditions": {
    "leverage": 7,
    "target_symbols": 25,
    "reselection_seconds": 10800,
    "max_positions": 5,
    "taker_fee_per_fill_pct": 0.055,
    "slippage_per_fill_pct": 0.01,
    "stress_taker_fee_per_fill_pct": 0.075,
    "stress_slippage_per_fill_pct": 0.05,
    "funding": "historical funding payments included"
  },
  "limitations": [
    "Retrospective selection among 15 parameter alternatives; not untouched out-of-sample data.",
    "Current supply and spread proxies and survival/selection bias remain.",
    "15-minute bar fills do not reproduce order-book depth, latency, mark-price liquidation, or exchange quantity rounding.",
    "A portfolio simulation is not the return achieved by a subscriber following individual alerts.",
    "2026 independently restarted cost-stress test: -1.40% return and 21.24% max drawdown."
  ]
}