{
  "filter_name": "ROC_125d",
  "date": "2026-02-25",
  "generated": "2026-03-01T14:07:07.011784",
  "trend_state": "BULL",
  "exposure_multiplier": 1.0,
  "oos_sharpe_improvement": 0.83,
  "oos_maxdd_improvement_pct": -8.1,
  "baseline_oos": {
    "sharpe": 0.25,
    "total_return": 20888.0,
    "max_dd": -35317.0,
    "win_rate": 54.8,
    "profit_factor": 1.15,
    "n_trades": 40,
    "invested_pct": 18.5,
    "days": 395
  },
  "filtered_oos": {
    "sharpe": 1.08,
    "total_return": 76260.0,
    "max_dd": -38175.0,
    "win_rate": 54.3,
    "profit_factor": 1.52,
    "n_trades": 43,
    "invested_pct": 24.1,
    "days": 395
  },
  "all_results": {
    "NoFilter": {
      "IS": {
        "sharpe": 0.22,
        "total_return": 13286.0,
        "max_dd": -32127.0,
        "win_rate": 63.1,
        "profit_factor": 1.12,
        "n_trades": 75,
        "invested_pct": 15.4,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.25,
        "total_return": 20888.0,
        "max_dd": -35317.0,
        "win_rate": 54.8,
        "profit_factor": 1.15,
        "n_trades": 40,
        "invested_pct": 18.5,
        "days": 395
      },
      "Full": {
        "sharpe": 0.22,
        "total_return": 30257.0,
        "max_dd": -35317.0,
        "win_rate": 59.7,
        "profit_factor": 1.12,
        "n_trades": 116,
        "invested_pct": 16.4,
        "days": 1193
      }
    },
    "SMA_50_200_Cross": {
      "IS": {
        "sharpe": 0.75,
        "total_return": 64889.0,
        "max_dd": -28965.0,
        "win_rate": 58.0,
        "profit_factor": 1.33,
        "n_trades": 69,
        "invested_pct": 24.2,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.48,
        "total_return": 39087.0,
        "max_dd": -45260.0,
        "win_rate": 52.5,
        "profit_factor": 1.16,
        "n_trades": 50,
        "invested_pct": 35.4,
        "days": 395
      },
      "Full": {
        "sharpe": 0.59,
        "total_return": 103976.0,
        "max_dd": -45260.0,
        "win_rate": 55.7,
        "profit_factor": 1.23,
        "n_trades": 119,
        "invested_pct": 27.9,
        "days": 1193
      }
    },
    "Price_vs_200SMA": {
      "IS": {
        "sharpe": 0.12,
        "total_return": 9798.0,
        "max_dd": -53302.0,
        "win_rate": 57.3,
        "profit_factor": 1.05,
        "n_trades": 66,
        "invested_pct": 21.6,
        "days": 798
      },
      "OOS": {
        "sharpe": -0.34,
        "total_return": -9022.0,
        "max_dd": -21256.0,
        "win_rate": 45.2,
        "profit_factor": 0.9,
        "n_trades": 33,
        "invested_pct": 10.6,
        "days": 395
      },
      "Full": {
        "sharpe": -0.03,
        "total_return": -3141.0,
        "max_dd": -53302.0,
        "win_rate": 54.7,
        "profit_factor": 1.0,
        "n_trades": 100,
        "invested_pct": 17.9,
        "days": 1193
      }
    },
    "Price_vs_200SMA_2pctBuf": {
      "IS": {
        "sharpe": 0.77,
        "total_return": 63594.0,
        "max_dd": -23713.0,
        "win_rate": 62.5,
        "profit_factor": 1.4,
        "n_trades": 75,
        "invested_pct": 22.1,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.83,
        "total_return": 79113.0,
        "max_dd": -52222.0,
        "win_rate": 56.1,
        "profit_factor": 1.26,
        "n_trades": 55,
        "invested_pct": 41.8,
        "days": 395
      },
      "Full": {
        "sharpe": 0.74,
        "total_return": 142707.0,
        "max_dd": -52222.0,
        "win_rate": 59.4,
        "profit_factor": 1.31,
        "n_trades": 130,
        "invested_pct": 28.6,
        "days": 1193
      }
    },
    "Price_vs_50SMA": {
      "IS": {
        "sharpe": -0.02,
        "total_return": -1620.0,
        "max_dd": -61005.0,
        "win_rate": 54.8,
        "profit_factor": 1.0,
        "n_trades": 72,
        "invested_pct": 19.8,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.37,
        "total_return": 30747.0,
        "max_dd": -36740.0,
        "win_rate": 55.4,
        "profit_factor": 1.15,
        "n_trades": 48,
        "invested_pct": 30.6,
        "days": 395
      },
      "Full": {
        "sharpe": 0.16,
        "total_return": 25239.0,
        "max_dd": -61005.0,
        "win_rate": 54.8,
        "profit_factor": 1.07,
        "n_trades": 120,
        "invested_pct": 23.4,
        "days": 1193
      }
    },
    "ROC_125d": {
      "IS": {
        "sharpe": 0.15,
        "total_return": 11253.0,
        "max_dd": -38086.0,
        "win_rate": 54.5,
        "profit_factor": 1.08,
        "n_trades": 65,
        "invested_pct": 16.7,
        "days": 798
      },
      "OOS": {
        "sharpe": 1.08,
        "total_return": 76260.0,
        "max_dd": -38175.0,
        "win_rate": 54.3,
        "profit_factor": 1.52,
        "n_trades": 43,
        "invested_pct": 24.1,
        "days": 395
      },
      "Full": {
        "sharpe": 0.56,
        "total_return": 83596.0,
        "max_dd": -38175.0,
        "win_rate": 54.2,
        "profit_factor": 1.27,
        "n_trades": 109,
        "invested_pct": 19.1,
        "days": 1193
      }
    },
    "ROC_63d": {
      "IS": {
        "sharpe": 0.79,
        "total_return": 62391.0,
        "max_dd": -31242.0,
        "win_rate": 59.8,
        "profit_factor": 1.39,
        "n_trades": 74,
        "invested_pct": 22.4,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.92,
        "total_return": 89350.0,
        "max_dd": -48219.0,
        "win_rate": 56.2,
        "profit_factor": 1.28,
        "n_trades": 58,
        "invested_pct": 44.6,
        "days": 395
      },
      "Full": {
        "sharpe": 0.78,
        "total_return": 151741.0,
        "max_dd": -48219.0,
        "win_rate": 58.0,
        "profit_factor": 1.32,
        "n_trades": 132,
        "invested_pct": 29.8,
        "days": 1193
      }
    },
    "SMA200_Slope": {
      "IS": {
        "sharpe": 0.13,
        "total_return": 13286.0,
        "max_dd": -83902.0,
        "win_rate": 54.0,
        "profit_factor": 1.05,
        "n_trades": 73,
        "invested_pct": 28.2,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.25,
        "total_return": 20888.0,
        "max_dd": -35317.0,
        "win_rate": 54.8,
        "profit_factor": 1.15,
        "n_trades": 40,
        "invested_pct": 18.5,
        "days": 395
      },
      "Full": {
        "sharpe": 0.18,
        "total_return": 30256.0,
        "max_dd": -83902.0,
        "win_rate": 54.0,
        "profit_factor": 1.07,
        "n_trades": 114,
        "invested_pct": 25.0,
        "days": 1193
      }
    },
    "DualMomentum_125d": {
      "IS": {
        "sharpe": 0.22,
        "total_return": 16788.0,
        "max_dd": -27530.0,
        "win_rate": 57.9,
        "profit_factor": 1.13,
        "n_trades": 59,
        "invested_pct": 13.4,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.98,
        "total_return": 76395.0,
        "max_dd": -38175.0,
        "win_rate": 56.1,
        "profit_factor": 1.38,
        "n_trades": 45,
        "invested_pct": 29.1,
        "days": 395
      },
      "Full": {
        "sharpe": 0.57,
        "total_return": 93183.0,
        "max_dd": -38175.0,
        "win_rate": 57.0,
        "profit_factor": 1.28,
        "n_trades": 104,
        "invested_pct": 18.6,
        "days": 1193
      }
    },
    "Composite_Majority": {
      "IS": {
        "sharpe": 0.23,
        "total_return": 17231.0,
        "max_dd": -28965.0,
        "win_rate": 55.0,
        "profit_factor": 1.12,
        "n_trades": 53,
        "invested_pct": 13.7,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.87,
        "total_return": 69077.0,
        "max_dd": -38836.0,
        "win_rate": 55.9,
        "profit_factor": 1.33,
        "n_trades": 47,
        "invested_pct": 30.1,
        "days": 395
      },
      "Full": {
        "sharpe": 0.52,
        "total_return": 86308.0,
        "max_dd": -38836.0,
        "win_rate": 55.5,
        "profit_factor": 1.24,
        "n_trades": 100,
        "invested_pct": 19.1,
        "days": 1193
      }
    },
    "Graduated": {
      "IS": {
        "sharpe": 0.39,
        "total_return": 26002.0,
        "max_dd": -17568.0,
        "win_rate": 67.6,
        "profit_factor": 1.22,
        "n_trades": 58,
        "invested_pct": 12.8,
        "days": 798
      },
      "OOS": {
        "sharpe": 0.01,
        "total_return": 749.0,
        "max_dd": -63411.0,
        "win_rate": 57.0,
        "profit_factor": 1.01,
        "n_trades": 42,
        "invested_pct": 21.8,
        "days": 395
      },
      "Full": {
        "sharpe": 0.18,
        "total_return": 26751.0,
        "max_dd": -63411.0,
        "win_rate": 62.8,
        "profit_factor": 1.1,
        "n_trades": 100,
        "invested_pct": 15.8,
        "days": 1193
      }
    }
  }
}