Windows: 7 seeds=[0, 1, 2, 3, 4] timesteps=8000 elapsed=436s Constraints: {'min_sleeve': 0.0, 'max_sleeve': 0.35, 'max_cash': 0.3, 'max_daily_change': 0.1, 'max_daily_turnover': 0.15, 'no_trade_band_bps': 50.0, 'rebalance_every_n_days': 7} Reward: {'lambda_var': 0.0, 'lambda_dd': 2.0, 'lambda_turnover': 0.0, 'lambda_cost': 1.0, 'dd_threshold': 0.15, 'var_window': 5}
| Cell | OOS | Agent | EW | Uplift | p | maxDD | turn | meanW |
|---|---|---|---|---|---|---|---|---|
| v5_main_w0_s0 | 2019-11-20 | +0.198 | +0.518 | -0.320 | 0.500 | -22.96% | 0.0053 | [0.1636, 0.1721, 0.1607, 0.1644, 0.1806, 0.1631] |
| v5_main_w0_s1 | 2019-11-20 | +0.330 | +0.518 | -0.188 | 0.497 | -21.70% | 0.0040 | [0.1644, 0.1571, 0.1609, 0.1525, 0.1737, 0.1762] |
| v5_main_w0_s2 | 2019-11-20 | +0.367 | +0.518 | -0.151 | 0.498 | -22.27% | 0.0049 | [0.1752, 0.1809, 0.1497, 0.1566, 0.1778, 0.1766] |
| v5_main_w0_s3 | 2019-11-20 | +0.442 | +0.518 | -0.076 | 0.500 | -23.39% | 0.0043 | [0.1602, 0.1677, 0.1786, 0.168, 0.1553, 0.1568] |
| v5_main_w0_s4 | 2019-11-20 | +0.515 | +0.518 | -0.003 | 0.498 | -22.08% | 0.0044 | [0.1726, 0.1664, 0.1664, 0.1724, 0.1846, 0.1644] |
| v5_main_w1_s0 | 2020-11-19 | +3.658 | +3.628 | +0.029 | 0.504 | -8.69% | 0.0008 | [0.1664, 0.1479, 0.165, 0.1675, 0.1546, 0.1635] |
| v5_main_w1_s1 | 2020-11-19 | +3.634 | +3.628 | +0.006 | 0.506 | -9.31% | 0.0020 | [0.1666, 0.1735, 0.1673, 0.1699, 0.1642, 0.1592] |
| v5_main_w1_s2 | 2020-11-19 | +3.703 | +3.628 | +0.075 | 0.505 | -9.34% | 0.0026 | [0.1431, 0.1823, 0.1573, 0.1727, 0.1492, 0.1733] |
| v5_main_w1_s3 | 2020-11-19 | +3.663 | +3.628 | +0.035 | 0.506 | -9.20% | 0.0022 | [0.1597, 0.1658, 0.1723, 0.1671, 0.1792, 0.1553] |
| v5_main_w1_s4 | 2020-11-19 | +3.649 | +3.628 | +0.021 | 0.504 | -8.98% | 0.0037 | [0.1404, 0.1736, 0.1416, 0.1628, 0.19, 0.1672] |
| v5_main_w2_s0 | 2021-11-19 | -5.350 | -4.621 | -0.729 | 0.497 | -17.40% | 0.0033 | [0.19, 0.1482, 0.1789, 0.1848, 0.1684, 0.1431] |
| v5_main_w2_s1 | 2021-11-19 | -5.208 | -4.621 | -0.587 | 0.495 | -16.22% | 0.0027 | [0.1679, 0.1602, 0.1494, 0.1586, 0.1683, 0.1822] |
| v5_main_w2_s2 | 2021-11-19 | -5.076 | -4.621 | -0.455 | 0.497 | -16.13% | 0.0040 | [0.146, 0.1773, 0.1621, 0.1742, 0.1624, 0.1605] |
| v5_main_w2_s3 | 2021-11-19 | -5.196 | -4.621 | -0.575 | 0.495 | -16.20% | 0.0036 | [0.1696, 0.1762, 0.157, 0.1587, 0.1586, 0.1829] |
| v5_main_w2_s4 | 2021-11-19 | -5.179 | -4.621 | -0.558 | 0.499 | -16.39% | 0.0034 | [0.147, 0.1776, 0.1629, 0.1676, 0.1839, 0.1598] |
| v5_main_w3_s0 | 2022-11-21 | +0.556 | +0.387 | +0.169 | 0.487 | -6.49% | 0.0017 | [0.173, 0.1513, 0.1659, 0.1727, 0.182, 0.1738] |
| v5_main_w3_s1 | 2022-11-21 | +0.386 | +0.387 | -0.001 | 0.487 | -6.89% | 0.0022 | [0.1562, 0.1659, 0.1697, 0.1631, 0.1731, 0.1648] |
| v5_main_w3_s2 | 2022-11-21 | +0.587 | +0.387 | +0.200 | 0.488 | -6.26% | 0.0026 | [0.1567, 0.1749, 0.1466, 0.1783, 0.1739, 0.165] |
| v5_main_w3_s3 | 2022-11-21 | +0.467 | +0.387 | +0.080 | 0.488 | -6.56% | 0.0020 | [0.1562, 0.154, 0.1722, 0.1773, 0.1859, 0.1683] |
| v5_main_w3_s4 | 2022-11-21 | +0.425 | +0.387 | +0.038 | 0.488 | -6.53% | 0.0033 | [0.1625, 0.1621, 0.1621, 0.173, 0.1665, 0.1653] |
| v5_main_w4_s0 | 2023-11-22 | +2.721 | +2.977 | -0.256 | 0.509 | -9.04% | 0.0016 | [0.1854, 0.1518, 0.1671, 0.1642, 0.1611, 0.1849] |
| v5_main_w4_s1 | 2023-11-22 | +2.527 | +2.977 | -0.450 | 0.508 | -10.04% | 0.0020 | [0.1514, 0.172, 0.1695, 0.1666, 0.1686, 0.1702] |
| v5_main_w4_s2 | 2023-11-22 | +2.628 | +2.977 | -0.349 | 0.509 | -9.71% | 0.0032 | [0.1786, 0.1689, 0.1625, 0.164, 0.1613, 0.1649] |
| v5_main_w4_s3 | 2023-11-22 | +2.615 | +2.977 | -0.361 | 0.510 | -9.43% | 0.0034 | [0.1559, 0.1682, 0.1564, 0.1754, 0.1875, 0.1722] |
| v5_main_w4_s4 | 2023-11-22 | +2.509 | +2.977 | -0.467 | 0.509 | -10.21% | 0.0026 | [0.1565, 0.1766, 0.1722, 0.1585, 0.1606, 0.154] |
| v5_main_w5_s0 | 2024-11-22 | -0.175 | -0.090 | -0.085 | 0.499 | -10.36% | 0.0030 | [0.1743, 0.1616, 0.1738, 0.1609, 0.172, 0.1706] |
| v5_main_w5_s1 | 2024-11-22 | -0.244 | -0.090 | -0.154 | 0.499 | -10.13% | 0.0035 | [0.165, 0.1571, 0.1678, 0.1563, 0.1673, 0.1703] |
| v5_main_w5_s2 | 2024-11-22 | -0.112 | -0.090 | -0.022 | 0.498 | -10.19% | 0.0046 | [0.1669, 0.1667, 0.1643, 0.1612, 0.168, 0.1825] |
| v5_main_w5_s3 | 2024-11-22 | -0.237 | -0.090 | -0.147 | 0.498 | -10.40% | 0.0055 | [0.1673, 0.1603, 0.1695, 0.1643, 0.1747, 0.1632] |
| v5_main_w5_s4 | 2024-11-22 | -0.263 | -0.090 | -0.173 | 0.499 | -10.76% | 0.0041 | [0.1693, 0.1755, 0.1653, 0.1653, 0.1706, 0.154] |
| v5_main_w6_s0 | 2025-11-26 | +3.485 | +3.694 | -0.209 | 0.496 | -3.56% | 0.0046 | [0.1555, 0.1759, 0.1883, 0.1635, 0.1689, 0.169] |
| v5_main_w6_s1 | 2025-11-26 | +3.527 | +3.694 | -0.168 | 0.495 | -3.32% | 0.0038 | [0.1693, 0.1608, 0.1637, 0.1615, 0.1718, 0.1536] |
| v5_main_w6_s2 | 2025-11-26 | +3.417 | +3.694 | -0.278 | 0.496 | -3.80% | 0.0047 | [0.162, 0.1682, 0.161, 0.1819, 0.1669, 0.1647] |
| v5_main_w6_s3 | 2025-11-26 | +3.446 | +3.694 | -0.249 | 0.495 | -3.69% | 0.0038 | [0.1704, 0.1789, 0.1512, 0.1634, 0.1625, 0.1669] |
| v5_main_w6_s4 | 2025-11-26 | +3.195 | +3.694 | -0.499 | 0.496 | -4.01% | 0.0056 | [0.16, 0.1696, 0.1692, 0.165, 0.1575, 0.1755] |
Gate
- median uplift -0.168 (need >=+0.10): False
- max p 0.510 (need <=0.05): False
- worst maxDD -23.39% | pos frac 26%
- Verdict: REJECT