Software evidence only; no empirical investment evidence.
All scenarios use common evaluation dates. Figures below include inception costs and pre-inception capital anchor 100.
| Scenario | CAGR | Volatility | Sharpe | Max drawdown | Total turnover | Costs (index points) |
|---|---|---|---|---|---|---|
| baseline_gross | 2.05% | 5.39% | 0.027 | -13.85% | 38.32 | 0.0000 |
| baseline_net | 1.96% | 5.39% | 0.010 | -13.89% | 38.32 | 2.1838 |
| cash | 2.05% | 0.08% | N/A | 0.00% | 0.00 | 0.0000 |
| cost_10bps | 1.86% | 5.39% | -0.007 | -13.93% | 38.32 | 4.3222 |
| cost_20bps | 1.68% | 5.39% | -0.041 | -14.00% | 38.31 | 8.4664 |
| equal_gross | 0.10% | 14.23% | -0.065 | -43.21% | 7.99 | 0.0000 |
| equal_net | 0.08% | 14.23% | -0.066 | -43.23% | 7.99 | 0.3716 |
| lookback_126 | 2.92% | 5.25% | 0.188 | -11.75% | 43.00 | 2.8400 |
| reference_14pct | 1.80% | 6.59% | -0.004 | -16.48% | 40.93 | 2.2440 |
| reference_6pct | 2.15% | 4.13% | 0.045 | -13.41% | 36.29 | 2.1643 |
| trend_gross | 1.06% | 8.05% | -0.081 | -29.64% | 31.97 | 0.0000 |
| trend_net | 0.98% | 8.05% | -0.090 | -29.88% | 31.97 | 1.6292 |
| vol_window_126 | 1.43% | 5.82% | -0.075 | -16.21% | 38.96 | 2.0875 |
The sensitivity set is exploratory; no winning parameter is selected. Designed regimes and a chosen universe cannot establish historical profitability.
Retrospective synthetic evaluation; inspected in this delivery; no tuning. No historical holdout inspected.
Daily asset P&L, cash interest, and negative costs are additive index-point attribution. Summing these explains final index minus 100; daily percentages are not presented as compounded attribution.
Historical stress-window results: unavailable because no historical dataset is licensed or loaded. Frozen-holdings shocks in results.json are hypothetical.