{ "experiment": { "alloc": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_as": null, "alloc_monthly_as": null, "alloc_monthly_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_yearly_as": null, "alloc_yearly_ours": { "labels": [ "2025" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "analysis_page": null, "answer": "No JPMaQS/blog-panel fidelity accept for qm-pft.2. Catalog registration of the labelled US ETF + FRED proxy is handled in qm-pft.3 as macro-aware-rp-us-proxy (disclosed non-AS research variant).", "bead_ids": [ "qm-pft.2" ], "cost_variants": {}, "coverage": { "alloc_monthly_labels_n": 12, "alloc_yearly_labels_n": 0, "as_alloc_rows": 0, "as_history_start_year": null, "as_returns_n": 0, "as_yearly_alloc_rows": 0, "coverage_generated_at": "2026-07T00:00:00Z", "db_path": "data/market.sqlite", "db_warm": true, "gap_years": null, "limiting": { "effective_start": "1993-01-29", "id": "SPY", "kind": "ohlcv", "native_start": "1993-01-29", "proxied": false, "proxy_chain": [], "span_basis": "db" }, "macro_meta": [], "macros": [], "monthly_labels_n": 120, "ours_alloc_rows": 120, "ours_returns_n": 120, "ticker_meta": [ { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" }, { "end": "2026-07-24", "n_rows": 6035, "start": "2002-07-30", "ticker": "IEF" }, { "end": "2026-07-24", "n_rows": 6035, "start": "2002-07-30", "ticker": "TLT" } ], "tickers": [ "SPY", "IEF", "TLT" ] }, "date": "", "disposition": "**No JPMaQS/blog-panel fidelity accept** for qm-pft.2. Catalog registration of the labelled **US ETF + FRED proxy** is handled in **qm-pft.3** as `macro-aware-rp-us-proxy` (disclosed non-AS research variant). The Macrosynergy May 2025 post specifies an eight-country, JPMaQS-backed, vol-targeted equity–duration futures/swap book with curated point-in-time quantamental scores. This workspace has **no J.P. Morgan DataQuery / JPMaQS credentials**, so a literal panel replication remains blocked. The US proxy implements the post’s mechanical skeleton (slack composite → month-end winsorized signal → next-bar equity/duration risk parity) and logs a full escalation grid. Proxy Sharpes can look numeri", "equity": { "experiment": [ 1.0, 1.0015, 0.995, 0.9845, 0.9878, 0.9912, 0.9969, 0.9977, 1.0021, 1.0057, 1.0048, 1.0094, 1.0144, 1.0115, 1.0135, 1.0147, 1.0158, 1.0157, 1.0097, 1.0128, 1.0085, 1.0145, 1.0154, 1.0167, 1.0228, 1.0201, 1.0139, 1.0207, 1.0293, 1.0372, 1.0385, 1.0525, 1.0564, 1.0605, 1.0742, 1.0755, 1.0896, 1.0871, 1.0926, 1.0954, 1.0986, 1.1087, 1.1145, 1.1272, 1.1474, 1.158, 1.1618, 1.1718, 1.1723, 1.1697, 1.1632, 1.171, 1.1739, 1.1692, 1.1641, 1.1628, 1.1633, 1.164, 1.162, 1.1639, 1.1635, 1.1624, 1.1585, 1.1578, 1.1554, 1.1474, 1.1424, 1.1264, 1.1208, 1.1275, 1.1208, 1.1254, 1.1163, 1.103, 1.1016, 1.1092, 1.1079, 1.1212, 1.1108, 1.1317, 1.1364, 1.1315, 1.132, 1.1375, 1.1382, 1.1276, 1.1255, 1.154, 1.1756, 1.1804, 1.1799, 1.1883, 1.1748, 1.1901, 1.2019, 1.2196, 1.2335, 1.2464, 1.2302, 1.2418, 1.2361, 1.2434, 1.255, 1.2535, 1.2637, 1.2611, 1.2766, 1.2764, 1.291, 1.2993, 1.3073, 1.3142, 1.3142, 1.3169, 1.3291, 1.3122, 1.3232, 1.3287, 1.3289, 1.3248 ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "spy": [ 1.0, 1.0001, 0.9827, 1.0189, 1.0396, 1.0582, 1.0998, 1.1011, 1.1121, 1.1278, 1.1349, 1.1583, 1.1617, 1.1851, 1.213, 1.2501, 1.2652, 1.3365, 1.2879, 1.2526, 1.2591, 1.2897, 1.2971, 1.3452, 1.3881, 1.3964, 1.2999, 1.324, 1.2074, 1.3041, 1.3464, 1.3707, 1.4267, 1.3357, 1.4287, 1.4503, 1.426, 1.4538, 1.4859, 1.5397, 1.5844, 1.5838, 1.4584, 1.2763, 1.4383, 1.5069, 1.5336, 1.6239, 1.7373, 1.6722, 1.6305, 1.8079, 1.8749, 1.8558, 1.9074, 1.994, 2.0995, 2.1132, 2.1606, 2.2134, 2.2792, 2.173, 2.3255, 2.3068, 2.4135, 2.2862, 2.2187, 2.3021, 2.1001, 2.1048, 1.9312, 2.1091, 2.023, 1.836, 1.9852, 2.0956, 1.9748, 2.099, 2.0462, 2.1221, 2.156, 2.166, 2.3063, 2.3818, 2.3431, 2.232, 2.1835, 2.383, 2.4918, 2.5314, 2.6635, 2.7507, 2.6397, 2.7733, 2.8711, 2.9059, 2.9738, 3.0362, 3.0091, 3.1886, 3.1119, 3.1954, 3.1549, 2.9791, 2.9533, 3.1389, 3.3001, 3.3762, 3.4454, 3.5682, 3.6532, 3.6603, 3.6633, 3.7172, 3.6851, 3.5032, 3.8712, 4.0749, 4.0329, 3.9906 ], "spy_labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ] }, "errors": "FRED gaps and API limits may truncate macro coverage; bounded history noted.", "follow_on": [ { "status": "open", "title": "Follow-up qm-pft.2" }, { "status": "open", "title": "Follow-up qm-pft.2." }, { "status": "open", "title": "Follow-up qm-pft.3" } ], "followup_command": "gh issue create --title \"Follow-up Macro-aware risk parity PIT spec US proxy search log qm-pft\" --body \"Follow-up to qm-pft.2: Decision\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up Macro-aware risk parity PIT spec US proxy search log qm-pft\" --body \"Follow-up to qm-pft.2: Decision\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-pft.2", "issue_ids": [ "qm-pft.2" ], "monthly": { "as": [ null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "ours": [ 0.0, 0.0015, -0.00649, -0.010553, 0.003352, 0.003442, 0.005751, 0.000802, 0.00441, 0.003592, -0.000895, 0.004578, 0.004953, -0.002859, 0.001977, 0.001184, 0.001084, -9.8e-05, -0.005907, 0.00307, -0.004246, 0.005949, 0.000887, 0.00128, 0.006, -0.00264, -0.006078, 0.006707, 0.008426, 0.007675, 0.001253, 0.013481, 0.003705, 0.003881, 0.012918, 0.00121, 0.01311, -0.002294, 0.005059, 0.002563, 0.002921, 0.009194, 0.005231, 0.011395, 0.017921, 0.009238, 0.003282, 0.008607, 0.000427, -0.002218, -0.005557, 0.006706, 0.002477, -0.004004, -0.004362, -0.001117, 0.00043, 0.000602, -0.001718, 0.001635, -0.000344, -0.000945, -0.003355, -0.000604, -0.002073, -0.006924, -0.004358, -0.014006, -0.004972, 0.005978, -0.005942, 0.004104, -0.008086, -0.011914, -0.001269, 0.006899, -0.001172, 0.012005, -0.009276, 0.018815, 0.004153, -0.004312, 0.000442, 0.004859, 0.000615, -0.009313, -0.001862, 0.025322, 0.018718, 0.004083, -0.000424, 0.007119, -0.011361, 0.013023, 0.009915, 0.014727, 0.011397, 0.010458, -0.012997, 0.009429, -0.00459, 0.005906, 0.009329, -0.001195, 0.008137, -0.002057, 0.012291, -0.000157, 0.011438, 0.006429, 0.006157, 0.005278, 0.0, 0.002054, 0.009264, -0.012715, 0.008383, 0.004157, 0.000151, -0.003085 ] }, "page": "experiments/qm-pft-2-macro-aware-risk-parity-pit-spec-us-p.html", "performance": { "cagr": 0.06532, "max_drawdown": -0.17484, "max_drawdown_fallback_rule": "Use daily backtest equity when available; otherwise compound published monthly returns and label the result monthly.", "max_drawdown_observation_frequency": "monthly", "sharpe": 0.67064, "sortino": 0.98096, "volatility": null }, "provenance": { "artifact": null, "code": "research/findings", "finding": "research/findings/macro-aware-rp-qm-pft.2.md", "site_data": "site-data/experiments/qm-pft.2.json", "tearsheet": null }, "question": " Decision", "safe_withdrawal": null, "signalSeries": null, "signals": [], "slug": "qm-pft-2-macro-aware-risk-parity-pit-spec-us-p", "stats": { "cagr": 0.06532, "maxDD": -0.17484, "sharpe": 0.67064, "sortino": 0.98096 }, "status": "investigate", "status_chip": "Investigate-only", "tax_analysis": { "ltcg_pct": null, "note": "Experiment parity stub: no taxable wrapper; see strategy tax_analysis for methodology", "schema_id": "tax-analysis/v1", "stcg_pct": null }, "taxable_stats": null, "title": "Macro-aware risk parity — PIT spec, US proxy, search log (qm-pft.2)", "trading_costs": { "avg_daily_turnover": 0.00672, "avg_yearly_fees": 0.001693, "basis": "daily_engine", "cost_bps_one_way": 10.0, "fee_bps": 10.0, "n_bars": 120, "schema_id": "trading-costs/v1", "slippage_bps": 0.0, "total_costs": 0.000806 }, "verify": { "as_cagr": null, "as_stats": null, "cagr_delta": null, "gates": null, "last_verify_at": null, "monthly_bias": null, "monthly_corr": null, "monthly_mae": null, "n_months": null, "ours_cagr": 0.06532, "ours_stats": { "ann_return": 0.06532, "sharpe": 0.67064, "sortino": 0.98096 }, "passed": null, "status": "not_applicable", "verify_status": null }, "visualizations": [ { "data": { "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01" ], "note": "Aligned window, both rebased to 1.0 at start for fair comparison" }, "title": "Equity vs S&P (aligned, rebased to 1.0)", "type": "equity_vs_spy" }, { "data": { "note": "Portfolio Optimizer Sharpe 2.20 claim vs labelled proxy" }, "title": "Labelled search matrix (31 trials)", "type": "search_matrix" } ] }, "generated_at": "2026-09-17T04:12:25Z", "id": "qm-pft.2", "schema_id": "experiments/v1", "schema_version": 1 }