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        1.1537458427439724,
        1.1537208755794186,
        1.1536959084148646,
        1.1536709412503108,
        1.153645974085757,
        1.153621006921203,
        1.1535960397566491,
        1.1535710725920951,
        1.1535461054275413,
        1.1535211382629873,
        1.1534961710984335
      ],
      "cagr": [
        0.08795270846844261,
        0.08795066410330521,
        0.08794861974168766,
        0.08794657538359263,
        0.08794453102901945,
        0.087942486677967,
        0.08794044233043441,
        0.08793839798642433,
        0.0879363536459361,
        0.08793430930896684,
        0.08793226497552054,
        0.08793022064559608,
        0.08792817631919236,
        0.08792613199630828,
        0.08792408767694693,
        0.0879220433611072,
        0.08791999904878822,
        0.08791795473998887,
        0.08791591043471225,
        0.08791386613295682,
        0.08791182183472124,
        0.08790977754000817,
        0.08790773324881651,
        0.08790568896114581,
        0.08790364467699474
      ]
    },
    "noise": {
      "labels": [
        "0.05",
        "0.1",
        "0.2",
        "0.3",
        "0.5",
        "0.75",
        "1.0",
        "1.5"
      ],
      "median_sharpe": [
        1.1526834214050685,
        1.1484784289757743,
        1.1321072103303753,
        1.1063117012116195,
        1.0342681361708288,
        0.926526148797138,
        0.8200664498299299,
        0.6445315802939162
      ],
      "p10_sharpe": [
        1.152259832912271,
        1.1467933427541888,
        1.1255107585151698,
        1.0919765966607873,
        0.9983199621077594,
        0.8582553785219614,
        0.7198577698645909,
        0.4916624394677731
      ],
      "p90_sharpe": [
        1.153107009897866,
        1.15016351519736,
        1.1387036621455808,
        1.1206468057624517,
        1.0702163102338982,
        0.9947969190723146,
        0.9202751297952689,
        0.7974007211200593
      ]
    },
    "regimes": {
      "labels": [
        "Strong bull",
        "Bull",
        "Sideways",
        "Bear",
        "Strong bear",
        "Volatility up",
        "Volatility down"
      ],
      "strategy": [
        0.009357298377253737,
        0.006392764368666262,
        -0.007446969831075146,
        -0.0015962945700863146,
        null,
        0.013722792778923151,
        0.0031245538712586047
      ],
      "spy": [
        0.013943287336567353,
        0.0097168992812941,
        -0.028492105700941038,
        -0.018370732806505304,
        null,
        0.022367980213247252,
        -0.004379357379830185
      ]
    }
  },
  "tools": [
    {
      "id": "strategy_report",
      "title": "Strategy report",
      "href": "../strategies/dms-bamboo.html",
      "status": "ok",
      "note": "Equity, allocations, and replication metrics."
    },
    {
      "id": "quantstats",
      "title": "QuantStats tearsheet",
      "href": "../tearsheets/strategies/dms-bamboo.html",
      "status": "ok",
      "note": "Full QuantStats HTML from the same monthly ours path."
    },
    {
      "id": "paper_to_profit",
      "title": "Paper to Profit robustness",
      "href": "https://papertoprofit.substack.com/t/tutorials",
      "status": "ok",
      "note": "t-test vs zero and SPY, overlapping-block bootstrap, rolling OLS alpha decay, 70/30 stability, extra-bps cost grid, return-space noise, and seven SPY regimes. Walk-forward parameter search is not estimable on this catalog snapshot."
    }
  ],
  "writeup": {
    "verdict": "Bamboo (DMS) receives a research grade of F (composite 48 / 100) on Paper-to-Profit robustness tests run against published monthly ours versus SPY. On these tests the published path does not currently support a constructive allocation case.",
    "edge": "The path makes money vs zero (p=0.000) but is not a significant edge versus SPY (p=0.464, excess -0.12% per month). Same failure mode as a strategy that only rides beta.",
    "bootstrap": "Block bootstrap of consecutive months (400 paths): P(beat SPY) over 6.0 months is 40%; over 24.0 months is 30%. This is the Paper-to-Profit 'realistic path' test, not a reshuffled iid sample.",
    "persistence": "17% of 12-month OLS windows have a significantly positive slope and 44% are significantly negative. Terminal strategy/SPY wealth ratio is 0.86. A steadily rising log-relative-wealth line is the decay test from the tutorial; a late collapse is a warning.",
    "stability": "70/30 OOS/IS Sharpe ratio is 1.40; second/first-half Sharpe ratio is 1.24. Walk-forward parameter search is not estimable on a frozen catalog snapshot; this split is the overfit proxy. Return-space noise did not halve Sharpe on the tested grid.",
    "cost": "Average daily turnover is 0.008%. Additional one-way costs through 24 bps did not cut Sharpe in half. That is the tutorial's cost-robust case.",
    "regimes": "The path beats SPY in 21% of classified months (3.0/6.0 regimes). In bear/strong-bear/vol-down months it beats SPY 100% of the time. Crisis windows: Dot-com bust: strategy -4.4% vs SPY -31.4%; Global Financial Crisis: strategy -11.3% vs SPY -46.0%; COVID crash: strategy -8.1% vs SPY -19.4%; 2022 inflation shock: strategy -9.5% vs SPY -23.9%.",
    "headline": "Published CAGR 8.80% / Sharpe 1.15 / max DD -17.3% over 300 months. Those headline stats are context only; the grade is the robustness tests above.",
    "limitations": "Tests use published monthly ours, already lagged one bar in the engine, versus SPY. t-tests assume roughly comparable monthly means; Wilcoxon is shown as a non-normal check. Bootstrap paths are overlapping consecutive months (not iid reshuffles). Noise is added to monthly returns, not to OHLC, because this producer does not rerun backtests. Walk-forward parameter optimization, SPA, and PBO are not estimable without a trial ledger. Fee drag is extra one-way bps on catalog average daily turnover, on top of the published costed path."
  },
  "ranks": {
    "cagr": 34.15841584158416,
    "sharpe": 76.73267326732673,
    "score": 58.91089108910891
  },
  "generated_at": "2026-09-22T18:23:05Z"
}