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        1.073333278097613,
        1.0733107647649012,
        1.0732882514321895,
        1.0732657380994777,
        1.073243224766766,
        1.0732207114340544,
        1.0731981981013428,
        1.0731756847686311,
        1.0731531714359193,
        1.0731306581032076,
        1.0731081447704958
      ],
      "cagr": [
        0.09084545870857097,
        0.0908433952966865,
        0.09084133188838117,
        0.09083926848365209,
        0.09083720508249993,
        0.09083514168492623,
        0.09083307829093124,
        0.09083101490051271,
        0.09082895151367154,
        0.09082688813040951,
        0.09082482475072351,
        0.09082276137461487,
        0.09082069800208425,
        0.090818634633133,
        0.09081657126775688,
        0.09081450790595902,
        0.09081244454773985,
        0.09081038119309692,
        0.09080831784203114,
        0.09080625449454538,
        0.09080419115063498,
        0.09080212781030195,
        0.09080006447354672,
        0.0907980011403704,
        0.09079593781077033
      ]
    },
    "noise": {
      "labels": [
        "0.05",
        "0.1",
        "0.2",
        "0.3",
        "0.5",
        "0.75",
        "1.0",
        "1.5"
      ],
      "median_sharpe": [
        1.0722996726305933,
        1.0682835933780142,
        1.0526590062208827,
        1.0280753566212109,
        0.9596372257105527,
        0.8578519969992632,
        0.757875467924911,
        0.5941330021900127
      ],
      "p10_sharpe": [
        1.0718950349930982,
        1.0666741319647455,
        1.0463621686604745,
        1.0144034241809012,
        0.9254338539970454,
        0.7931130566723691,
        0.6631435688757114,
        0.45027836342034355
      ],
      "p90_sharpe": [
        1.0727043102680884,
        1.0698930547912828,
        1.058955843781291,
        1.0417472890615205,
        0.99384059742406,
        0.9225909373261573,
        0.8526073669741107,
        0.737987640959682
      ]
    },
    "regimes": {
      "labels": [
        "Strong bull",
        "Bull",
        "Sideways",
        "Bear",
        "Strong bear",
        "Volatility up",
        "Volatility down"
      ],
      "strategy": [
        0.008942105212373768,
        0.007678688429219955,
        -0.008513484803637294,
        0.0014753090807681148,
        null,
        0.01328072120784094,
        0.003853084588698916
      ],
      "spy": [
        0.013943287336567353,
        0.0097168992812941,
        -0.028492105700941038,
        -0.018370732806505304,
        null,
        0.022367980213247252,
        -0.004379357379830185
      ]
    }
  },
  "tools": [
    {
      "id": "strategy_report",
      "title": "Strategy report",
      "href": "../strategies/golden-ratio.html",
      "status": "ok",
      "note": "Equity, allocations, and replication metrics."
    },
    {
      "id": "quantstats",
      "title": "QuantStats tearsheet",
      "href": "../tearsheets/strategies/golden-ratio.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": "Golden Ratio receives a research grade of F (composite 49 / 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=0.576, excess -0.09% 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 36%; over 24.0 months is 37%. This is the Paper-to-Profit 'realistic path' test, not a reshuffled iid sample.",
    "persistence": "16% of 12-month OLS windows have a significantly positive slope and 42% are significantly negative. Terminal strategy/SPY wealth ratio is 0.92. 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 1.03; second/first-half Sharpe ratio is 0.95. 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 -1.7% vs SPY -31.4%; Global Financial Crisis: strategy -8.9% vs SPY -46.0%; COVID crash: strategy -8.3% vs SPY -19.4%; 2022 inflation shock: strategy -16.7% vs SPY -23.9%.",
    "headline": "Published CAGR 9.08% / Sharpe 1.07 / max DD -16.7% 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": 37.62376237623762,
    "sharpe": 53.960396039603964,
    "score": 63.366336633663366
  },
  "generated_at": "2026-09-22T18:23:05Z"
}