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        0.8144683132998124,
        0.6820227120007156,
        0.4644039110780227
      ],
      "p90_sharpe": [
        1.0980629635273407,
        1.0952212842009879,
        1.0841619095492978,
        1.0667490642755586,
        1.0181983882289267,
        0.9457985897745834,
        0.8744817275366081,
        0.7573023731936197
      ]
    },
    "regimes": {
      "labels": [
        "Strong bull",
        "Bull",
        "Sideways",
        "Bear",
        "Strong bear",
        "Volatility up",
        "Volatility down"
      ],
      "strategy": [
        0.021302718424580393,
        0.008047543609295542,
        0.0008484673351309757,
        0.0024669595091762224,
        null,
        0.023945458947976186,
        0.016451852503461675
      ],
      "spy": [
        0.013943287336567353,
        0.0097168992812941,
        -0.028492105700941038,
        -0.018370732806505304,
        null,
        0.022367980213247252,
        -0.004379357379830185
      ]
    }
  },
  "tools": [
    {
      "id": "strategy_report",
      "title": "Strategy report",
      "href": "../strategies/low-initiative-letf-v2.html",
      "status": "ok",
      "note": "Equity, allocations, and replication metrics."
    },
    {
      "id": "quantstats",
      "title": "QuantStats tearsheet",
      "href": "../tearsheets/strategies/low-initiative-letf-v2.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": "Low Initiative LETF V2 (Dual SMA + TIP) receives a research grade of B (composite 81 / 100) on Paper-to-Profit robustness tests run against published monthly ours versus SPY. The statistical edge and stress tests are strong enough to keep as a candidate; this is still a historical scorecard, not a forecast.",
    "edge": "Monthly mean is 1.64%. t-test vs zero p=0.000; vs SPY p=0.003 (excess 0.79% per month). The path is statistically distinct from SPY on this window.",
    "bootstrap": "Block bootstrap of consecutive months (400 paths): P(beat SPY) over 6.0 months is 64%; over 24.0 months is 80%. This is the Paper-to-Profit 'realistic path' test, not a reshuffled iid sample.",
    "persistence": "46% of 12-month OLS windows have a significantly positive slope and 10% are significantly negative. Terminal strategy/SPY wealth ratio is 9.29. 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 0.80; second/first-half Sharpe ratio is 0.70. 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 0.264%. 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 75% of classified months (5.0/6.0 regimes). In bear/strong-bear/vol-down months it beats SPY 100% of the time. Crisis windows: Dot-com bust: strategy 18.9% vs SPY -31.4%; Global Financial Crisis: strategy 23.2% vs SPY -46.0%; COVID crash: strategy -17.6% vs SPY -19.4%; 2022 inflation shock: strategy -19.5% vs SPY -23.9%.",
    "headline": "Published CAGR 19.66% / Sharpe 1.10 / max DD -25.0% 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": 97.02970297029702,
    "sharpe": 63.366336633663366,
    "score": 96.03960396039604
  },
  "generated_at": "2026-09-22T18:23:05Z"
}