{"summary": [{"strategy": "ZAPAS", "window_months": 6, "date_start": "2025-10-21", "date_end": "2026-04-01", "n_trades": 897, "train_N": 627, "train_WR": 0.7671, "test_N": 270, "test_WR": 0.7593, "n_sa_winners": 1, "n_sa_traps": 1, "n_c2_survivors": 10, "test_months": 1.6}, {"strategy": "ZAPAS", "window_months": 12, "date_start": "2025-04-21", "date_end": "2026-04-01", "n_trades": 1695, "train_N": 1186, "train_WR": 0.7808, "test_N": 509, "test_WR": 0.776, "n_sa_winners": 2, "n_sa_traps": 0, "n_c2_survivors": 15, "test_months": 4.2}, {"strategy": "ZAPAS", "window_months": 24, "date_start": "2024-04-19", "date_end": "2026-04-01", "n_trades": 3626, "train_N": 2538, "train_WR": 0.7829, "test_N": 1088, "test_WR": 0.7803, "n_sa_winners": 0, "n_sa_traps": 0, "n_c2_survivors": 9, "test_months": 7.9}, {"strategy": "CSE", "window_months": 6, "date_start": "2025-10-20", "date_end": "2026-04-17", "n_trades": 11874, "train_N": 8311, "train_WR": 0.6179, "test_N": 3563, "test_WR": 0.5967, "n_sa_winners": 1, "n_sa_traps": 2, "n_c2_survivors": 33, "test_months": 1.6}], "forecast": [{"strategy": "ZAPAS", "window": 6, "kind": "SA_winner", "setup": "T10Y2Y_q=q4", "train_N": 203, "train_WR": 0.828, "oos_N": 82, "oos_WR": 0.78, "fc_trades_6m": 308.0, "fc_trades_per_mo": 51.2, "fc_expected_ret_pct_per_trade": 2.529, "fc_expected_WR": 0.78, "fc_cumulative_pnl_6m_pct": 778.81, "fc_sharpe_annual": 8.78}, {"strategy": "ZAPAS", "window": 6, "kind": "2way_winner", "setup": "OIL_chg_5d_q=q2 & T10Y2Y_q=q4", "train_N": 54, "train_WR": 0.852, "oos_N": 43, "oos_WR": 0.86, "fc_trades_6m": 161.0, "fc_trades_per_mo": 26.9, "fc_expected_ret_pct_per_trade": 2.347, "fc_expected_WR": 0.86, "fc_cumulative_pnl_6m_pct": 377.86, "fc_sharpe_annual": 16.01}, {"strategy": "ZAPAS", "window": 6, "kind": "2way_winner", "setup": "VIX_regime=VIX_high & HY_chg_5d_q=q4", "train_N": 34, "train_WR": 0.824, "oos_N": 41, "oos_WR": 0.854, "fc_trades_6m": 154.0, "fc_trades_per_mo": 25.6, "fc_expected_ret_pct_per_trade": 2.668, "fc_expected_WR": 0.854, "fc_cumulative_pnl_6m_pct": 410.92, "fc_sharpe_annual": 12.75}, {"strategy": "ZAPAS", "window": 6, "kind": "2way_winner", "setup": "VIX_chg_5d_q=q4 & T10Y2Y_q=q4", "train_N": 56, "train_WR": 0.857, "oos_N": 25, "oos_WR": 0.84, "fc_trades_6m": 94.0, "fc_trades_per_mo": 15.6, "fc_expected_ret_pct_per_trade": 1.793, "fc_expected_WR": 0.84, "fc_cumulative_pnl_6m_pct": 168.54, "fc_sharpe_annual": 13.8}, {"strategy": "ZAPAS", "window": 6, "kind": "2way_winner", "setup": "HY_chg_5d_q=q3 & DXY_chg_5d_q=q1", "train_N": 55, "train_WR": 0.818, "oos_N": 23, "oos_WR": 0.826, "fc_trades_6m": 86.0, "fc_trades_per_mo": 14.4, "fc_expected_ret_pct_per_trade": 1.743, "fc_expected_WR": 0.826, "fc_cumulative_pnl_6m_pct": 149.91, "fc_sharpe_annual": 14.26}, {"strategy": "ZAPAS", "window": 6, "kind": "2way_winner", "setup": "VIX_regime=VIX_high & VIX_chg_5d_q=q4", "train_N": 37, "train_WR": 0.838, "oos_N": 70, "oos_WR": 0.814, "fc_trades_6m": 262.0, "fc_trades_per_mo": 43.8, "fc_expected_ret_pct_per_trade": 2.477, "fc_expected_WR": 0.814, "fc_cumulative_pnl_6m_pct": 648.86, "fc_sharpe_annual": 12.14}, {"strategy": "ZAPAS", "window": 12, "kind": "SA_winner", "setup": "DGS10_chg_5d_q=q4", "train_N": 149, "train_WR": 0.852, "oos_N": 52, "oos_WR": 0.808, "fc_trades_6m": 74.0, "fc_trades_per_mo": 12.3, "fc_expected_ret_pct_per_trade": 2.456, "fc_expected_WR": 0.808, "fc_cumulative_pnl_6m_pct": 181.75, "fc_sharpe_annual": 11.59}, {"strategy": "ZAPAS", "window": 12, "kind": "SA_winner", "setup": "OIL_chg_5d_q=q1", "train_N": 271, "train_WR": 0.823, "oos_N": 53, "oos_WR": 0.792, "fc_trades_6m": 75.0, "fc_trades_per_mo": 12.5, "fc_expected_ret_pct_per_trade": 2.453, "fc_expected_WR": 0.792, "fc_cumulative_pnl_6m_pct": 183.96, "fc_sharpe_annual": 12.92}, {"strategy": "ZAPAS", "window": 12, "kind": "2way_winner", "setup": "HY_chg_5d_q=q2 & NFCI_chg_20d_q=q2", "train_N": 57, "train_WR": 0.86, "oos_N": 20, "oos_WR": 0.9, "fc_trades_6m": 28.0, "fc_trades_per_mo": 4.7, "fc_expected_ret_pct_per_trade": 2.1, "fc_expected_WR": 0.9, "fc_cumulative_pnl_6m_pct": 58.79, "fc_sharpe_annual": 17.14}, {"strategy": "ZAPAS", "window": 12, "kind": "2way_winner", "setup": "ins_net30_bucket=mod_sell & ins_cluster_buy30=0", "train_N": 33, "train_WR": 0.909, "oos_N": 15, "oos_WR": 0.867, "fc_trades_6m": 21.0, "fc_trades_per_mo": 3.5, "fc_expected_ret_pct_per_trade": 1.964, "fc_expected_WR": 0.867, "fc_cumulative_pnl_6m_pct": 41.25, "fc_sharpe_annual": 11.86}, {"strategy": "ZAPAS", "window": 12, "kind": "2way_winner", "setup": "CURVE_inv=0 & ins_net30_bucket=mod_sell", "train_N": 33, "train_WR": 0.909, "oos_N": 15, "oos_WR": 0.867, "fc_trades_6m": 21.0, "fc_trades_per_mo": 3.5, "fc_expected_ret_pct_per_trade": 1.964, "fc_expected_WR": 0.867, "fc_cumulative_pnl_6m_pct": 41.25, "fc_sharpe_annual": 11.86}, {"strategy": "ZAPAS", "window": 12, "kind": "2way_winner", "setup": "OIL_chg_5d_q=q1 & T10YIE_q=q2", "train_N": 114, "train_WR": 0.851, "oos_N": 14, "oos_WR": 0.857, "fc_trades_6m": 20.0, "fc_trades_per_mo": 3.3, "fc_expected_ret_pct_per_trade": 2.991, "fc_expected_WR": 0.857, "fc_cumulative_pnl_6m_pct": 59.83, "fc_sharpe_annual": 16.16}, {"strategy": "ZAPAS", "window": 12, "kind": "2way_winner", "setup": "VIX_regime=VIX_high & OIL_chg_5d_q=q1", "train_N": 65, "train_WR": 0.846, "oos_N": 14, "oos_WR": 0.857, "fc_trades_6m": 20.0, "fc_trades_per_mo": 3.3, "fc_expected_ret_pct_per_trade": 3.797, "fc_expected_WR": 0.857, "fc_cumulative_pnl_6m_pct": 75.94, "fc_sharpe_annual": 19.56}, {"strategy": "ZAPAS", "window": 24, "kind": "2way_winner", "setup": "OIL_chg_5d_q=q3 & NFCI_chg_20d_q=q4", "train_N": 57, "train_WR": 0.877, "oos_N": 23, "oos_WR": 0.913, "fc_trades_6m": 17.0, "fc_trades_per_mo": 2.9, "fc_expected_ret_pct_per_trade": 3.128, "fc_expected_WR": 0.913, "fc_cumulative_pnl_6m_pct": 53.17, "fc_sharpe_annual": 13.86}, {"strategy": "ZAPAS", "window": 24, "kind": "2way_winner", "setup": "NFCI_regime=FCI_norm & NFCI_chg_20d_q=q4", "train_N": 235, "train_WR": 0.86, "oos_N": 49, "oos_WR": 0.857, "fc_trades_6m": 37.0, "fc_trades_per_mo": 6.2, "fc_expected_ret_pct_per_trade": 2.661, "fc_expected_WR": 0.857, "fc_cumulative_pnl_6m_pct": 98.47, "fc_sharpe_annual": 11.22}, {"strategy": "ZAPAS", "window": 24, "kind": "2way_winner", "setup": "DGS10_chg_5d_q=q4 & OIL_chg_5d_q=q2", "train_N": 71, "train_WR": 0.901, "oos_N": 34, "oos_WR": 0.853, "fc_trades_6m": 26.0, "fc_trades_per_mo": 4.3, "fc_expected_ret_pct_per_trade": 2.984, "fc_expected_WR": 0.853, "fc_cumulative_pnl_6m_pct": 77.59, "fc_sharpe_annual": 14.54}, {"strategy": "ZAPAS", "window": 24, "kind": "2way_winner", "setup": "VIX_chg_5d_q=q3 & NFCI_chg_20d_q=q4", "train_N": 58, "train_WR": 0.966, "oos_N": 27, "oos_WR": 0.852, "fc_trades_6m": 20.0, "fc_trades_per_mo": 3.4, "fc_expected_ret_pct_per_trade": 3.232, "fc_expected_WR": 0.852, "fc_cumulative_pnl_6m_pct": 64.64, "fc_sharpe_annual": 13.28}, {"strategy": "ZAPAS", "window": 24, "kind": "2way_winner", "setup": "ins_net30_bucket=mod_sell & ins_cluster_buy30=0", "train_N": 52, "train_WR": 0.885, "oos_N": 33, "oos_WR": 0.848, "fc_trades_6m": 25.0, "fc_trades_per_mo": 4.2, "fc_expected_ret_pct_per_trade": 0.825, "fc_expected_WR": 0.848, "fc_cumulative_pnl_6m_pct": 20.61, "fc_sharpe_annual": 2.22}, {"strategy": "CSE", "window": 6, "kind": "SA_winner", "setup": "T10YIE_q=q3", "train_N": 1722, "train_WR": 0.661, "oos_N": 1294, "oos_WR": 0.683, "fc_trades_6m": 4753.0, "fc_trades_per_mo": 792.2, "fc_expected_ret_pct_per_trade": 0.551, "fc_expected_WR": 0.683, "fc_cumulative_pnl_6m_pct": 2620.52, "fc_sharpe_annual": 6.73}, {"strategy": "CSE", "window": 6, "kind": "2way_winner", "setup": "HY_chg_5d_q=q3 & DXY_chg_5d_q=q1", "train_N": 683, "train_WR": 0.671, "oos_N": 91, "oos_WR": 0.835, "fc_trades_6m": 334.0, "fc_trades_per_mo": 55.7, "fc_expected_ret_pct_per_trade": 0.859, "fc_expected_WR": 0.835, "fc_cumulative_pnl_6m_pct": 286.89, "fc_sharpe_annual": 11.74}, {"strategy": "CSE", "window": 6, "kind": "2way_winner", "setup": "HY_chg_5d_q=q3 & T10YIE_q=q3", "train_N": 388, "train_WR": 0.745, "oos_N": 187, "oos_WR": 0.824, "fc_trades_6m": 687.0, "fc_trades_per_mo": 114.5, "fc_expected_ret_pct_per_trade": 0.701, "fc_expected_WR": 0.824, "fc_cumulative_pnl_6m_pct": 481.74, "fc_sharpe_annual": 11.15}, {"strategy": "CSE", "window": 6, "kind": "2way_winner", "setup": "ins_net30_bucket=mod_buy & ins_cluster_buy30=1", "train_N": 26, "train_WR": 0.692, "oos_N": 22, "oos_WR": 0.818, "fc_trades_6m": 81.0, "fc_trades_per_mo": 13.5, "fc_expected_ret_pct_per_trade": 0.81, "fc_expected_WR": 0.818, "fc_cumulative_pnl_6m_pct": 65.59, "fc_sharpe_annual": 8.72}, {"strategy": "CSE", "window": 6, "kind": "2way_winner", "setup": "DGS10_chg_5d_q=q1 & DXY_chg_5d_q=q4", "train_N": 385, "train_WR": 0.691, "oos_N": 96, "oos_WR": 0.812, "fc_trades_6m": 353.0, "fc_trades_per_mo": 58.8, "fc_expected_ret_pct_per_trade": 0.552, "fc_expected_WR": 0.812, "fc_cumulative_pnl_6m_pct": 194.76, "fc_sharpe_annual": 11.14}, {"strategy": "CSE", "window": 6, "kind": "2way_winner", "setup": "T10YIE_q=q3 & ins_net30_bucket=mod_sell", "train_N": 96, "train_WR": 0.677, "oos_N": 127, "oos_WR": 0.78, "fc_trades_6m": 467.0, "fc_trades_per_mo": 77.8, "fc_expected_ret_pct_per_trade": 0.778, "fc_expected_WR": 0.78, "fc_cumulative_pnl_6m_pct": 363.21, "fc_sharpe_annual": 10.76}]}