C:\datum-api-examples-main\research_zapas_50hypo_v2.py:80: FutureWarning: Downcasting object dtype arrays on .fillna, .ffill, .bfill is deprecated and will change in a future version. Call result.infer_objects(copy=False) instead. To opt-in to the future behavior, set `pd.set_option('future.no_silent_downcasting', True)` pivot[c] = pivot[c].fillna(False) ================================================================================ ZAPAS: 50 NEW HYPOTHESES v2 — HEDGED 50/50 Data: 8214 signals, 119 days ================================================================================ A1: Pure momentum — stairs_up BUY + stairs_dn SELL PnL=$ 152,637 Sharpe= 17.1 DD=$ -205 WD=107/119 WR= 58.8% * A2: Spike-hold BUY + any LOW SELL PnL=$ 183,972 Sharpe= 15.7 DD=$-1,828 WD=104/119 WR= 36.5% * A3: Gap>5% BUY HIGH + Gap>5% SELL LOW PnL=$ 296,880 Sharpe= 19.4 DD=$ -62 WD=115/119 WR= 59.8% * A4: Mega BUY HIGH + Mega SELL LOW PnL=$ 44,503 Sharpe= 12.5 DD=$ -826 WD= 89/119 WR= 50.5% * A5: Tech BUY HIGH + Tech SELL LOW PnL=$ 91,401 Sharpe= 14.2 DD=$ -260 WD=104/119 WR= 55.0% * B1: ARKK lead BUY HIGH + ARKK lead SELL LOW PnL=$ 26,862 Sharpe= 4.0 DD=$ 0 WD= 9/119 WR= 58.3% B2: SPY uptrend BUY + SPY uptrend SELL PnL=$ 229,558 Sharpe= 13.6 DD=$ 0 WD= 64/119 WR= 64.8% * B3: SPY downtrend BUY + SPY downtrend SELL PnL=$ 112,711 Sharpe= 9.1 DD=$ 0 WD= 41/119 WR= 61.8% B4: ES up BUY HIGH + ES dn SELL LOW PnL=$ 54,216 Sharpe= 6.4 DD=$-1,886 WD= 29/119 WR= 35.7% B5: Breadth<40% (fear) BUY + SELL PnL=$ 166,752 Sharpe= 10.2 DD=$ 0 WD= 44/119 WR= 64.4% * C2: Earnings day BUY HIGH + Earnings SELL LOW PnL=$ 129,393 Sharpe= 10.9 DD=$ -104 WD= 78/119 WR= 60.2% * C4: Thursday BUY + SELL PnL=$ 81,396 Sharpe= 6.4 DD=$ 0 WD= 22/119 WR= 65.0% C5: Monday BUY + SELL PnL=$ 59,708 Sharpe= 6.7 DD=$ 0 WD= 22/119 WR= 63.8% D1: gap/ATR<0.5 BUY + gap/ATR>3 SELL PnL=$ 152,435 Sharpe= 15.4 DD=$-1,042 WD=104/119 WR= 44.0% * D2: Tight grind BUY + wide range SELL PnL=$ 351,669 Sharpe= 25.7 DD=$ -162 WD=116/119 WR= 52.8% ** D3: spread 3-5% both sides PnL=$ 109,809 Sharpe= 17.2 DD=$ -441 WD= 97/119 WR= 51.0% * D4: spread 5-10% both sides PnL=$ 162,764 Sharpe= 18.5 DD=$ -149 WD=112/119 WR= 56.3% * D5: PM range>2% both sides (active PM) PnL=$ 383,322 Sharpe= 24.7 DD=$ -196 WD=116/119 WR= 62.0% ** E1: Prev day DN + gap UP BUY, Prev day UP + gap DN SELL PnL=$ 148,135 Sharpe= 16.1 DD=$ -320 WD=109/119 WR= 46.8% * E2: 2 consec gap UP BUY + 2 consec gap DN SELL PnL=$ 128,871 Sharpe= 16.7 DD=$ -980 WD=102/119 WR= 43.7% * E3: RSI>70 BUY HIGH + RSI<30 SELL LOW PnL=$ 155,446 Sharpe= 15.0 DD=$-1,977 WD=103/119 WR= 34.0% * E4: Low vol prior (<0.5xATR) BUY + High vol SELL PnL=$ 59,069 Sharpe= 9.8 DD=$-1,385 WD= 88/119 WR= 41.7% E5: Sector aligned BUY + NOT aligned SELL PnL=$ 232,372 Sharpe= 20.0 DD=$ -817 WD=111/119 WR= 47.8% ** F1: BUY 8:30 + SELL 8:30 (post-econ) PnL=$ 176,566 Sharpe= 22.8 DD=$-1,026 WD=115/119 WR= 41.7% ** F2: BUY 9:00 + SELL 9:00 PnL=$ 116,676 Sharpe= 20.4 DD=$ -873 WD=113/119 WR= 41.0% ** F3: BUY 9:15 + SELL 9:15 PnL=$ 85,179 Sharpe= 17.4 DD=$ -646 WD=106/119 WR= 38.4% * F4: BUY 9:24 + SELL 9:24 PnL=$ -22,988 Sharpe= -4.8 DD=$-23,105 WD= 42/119 WR= 38.1% F5: BUY 8:00 + SELL 8:00 (baseline) PnL=$ 392,974 Sharpe= 28.0 DD=$ 0 WD=117/119 WR= 63.6% ** G1: Energy BUY + Energy SELL PnL=$ 38,464 Sharpe= 9.7 DD=$ -373 WD= 72/119 WR= 47.4% G2: Materials BUY + Materials SELL PnL=$ 73,410 Sharpe= 11.2 DD=$ -520 WD= 93/119 WR= 48.2% * G3: Industrials BUY + Industrials SELL PnL=$ 59,469 Sharpe= 14.4 DD=$ -313 WD= 93/119 WR= 47.6% * G4: Health BUY + Health SELL PnL=$ 95,021 Sharpe= 11.7 DD=$ -358 WD= 91/119 WR= 46.7% * G5: Financials BUY + Financials SELL PnL=$ 48,169 Sharpe= 11.0 DD=$ -759 WD= 85/119 WR= 44.7% * H1: TLT dn BUY + TLT up SELL PnL=$ 117,191 Sharpe= 10.6 DD=$ -698 WD= 49/119 WR= 36.7% * H3: Foreign peer>1% BUY + Foreign peer<-1% SELL PnL=$ 9,098 Sharpe= 5.3 DD=$ -336 WD= 39/119 WR= 42.1% H4: NQ up BUY + NQ dn SELL PnL=$ 49,541 Sharpe= 6.2 DD=$ -909 WD= 24/119 WR= 37.8% H5: HYG up (risk on) BUY + HYG dn SELL PnL=$ 6,406 Sharpe= 1.6 DD=$-2,804 WD= 11/119 WR= 34.7% I1: Mega+Tech BUY + Mega+Energy SELL PnL=$ 6,582 Sharpe= 4.4 DD=$-1,069 WD= 42/119 WR= 44.4% I2: Stairs_up BUY + Stairs_dn SELL + gap>3% PnL=$ 134,817 Sharpe= 15.0 DD=$ -205 WD= 99/119 WR= 57.5% * I3: Mega+Aligned BUY + any LOW SELL PnL=$ 180,756 Sharpe= 16.8 DD=$-1,979 WD=105/119 WR= 39.8% * I4: PM range>2% + gap>3% both sides PnL=$ 354,081 Sharpe= 21.9 DD=$ -196 WD=114/119 WR= 61.8% ** I5: Spike_hold BUY + Stairs_dn SELL PnL=$ 79,878 Sharpe= 12.8 DD=$ -350 WD= 92/119 WR= 56.6% * J1: VIX high BUY + VIX high SELL PnL=$ 392,974 Sharpe= 27.0 DD=$ 0 WD=117/119 WR= 63.5% ** J2: SPY 5d DN BUY + SPY 5d UP SELL PnL=$ 132,175 Sharpe= 11.4 DD=$-1,828 WD= 59/119 WR= 38.7% * J3: Prev day BIG DN BUY + Prev day BIG UP SELL PnL=$ 110,673 Sharpe= 14.1 DD=$ -523 WD=104/119 WR= 47.9% * J4: VXX up BUY HIGH + VXX dn SELL LOW PnL=$ 115,104 Sharpe= 12.1 DD=$ -70 WD= 57/119 WR= 33.8% * J5: IWM weak BUY + IWM strong SELL PnL=$ 30,542 Sharpe= 5.4 DD=$ -21 WD= 16/119 WR= 37.0% ================================================================================ TOP 15 BY SHARPE (hedged) ================================================================================ Sharpe= 28.0 PnL=$ 392,974 DD=$ 0 WD=117/119 WR= 63.6% | F5: BUY 8:00 + SELL 8:00 (baseline) Sharpe= 27.0 PnL=$ 392,974 DD=$ 0 WD=117/119 WR= 63.5% | J1: VIX high BUY + VIX high SELL Sharpe= 25.7 PnL=$ 351,669 DD=$ -162 WD=116/119 WR= 52.8% | D2: Tight grind BUY + wide range SELL Sharpe= 24.7 PnL=$ 383,322 DD=$ -196 WD=116/119 WR= 62.0% | D5: PM range>2% both sides (active PM) Sharpe= 22.8 PnL=$ 176,566 DD=$-1,026 WD=115/119 WR= 41.7% | F1: BUY 8:30 + SELL 8:30 (post-econ) Sharpe= 21.9 PnL=$ 354,081 DD=$ -196 WD=114/119 WR= 61.8% | I4: PM range>2% + gap>3% both sides Sharpe= 20.4 PnL=$ 116,676 DD=$ -873 WD=113/119 WR= 41.0% | F2: BUY 9:00 + SELL 9:00 Sharpe= 20.0 PnL=$ 232,372 DD=$ -817 WD=111/119 WR= 47.8% | E5: Sector aligned BUY + NOT aligned SELL Sharpe= 19.4 PnL=$ 296,880 DD=$ -62 WD=115/119 WR= 59.8% | A3: Gap>5% BUY HIGH + Gap>5% SELL LOW Sharpe= 18.5 PnL=$ 162,764 DD=$ -149 WD=112/119 WR= 56.3% | D4: spread 5-10% both sides Sharpe= 17.4 PnL=$ 85,179 DD=$ -646 WD=106/119 WR= 38.4% | F3: BUY 9:15 + SELL 9:15 Sharpe= 17.2 PnL=$ 109,809 DD=$ -441 WD= 97/119 WR= 51.0% | D3: spread 3-5% both sides Sharpe= 17.1 PnL=$ 152,637 DD=$ -205 WD=107/119 WR= 58.8% | A1: Pure momentum — stairs_up BUY + stairs_dn SELL Sharpe= 16.8 PnL=$ 180,756 DD=$-1,979 WD=105/119 WR= 39.8% | I3: Mega+Aligned BUY + any LOW SELL Sharpe= 16.7 PnL=$ 128,871 DD=$ -980 WD=102/119 WR= 43.7% | E2: 2 consec gap UP BUY + 2 consec gap DN SELL ================================================================================ TOP 10 BY PnL ================================================================================ PnL=$ 392,974 Sharpe= 28.0 DD=$ 0 WD=117/119 | F5: BUY 8:00 + SELL 8:00 (baseline) PnL=$ 392,974 Sharpe= 27.0 DD=$ 0 WD=117/119 | J1: VIX high BUY + VIX high SELL PnL=$ 383,322 Sharpe= 24.7 DD=$ -196 WD=116/119 | D5: PM range>2% both sides (active PM) PnL=$ 354,081 Sharpe= 21.9 DD=$ -196 WD=114/119 | I4: PM range>2% + gap>3% both sides PnL=$ 351,669 Sharpe= 25.7 DD=$ -162 WD=116/119 | D2: Tight grind BUY + wide range SELL PnL=$ 296,880 Sharpe= 19.4 DD=$ -62 WD=115/119 | A3: Gap>5% BUY HIGH + Gap>5% SELL LOW PnL=$ 232,372 Sharpe= 20.0 DD=$ -817 WD=111/119 | E5: Sector aligned BUY + NOT aligned SELL PnL=$ 229,558 Sharpe= 13.6 DD=$ 0 WD= 64/119 | B2: SPY uptrend BUY + SPY uptrend SELL PnL=$ 183,972 Sharpe= 15.7 DD=$-1,828 WD=104/119 | A2: Spike-hold BUY + any LOW SELL PnL=$ 180,756 Sharpe= 16.8 DD=$-1,979 WD=105/119 | I3: Mega+Aligned BUY + any LOW SELL ================================================================================ 100% WIN DAYS STRATEGIES ================================================================================ Saved: zapas_50hypo_v2_hedged.csv (47 strategies) DONE