|
2 | 2 |
|
3 | 3 | ## Test Configuration |
4 | 4 | - **System**: Multi-Strategy Router with Regime Detection |
5 | | -- **Test Date**: 2025-11-02 18:42:45 |
| 5 | +- **Test Date**: 2025-12-02 01:22:17 |
6 | 6 | - **Period**: 2024-11-01 to 2025-10-30 |
7 | 7 | - **Symbols**: AAPL, MSFT, GOOGL |
8 | 8 |
|
9 | 9 | ## Performance Metrics |
10 | 10 |
|
11 | 11 | | Metric | Value | |
12 | 12 | |--------|-------| |
13 | | -| Total Return | 0.00% | |
14 | | -| Sharpe Ratio | 0.00 | |
15 | | -| Sortino Ratio | 0.00 | |
16 | | -| Max Drawdown | 0.00% | |
17 | | -| Win Rate | 0.00% | |
18 | | -| Profit Factor | 0.00 | |
19 | | -| Calmar Ratio | 0.00 | |
| 13 | +| Total Return | 72.42% | |
| 14 | +| Sharpe Ratio | -0.21 | |
| 15 | +| Sortino Ratio | -0.20 | |
| 16 | +| Max Drawdown | 788.38% | |
| 17 | +| Win Rate | 4153.85% | |
| 18 | +| Profit Factor | 1.11 | |
| 19 | +| Calmar Ratio | 0.09 | |
20 | 20 |
|
21 | 21 | ## Trade Statistics |
22 | 22 |
|
23 | 23 | | Statistic | Value | |
24 | 24 | |-----------|-------| |
25 | | -| Total Trades | 0 | |
26 | | -| Winning Trades | 0 | |
27 | | -| Losing Trades | 0 | |
28 | | -| Average Win | 0.00% | |
29 | | -| Average Loss | 0.00% | |
30 | | -| Largest Win | 0.00% | |
31 | | -| Largest Loss | 0.00% | |
| 25 | +| Total Trades | 65 | |
| 26 | +| Winning Trades | 27 | |
| 27 | +| Losing Trades | 38 | |
| 28 | +| Average Win | 61692.31% | |
| 29 | +| Average Loss | -39378.83% | |
| 30 | +| Largest Win | 224192.48% | |
| 31 | +| Largest Loss | -123985.82% | |
32 | 32 |
|
33 | 33 | ## Strategy Routing Analysis |
34 | 34 |
|
35 | 35 | ### Strategy Usage Distribution |
36 | 36 | | Strategy | Usage Count | |
37 | 37 | |----------|-------------| |
38 | | -| Momentum | 0 symbols | |
| 38 | +| Momentum | 3 symbols | |
39 | 39 | | Mean Reversion | 0 symbols | |
40 | 40 | | Trend Following | 0 symbols | |
41 | 41 |
|
|
44 | 44 | |--------|-------------| |
45 | 45 | | Trending | 0 | |
46 | 46 | | Ranging | 0 | |
47 | | -| Volatile | 0 | |
| 47 | +| Volatile | 3 | |
48 | 48 | | Unknown | 0 | |
49 | 49 |
|
50 | | -**Average Routing Confidence**: 0.00% |
| 50 | +**Average Routing Confidence**: 51.82% |
51 | 51 |
|
52 | 52 | ## Key Advantages of Strategy Router |
53 | 53 |
|
|
76 | 76 | ### Total Expected Alpha: +4-6% above buy-and-hold |
77 | 77 |
|
78 | 78 | ### Actual Performance |
79 | | -- **Total Return**: 0.00% |
| 79 | +- **Total Return**: 72.42% |
80 | 80 | - **Benchmark (SPY)**: ~10% annual (approximate) |
81 | | -- **Alpha Generated**: -10.00% (vs benchmark) |
| 81 | +- **Alpha Generated**: 62.42% (vs benchmark) |
82 | 82 |
|
83 | 83 | ## Risk Management |
84 | 84 |
|
|
99 | 99 | ## Conclusions |
100 | 100 |
|
101 | 101 | ### Overall Assessment |
102 | | -❌ **POOR**: Router system underperforming |
| 102 | +⚠️ **MODERATE**: Router system needs optimization |
103 | 103 |
|
104 | 104 | ### Key Strengths |
105 | 105 | 1. ✅ Adaptive strategy selection based on market regime |
106 | 106 | 2. ✅ Multiple uncorrelated signal sources |
107 | 107 | 3. ✅ Comprehensive risk management |
108 | | -4. ✅ High win rate: 0.0% |
109 | | -5. ✅ Positive Sharpe ratio: 0.00 |
| 108 | +4. ✅ High win rate: 4153.8% |
| 109 | +5. ✅ Positive Sharpe ratio: -0.21 |
110 | 110 |
|
111 | 111 | ### Areas for Improvement |
112 | 112 | 1. Monitor regime detection accuracy |
|
121 | 121 | 4. ✅ Optimize regime detection thresholds |
122 | 122 |
|
123 | 123 | --- |
124 | | -Generated: 2025-11-02 18:42:45 |
| 124 | +Generated: 2025-12-02 01:22:17 |
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