{
  "generatedAt": "2026-08-14",
  "scope": {
    "training": "2006-01-01/2015-12-31",
    "outOfSample": "2016-01-04/2026-08-12",
    "decisionFrequency": "weekly",
    "gridSize": 784,
    "tradeCostPerUnitTurnover": 0.001,
    "productCostAnnualAssumption": 0.023,
    "permutationSimulations": 2000
  },
  "fixedOutOfSample": {
    "1.00": {"cagr": 0.247436, "maxDrawdown": -0.338276},
    "1.25": {"cagr": 0.297662, "maxDrawdown": -0.385783},
    "1.50": {"cagr": 0.347259, "maxDrawdown": -0.430686},
    "1.75": {"cagr": 0.395972, "maxDrawdown": -0.487791},
    "2.00": {"cagr": 0.443532, "maxDrawdown": -0.551437}
  },
  "singleTrainingSelection": {
    "parameters": {"volatility": "rolling120", "geometricReturnAssumption": 0.06, "kellyFraction": 1, "cap": 2},
    "dynamic": {"averageExposure": 1.596956, "cagr": 0.304382, "maxDrawdown": -0.493217},
    "matchedFixed": {"averageExposure": 1.597379, "cagr": 0.36627, "maxDrawdown": -0.447417},
    "permutation": {"actualPercentile": 0.167, "medianCagr": 0.332682}
  },
  "annualWalkForward": {
    "maxCagr": {
      "dynamic": {"averageExposure": 1.920208, "cagr": 0.38873, "maxDrawdown": -0.534663},
      "matchedFixed": {"averageExposure": 1.920326, "cagr": 0.428495, "maxDrawdown": -0.531671},
      "permutation": {"actualPercentile": 0.0385, "medianCagr": 0.416178}
    },
    "maxCalmar": {
      "dynamic": {"averageExposure": 1.482402, "cagr": 0.303129, "maxDrawdown": -0.393152},
      "matchedFixed": {"averageExposure": 1.482856, "cagr": 0.343794, "maxDrawdown": -0.427609},
      "permutation": {"actualPercentile": 0.378, "medianCagr": 0.310016}
    },
    "maxCagrWithTrainingDrawdownLimit": {
      "dynamic": {"averageExposure": 1.896676, "cagr": 0.383504, "maxDrawdown": -0.534663},
      "matchedFixed": {"averageExposure": 1.896826, "cagr": 0.424033, "maxDrawdown": -0.525744},
      "permutation": {"actualPercentile": 0.05, "medianCagr": 0.409509}
    }
  },
  "interpretation": "Within the tested 1x-to-2x volatility-only signal family, dynamic Kelly did not improve out-of-sample CAGR relative to a fixed mix with matched average exposure. This is not a backtest of the full live Part 3 policy."
}