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"BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": -0.75, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 555.27, "long_pnl": 555.27, "short_pnl": 0.0, "sharpe": 0.199, "win_rate": 0.4034, "profit_factor": 1.49, "max_dd": 212.75, "trades": 119 }, { "tag": "floor=-1.0", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": -1.0, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 555.27, "long_pnl": 555.27, "short_pnl": 0.0, "sharpe": 0.199, "win_rate": 0.4034, "profit_factor": 1.49, "max_dd": 212.75, "trades": 119 } ], "E \u2014 Rebalance Frequency": [ { "tag": "weekly (baseline)", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 409.42, "long_pnl": 555.1, "short_pnl": -145.64, "sharpe": 0.182, "win_rate": 0.4561, "profit_factor": 1.23, "max_dd": 180.65, "trades": 239 }, { "tag": "biweekly", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 14, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 3814.67, "long_pnl": 3789.9, "short_pnl": 24.79, "sharpe": 0.328, "win_rate": 0.4589, "profit_factor": 2.53, "max_dd": 446.68, "trades": 231 } ], "F \u2014 Portfolio Size": [ { "tag": "3L/3S", "params": { "TOP_N": 3, "BOTTOM_N": 3, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 286.52, "long_pnl": 299.83, "short_pnl": -13.32, "sharpe": 0.194, "win_rate": 0.4097, "profit_factor": 1.35, "max_dd": 151.28, "trades": 144 }, { "tag": "5L/5S (baseline)", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 409.76, "long_pnl": 555.2, "short_pnl": -145.42, "sharpe": 0.182, "win_rate": 0.4561, "profit_factor": 1.23, "max_dd": 180.31, "trades": 239 }, { "tag": "7L/7S", "params": { "TOP_N": 7, "BOTTOM_N": 7, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 667.39, "long_pnl": 741.14, "short_pnl": -73.78, "sharpe": 0.193, "win_rate": 0.4648, "profit_factor": 1.24, "max_dd": 307.22, "trades": 327 } ], "G \u2014 Stop-Loss": [ { "tag": "no stop (baseline)", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 409.79, "long_pnl": 554.99, "short_pnl": -145.17, "sharpe": 0.182, "win_rate": 0.4561, "profit_factor": 1.23, "max_dd": 180.28, "trades": 239 }, { "tag": "SL=15%", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.15, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 830.01, "long_pnl": 703.47, "short_pnl": 126.57, "sharpe": 0.371, "win_rate": 0.4561, "profit_factor": 1.6, "max_dd": 125.71, "trades": 239 }, { "tag": "SL=25%", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.25, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 597.41, "long_pnl": 589.91, "short_pnl": 7.53, "sharpe": 0.262, "win_rate": 0.4561, "profit_factor": 1.37, "max_dd": 169.74, "trades": 239 } ], "H \u2014 Filter Mode": [ { "tag": "MA+rawpos (baseline)", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, "EQUITY_PER_TRADE": 100.0, "MAX_LOSS_PCT": 0.0, "CONCENTRATION_CAP": 0.0, "SHORT_VNR_FLOOR": null, "TREND_FILTER_MA_PERIOD": 50, "TREND_FILTER_MODE": "ma+rawpos" }, "pnl": 409.8, "long_pnl": 554.96, "short_pnl": -145.14, "sharpe": 0.182, "win_rate": 0.4561, "profit_factor": 1.23, "max_dd": 180.27, "trades": 239 }, { "tag": "rawpos only", "params": { "TOP_N": 5, "BOTTOM_N": 5, "UNIVERSE_SIZE": 50, "RANK_WINDOW": 30, "REBALANCE_DAYS": 7, "USE_TREND_FILTER": true, "SHORT_NO_FILTER": true, "MAX_LONG_ALLOC": 1000.0, 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