{
  "timestamp": "2026-09-04T07:24:00.878021+00:00",
  "elapsed_seconds": 6.77,
  "regime_1_hft": {
    "regime": "Regime 1: HFT Micro-Market Maker v2.0",
    "upgrades": "Volume-Weighted Micro-Price p_micro + DFA Hurst + Hawkes Asymmetric Skew",
    "ticks_simulated": 10000,
    "total_fills": 3936,
    "total_rebates_collected_dollars": 39.41,
    "toxic_adverse_selection_blocks": 5720,
    "max_inventory_reached": 18,
    "estimated_capacity_ceiling": "$20M - $35M",
    "metrics": {
      "initial_capital": 100000.0,
      "final_equity_net": 100076.74,
      "final_equity_gross": 100076.74,
      "total_return_net_pct": 0.08,
      "total_return_gross_pct": 0.08,
      "cagr_net_pct": 1.55,
      "cagr_gross_pct": 1.55,
      "annualized_volatility_pct": 0.14,
      "sharpe_ratio": 42.285,
      "sortino_ratio": 43.192,
      "max_drawdown_pct": -0.01,
      "calmar_ratio": 226.403,
      "win_rate_pct": 56.34,
      "profit_factor": 1.212,
      "total_rebalances": 1994,
      "active_exposure_pct": 91.26,
      "total_friction_bps": 0.0,
      "total_friction_dollars": 0.0
    }
  },
  "regime_2_intraday": {
    "regime": "Regime 2: Intraday Kinetic Momentum v2.0",
    "upgrades": "Information Horizon Inequality Boundary (E[dr] >= 1.35 * Friction) + DFA Hurst",
    "bars_simulated": 4680,
    "sessions_simulated": 60,
    "ratchet_profit_locks": 42,
    "hard_stops_triggered": 44,
    "eod_flat_liquidations": 3,
    "estimated_capacity_ceiling": "$100M - $180M",
    "metrics": {
      "initial_capital": 100000.0,
      "final_equity_net": 93753.79,
      "final_equity_gross": 105842.16,
      "total_return_net_pct": -6.25,
      "total_return_gross_pct": 5.84,
      "cagr_net_pct": -23.73,
      "cagr_gross_pct": 26.93,
      "annualized_volatility_pct": 7.88,
      "sharpe_ratio": -3.897,
      "sortino_ratio": -5.147,
      "max_drawdown_pct": -7.67,
      "calmar_ratio": -3.095,
      "win_rate_pct": 45.22,
      "profit_factor": 0.953,
      "total_rebalances": 178,
      "active_exposure_pct": 15.64,
      "total_friction_bps": 1212.81,
      "total_friction_dollars": 12088.37
    }
  },
  "regime_3_macro": {
    "regime": "Regime 3: Macro Harmonic Swing v2.0",
    "upgrades": "3rd-Derivative Kinematic Jerk (j) + DFA Hurst + Dynamic Capacity Sizing",
    "period": "2020-01-02 to 2026-08-28 (1673 trading days)",
    "kinematic_singularity_veto_triggers": 75,
    "estimated_capacity_ceiling": "$2.0B - $3.5B",
    "strategy_metrics": {
      "initial_capital": 100000.0,
      "final_equity_net": 165743.96,
      "final_equity_gross": 222082.85,
      "total_return_net_pct": 65.74,
      "total_return_gross_pct": 122.08,
      "cagr_net_pct": 7.91,
      "cagr_gross_pct": 12.77,
      "annualized_volatility_pct": 12.34,
      "sharpe_ratio": 0.361,
      "sortino_ratio": 0.285,
      "max_drawdown_pct": -24.38,
      "calmar_ratio": 0.324,
      "win_rate_pct": 51.26,
      "profit_factor": 1.215,
      "total_rebalances": 398,
      "active_exposure_pct": 57.14,
      "total_friction_bps": 2923.83,
      "total_friction_dollars": 56338.89
    },
    "benchmark_spy_buy_and_hold": {
      "initial_capital": 100000.0,
      "final_equity_net": 236817.8,
      "final_equity_gross": 236817.8,
      "total_return_net_pct": 136.82,
      "total_return_gross_pct": 136.82,
      "cagr_net_pct": 13.87,
      "cagr_gross_pct": 13.87,
      "annualized_volatility_pct": 20.2,
      "sharpe_ratio": 0.55,
      "sortino_ratio": 0.522,
      "max_drawdown_pct": -34.1,
      "calmar_ratio": 0.407,
      "win_rate_pct": 54.81,
      "profit_factor": 1.153,
      "total_rebalances": 0,
      "active_exposure_pct": 100.0,
      "total_friction_bps": 0.0,
      "total_friction_dollars": 0.0
    }
  },
  "regime_4_stat_arb": {
    "regime": "Regime 4: Market-Neutral Cross-Sectional Stat-Arb v2.0",
    "upgrades": "Spectral Eigen-Orthogonalization (Null-Space Projection) + DFA Idiosyncratic Hurst",
    "universe": [
      "SPY",
      "QQQ",
      "IWM",
      "DIA",
      "XLF",
      "XLK",
      "XLE",
      "GLD",
      "TLT",
      "HYG"
    ],
    "average_net_portfolio_beta": -0.4374,
    "target_gross_leverage": "100% Gross (50% Long, 50% Short, 0% Dollar Net)",
    "estimated_capacity_ceiling": "$700M - $1.5B",
    "metrics": {
      "initial_capital": 100000.0,
      "final_equity_net": 136703.2,
      "final_equity_gross": 157910.07,
      "total_return_net_pct": 36.7,
      "total_return_gross_pct": 57.91,
      "cagr_net_pct": 4.82,
      "cagr_gross_pct": 7.12,
      "annualized_volatility_pct": 17.27,
      "sharpe_ratio": 0.131,
      "sortino_ratio": 0.14,
      "max_drawdown_pct": -33.74,
      "calmar_ratio": 0.143,
      "win_rate_pct": 53.74,
      "profit_factor": 1.082,
      "total_rebalances": 161,
      "active_exposure_pct": 100.0,
      "total_friction_bps": 1443.31,
      "total_friction_dollars": 21206.87
    }
  },
  "regime_5_crisis": {
    "regime": "Regime 5: Crisis Tail Hedge v2.0",
    "upgrades": "Ginzburg-Landau Supercritical Non-linear Convexity + Kinematic Jerk Sieve",
    "normal_regime_behavior": "100% Cash Buffer (SOFR 4.0%, 0% Option Theta Bleed)",
    "walkforward_period": "2020-01-02 to 2026-08-28",
    "estimated_capacity_ceiling": "$2.5B+",
    "walkforward_metrics": {
      "initial_capital": 100000.0,
      "final_equity_net": 52336.3,
      "final_equity_gross": 72481.0,
      "total_return_net_pct": -47.66,
      "total_return_gross_pct": -27.52,
      "cagr_net_pct": -9.29,
      "cagr_gross_pct": -4.73,
      "annualized_volatility_pct": 12.32,
      "sharpe_ratio": -1.048,
      "sortino_ratio": -0.508,
      "max_drawdown_pct": -54.14,
      "calmar_ratio": -0.172,
      "win_rate_pct": 62.39,
      "profit_factor": 0.875,
      "total_rebalances": 256,
      "active_exposure_pct": 26.06,
      "total_friction_bps": 3361.16,
      "total_friction_dollars": 20144.71
    },
    "stress_episodes": [
      {
        "episode_id": "LEHMAN_2008",
        "title": "2008 Lehman Liquidity Freeze",
        "dates": "2008-09-02 to 2008-11-28",
        "spy_benchmark_return_pct": -29.61,
        "tail_hedge_return_pct": 5.16,
        "alpha_spread_pct": 34.77
      },
      {
        "episode_id": "FLASH_CRASH_2010",
        "title": "May 2010 HFT Flash Crash",
        "dates": "2010-05-03 to 2010-05-21",
        "spy_benchmark_return_pct": -9.34,
        "tail_hedge_return_pct": 0.22,
        "alpha_spread_pct": 9.56
      },
      {
        "episode_id": "ETF_DISCONNECT_2015",
        "title": "August 2015 ETF Disconnect",
        "dates": "2015-08-17 to 2015-09-04",
        "spy_benchmark_return_pct": -8.55,
        "tail_hedge_return_pct": 0.22,
        "alpha_spread_pct": 8.77
      },
      {
        "episode_id": "COVID_CRASH_2020",
        "title": "March 2020 COVID Cash Lock",
        "dates": "2020-02-18 to 2020-04-09",
        "spy_benchmark_return_pct": -17.38,
        "tail_hedge_return_pct": 0.58,
        "alpha_spread_pct": 17.96
      },
      {
        "episode_id": "YEN_CARRY_2024",
        "title": "August 2024 Yen Carry Trade Collapse",
        "dates": "2024-07-25 to 2024-08-16",
        "spy_benchmark_return_pct": 2.95,
        "tail_hedge_return_pct": 0.25,
        "alpha_spread_pct": -2.7
      }
    ]
  }
}