strategy_comparison_conservative_metrics.json

{
  "rebalance_count": 14,
  "trigger_counts": {
    "time": 14
  },
  "initial_capital": 10000.0,
  "final_capital": 9930.096466347208,
  "total_return_pct": -0.69903533652792,
  "annualized_return": -8.131644331379873,
  "total_fees_collected": 0.028768257201071214,
  "total_il_incurred": -0.03458107668486355,
  "total_rebalance_costs": 69.8977208333159,
  "net_return": -69.9035336527997,
  "sharpe_ratio": -0.5765717788366669,
  "sortino_ratio": -0.012253675177784999,
  "calmar_ratio": -11.632590574986708,
  "max_drawdown_pct": 0.6990398466241183,
  "max_drawdown_duration": 209,
  "recovery_time": 6,
  "win_rate": 0.875,
  "profit_factor": 0.7957084799047102,
  "win_loss_ratio": 0.11367263998638716,
  "avg_time_between_rebalances": 2.096720085470085,
  "strategy_name": "Conservative"
}