lst 01 M2 ND5 C6502 HRV8 VA9 PMG40 W6 derived

{
  "input": {
    "body": {
      "seed": 0,
      "scale": 3,
      "target": 0.1,
      "max_days": 42,
      "max_loss": 0.1,
      "daily_loss": 0.05,
      "simulations": 10000,
      "block_length": 5,
      "daily_returns": [
        0.0042,
        -0.0018,
        0.0031,
        0.0007,
        -0.0125,
        0.0058,
        0.0021,
        -0.0033,
        0.0089,
        -0.0006,
        0.0014,
        0.0037,
        -0.0071,
        0.0052,
        0.0009,
        -0.0022,
        0.0066,
        0.0018,
        -0.0154,
        0.0047,
        0.0029,
        -0.0011,
        0.0073,
        0.0003,
        -0.0041,
        0.0038,
        0.0016,
        -0.0088,
        0.0061,
        0.0024,
        -0.0019,
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        -0.0233,
        0.0079,
        0.0033,
        -0.0008,
        0.0056,
        0.0021,
        -0.0047
      ]
    },
    "type": "http",
    "method": "POST",
    "bodyType": "json"
  },
  "output": {
    "type": "json",
    "example": {
      "stats": {
        "days": 40,
        "sharpe": 0.651781,
        "var_99": 0.060657,
        "cvar_95": 0.05805,
        "sortino": 0.784758,
        "best_day": 0.0267,
        "skewness": -1.69243,
        "std_daily": 0.01918,
        "worst_day": -0.0699,
        "mean_daily": 0.0007875,
        "max_drawdown": 0.0699,
        "autocorr_lag1": -0.331302,
        "excess_kurtosis": 3.34271,
        "annualized_return": 0.19845,
        "cumulative_return": 0.0315,
        "positive_days_ratio": 0.65,
        "p_value_mean_gt_zero": 0.368816,
        "annualized_volatility": 0.304474
      },
      "method": "Scaled returns added, not compounded. Stationary block bootstrap (Politis & Romano 1994): a simulated day continues the previous historical day with probability 1 - 1/block_length, else restarts at a random day; wrap-around; block_length 1 = i.i.d. Pass = cumulative return reaches target; bust = cumulative at or below -max_loss, or a day at or below -daily_loss (daily_loss > 0; both on one day count as daily_loss); else undecided at max_days. Population std, risk-free rate 0, linear quantiles, p-value (k + 1) / (B + 1). Six significant digits; standard_error is the sampling error. Deterministic per seed.",
      "caveats": [
        "Statistics of the numbers you sent, not a forecast: a bootstrap assumes the sent days are representative and cannot see regimes outside the sample.",
        "Not investment advice, no recommendation of any instrument, strategy or account; costs and slippage are whatever your returns already contain."
      ],
      "challenge": {
        "seed": 0,
        "bust_by": {
          "max_loss": 0.0036,
          "daily_loss": 0.6321
        },
        "simulations": 10000,
        "block_length": 5,
        "days_to_target": {
          "p25": 21,
          "p75": 35,
          "median": 28
        },
        "standard_error": {
          "bust_probability": 0.00481233,
          "pass_probability": 0.00395197
        },
        "terminal_return": {
          "p5": -0.078,
          "p25": -0.0525,
          "p50": -0.0168,
          "p75": 0.0615,
          "p95": 0.108
        },
        "bust_probability": 0.6357,
        "pass_probability": 0.1937,
        "path_max_drawdown": {
          "p50": 0.0699,
          "p95": 0.1038
        },
        "undecided_probability": 0.1706
      },
      "input_summary": {
        "days": 40,
        "seed": 0,
        "scale": 3,
        "target": 0.1,
        "max_days": 42,
        "max_loss": 0.1,
        "daily_loss": 0.05,
        "simulations": 10000,
        "block_length": 5,
        "trading_days_per_year": 252
      }
    }
  }
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