{
  "report_id": "COF-STRAT17-18-CHAMPION-20260504",
  "generated_at": "2026-05-04",
  "source_tag": "BACKTEST-OOS",
  "source_name": "DATABENTO_HISTORICAL_BACKTEST",
  "period": "2025-04-01 -> 2026-04-01",
  "redaction_policy": {
    "public": [
      "source",
      "period",
      "portfolio metrics",
      "monthly pnl",
      "equity curve",
      "drawdown curve",
      "strategy split"
    ],
    "private": [
      "exact entries",
      "stops",
      "targets",
      "full signal UIDs",
      "journal paths",
      "snapshot paths"
    ]
  },
  "portfolio": {
    "initial_capital_usd": 50000,
    "final_equity_usd": 6622976,
    "net_pnl_usd": 6572976,
    "trades": 390,
    "profit_factor": 9.82,
    "max_drawdown_usd": 43664,
    "sizing_model": "Kelly M2 capped portfolio"
  },
  "strategy_split": [
    {
      "code": "AOKIJI",
      "trades": 215,
      "profit_factor": 12.79,
      "sharpe": 6.68,
      "contribution_note": "largest historical contribution before portfolio cap"
    },
    {
      "code": "KAIDO",
      "trades": 175,
      "profit_factor": 6.69,
      "sharpe": 4.28,
      "contribution_note": "secondary champion engine"
    }
  ],
  "monthly_pnl": [
    { "month": "Apr 25", "pnl_usd": 1456672, "trades": 36, "aokiji_usd": 892140, "kaido_usd": 564532 },
    { "month": "May 25", "pnl_usd": 666225, "trades": 31, "aokiji_usd": 441020, "kaido_usd": 225205 },
    { "month": "Jun 25", "pnl_usd": 162811, "trades": 29, "aokiji_usd": 118360, "kaido_usd": 44451 },
    { "month": "Jul 25", "pnl_usd": 55016, "trades": 24, "aokiji_usd": 39710, "kaido_usd": 15306 },
    { "month": "Aug 25", "pnl_usd": 291546, "trades": 32, "aokiji_usd": 185420, "kaido_usd": 106126 },
    { "month": "Sep 25", "pnl_usd": 412640, "trades": 33, "aokiji_usd": 286310, "kaido_usd": 126330 },
    { "month": "Oct 25", "pnl_usd": 458932, "trades": 34, "aokiji_usd": 318890, "kaido_usd": 140042 },
    { "month": "Nov 25", "pnl_usd": 814229, "trades": 37, "aokiji_usd": 590870, "kaido_usd": 223359 },
    { "month": "Dec 25", "pnl_usd": 438721, "trades": 30, "aokiji_usd": 302500, "kaido_usd": 136221 },
    { "month": "Jan 26", "pnl_usd": 557300, "trades": 34, "aokiji_usd": 391260, "kaido_usd": 166040 },
    { "month": "Feb 26", "pnl_usd": 189743, "trades": 28, "aokiji_usd": 119870, "kaido_usd": 69873 },
    { "month": "Mar 26", "pnl_usd": 1069141, "trades": 42, "aokiji_usd": 760190, "kaido_usd": 308951 }
  ],
  "equity_curve": [
    { "month": "Start", "equity_usd": 50000 },
    { "month": "Apr 25", "equity_usd": 1506672 },
    { "month": "May 25", "equity_usd": 2172897 },
    { "month": "Jun 25", "equity_usd": 2335708 },
    { "month": "Jul 25", "equity_usd": 2390724 },
    { "month": "Aug 25", "equity_usd": 2682270 },
    { "month": "Sep 25", "equity_usd": 3094910 },
    { "month": "Oct 25", "equity_usd": 3553842 },
    { "month": "Nov 25", "equity_usd": 4368071 },
    { "month": "Dec 25", "equity_usd": 4806792 },
    { "month": "Jan 26", "equity_usd": 5364092 },
    { "month": "Feb 26", "equity_usd": 5553835 },
    { "month": "Mar 26", "equity_usd": 6622976 }
  ],
  "drawdown_curve": [
    { "month": "Apr 25", "drawdown_usd": 8100 },
    { "month": "May 25", "drawdown_usd": 14200 },
    { "month": "Jun 25", "drawdown_usd": 6400 },
    { "month": "Jul 25", "drawdown_usd": 19800 },
    { "month": "Aug 25", "drawdown_usd": 9100 },
    { "month": "Sep 25", "drawdown_usd": 24600 },
    { "month": "Oct 25", "drawdown_usd": 11200 },
    { "month": "Nov 25", "drawdown_usd": 43664 },
    { "month": "Dec 25", "drawdown_usd": 17700 },
    { "month": "Jan 26", "drawdown_usd": 22400 },
    { "month": "Feb 26", "drawdown_usd": 13900 },
    { "month": "Mar 26", "drawdown_usd": 7600 }
  ],
  "redacted_trade_sample": [
    { "uid": "COF-NQ-AOKIJI-08--", "date": "2025-04-09", "strategy": "AOKIJI", "market": "NQ", "direction": "Long", "outcome": "TP basket", "pnl_usd": 84620 },
    { "uid": "COF-ES-KAIDO-17--", "date": "2025-09-18", "strategy": "KAIDO", "market": "ES", "direction": "Short", "outcome": "Partial + trail", "pnl_usd": 36440 },
    { "uid": "COF-NQ-AOKIJI-22--", "date": "2025-11-06", "strategy": "AOKIJI", "market": "NQ", "direction": "Short", "outcome": "Risk cut", "pnl_usd": -12870 }
  ],
  "risk_disclaimer": "Historical backtest, not a broker statement and not a performance guarantee."
}