Training dates 2017–01–01 to 2019–06–30 (30 months)
Test dates 2019–07–01 to 2019–12–31 (6 months)
Universe 200 largest cap S&P500 stocks (daily)
Leverage 17.97 : 1
Best_thresh 2.2
Best_sharpe_filter 1.6
Total return 2.354352
APR 9.834078
Annualised Sharpe 4.682447
Max Drawdown -0.143451
MaxDD Duration 17 Days
