Output

2 States - Iteratives - Daily Macro HMM Model

—– Mean Score Performance Metrics —– Sharpe Ratio: 1.125416 Sortino Ratio: 0.1026898 Max Drawdown: 0.1636663 Annualized Return: 0.1059185 Win Rate: 0.2078393 Loss Rate: 0.1461408 Profit Factor: 1.385788

—– Mean Score Performance Metrics —– Sharpe Ratio: 0.7807635 Sortino Ratio: 0.0729035 Max Drawdown: 0.2343868 Annualized Return: 0.08331073 Win Rate: 0.2008143 Loss Rate: 0.1500419 Profit Factor: 1.271082

—– Mean Score Performance Metrics —– Sharpe Ratio: 1.125416 Sortino Ratio: 0.1026898 Max Drawdown: 0.1636663 Annualized Return: 0.1059185 Win Rate: 0.2078393 Loss Rate: 0.1461408 Profit Factor: 1.385788