{
  "mode": "overall-sizing",
  "vrp_trades": "/Users/robzingale/trading_bot/RenTech/data/logs/vrp_trades.jsonl",
  "total_capital": 100000.0,
  "date_window": {
    "start": "2018-06-01",
    "end": "2025-12-31"
  },
  "trade_audit": {
    "enabled": true,
    "audit_root": "/Users/robzingale/trading_bot/RenTech/data/logs/overall_portfolio_trade_audits",
    "audit_run_dir": "/Users/robzingale/trading_bot/RenTech/data/logs/overall_portfolio_trade_audits/my_sweep_2026-04-21"
  },
  "constraints": {
    "sharpe_sum_cap_pct": 0.35,
    "sharpe_max_sleeve_pct": 0.25,
    "sharpe_max_dd_pct": 10.0
  },
  "vxx_internal_risk_pct_grid": [
    0.005,
    0.01,
    0.015,
    0.02,
    0.025,
    0.03,
    0.035,
    0.04,
    0.045,
    0.05
  ],
  "best_vxx_internal_risk_pct": 0.005,
  "best_trial": {
    "vxx_internal_risk_pct": 0.005,
    "status": "ok",
    "sharpe": 2.397,
    "calmar": 9.7,
    "cagr_pct": 13.7,
    "return_pct": 271.5,
    "max_drawdown_pct": 10.0,
    "feasible_dd": true,
    "put_frac": 0.006604540573826048,
    "straddle_frac": 0.04876907319437013,
    "rr_frac": 0.02884607902918057,
    "vxx_frac": 0.24913039590116728,
    "sum_frac": 0.33335008869854404,
    "detail": "Optimization terminated successfully."
  },
  "best_overlay_risk_fractions": {
    "stress_longvol_otm_put": 0.006604540573826048,
    "stress_longvol_straddle": 0.04876907319437013,
    "risk_reversal": 0.02884607902918057,
    "vxx_sleeve": 0.24913039590116728
  },
  "best_full_metrics": {
    "sharpe": 2.397,
    "calmar": 9.7,
    "cagr_pct": 13.7,
    "return_pct": 271.5,
    "max_drawdown_pct": 10.0,
    "end_equity": 371506.0,
    "feasible_dd": true,
    "scipy_success": true,
    "scipy_message": "Optimization terminated successfully.",
    "nit": 22
  }
}