{
  "sample_start": "2024-01-01",
  "sample_end": "2025-12-31",
  "source": "Coinbase Exchange daily UTC spot USD candles",
  "quality": {
    "BTC-USD": {
      "raw_rows": 735,
      "retained_daily_closes": 732,
      "missing_dates": 0,
      "conflicting_overlaps": 0
    },
    "ETH-USD": {
      "raw_rows": 735,
      "retained_daily_closes": 732,
      "missing_dates": 0,
      "conflicting_overlaps": 0
    }
  },
  "windows": {
    "2024": {
      "days": 366,
      "pearson_correlation": 0.7963856602044234,
      "btc_worst_days": 19,
      "eth_negative_on_btc_worst_days": 18,
      "btc_mean_worst_days": -0.05557237043527898,
      "eth_mean_on_btc_worst_days": -0.05933645628052458,
      "mix_mean_on_btc_worst_days": -0.05745441335790179,
      "BTC": {
        "annualized_volatility": 0.5344595776231049,
        "max_drawdown": -0.2623233678411876,
        "cumulative_return": 1.2075786876957766,
        "worst_day": -0.08440339319160917
      },
      "ETH": {
        "annualized_volatility": 0.6507360240009565,
        "max_drawdown": -0.4529402072199905,
        "cumulative_return": 0.4599814999101286,
        "worst_day": -0.10330165366721011
      },
      "daily_rebalanced_50_50": {
        "annualized_volatility": 0.5619291984399074,
        "max_drawdown": -0.35520333822054984,
        "cumulative_return": 0.8292413355413142,
        "worst_day": -0.09385252342940964
      }
    },
    "2025": {
      "days": 365,
      "pearson_correlation": 0.8163196426012146,
      "btc_worst_days": 19,
      "eth_negative_on_btc_worst_days": 19,
      "btc_mean_worst_days": -0.049139859405410984,
      "eth_mean_on_btc_worst_days": -0.07644756553894833,
      "mix_mean_on_btc_worst_days": -0.06279371247217967,
      "BTC": {
        "annualized_volatility": 0.41944716710219077,
        "max_drawdown": -0.321007545777108,
        "cumulative_return": -0.06273181865801014,
        "worst_day": -0.08597399599514044
      },
      "ETH": {
        "annualized_volatility": 0.751319349696328,
        "max_drawdown": -0.6009640148126463,
        "cumulative_return": -0.10914266496913427,
        "worst_day": -0.1472607499235622
      },
      "daily_rebalanced_50_50": {
        "annualized_volatility": 0.5601170931183164,
        "max_drawdown": -0.45078357442608774,
        "cumulative_return": -0.06100733174183459,
        "worst_day": -0.11661737295935132
      }
    },
    "2024–2025": {
      "days": 731,
      "pearson_correlation": 0.7908142381308481,
      "btc_worst_days": 37,
      "eth_negative_on_btc_worst_days": 36,
      "btc_mean_worst_days": -0.053091689768830636,
      "eth_mean_on_btc_worst_days": -0.06617455498900832,
      "mix_mean_on_btc_worst_days": -0.05963312237891948,
      "BTC": {
        "annualized_volatility": 0.48074618951035414,
        "max_drawdown": -0.32100754577710755,
        "cumulative_return": 1.069093261785956,
        "worst_day": -0.08597399599514044
      },
      "ETH": {
        "annualized_volatility": 0.702366155773867,
        "max_drawdown": -0.6380068909377532,
        "cumulative_return": 0.3006352282043063,
        "worst_day": -0.1472607499235622
      },
      "daily_rebalanced_50_50": {
        "annualized_volatility": 0.5609116584514,
        "max_drawdown": -0.4808343594448964,
        "cumulative_return": 0.717644202548068,
        "worst_day": -0.11661737295935132
      }
    }
  }
}