{
 "hs300": {
  "B": {
   "vol_shrink": 0.7,
   "shrink_win": 3,
   "break_up": 6,
   "break_strength": 0.0,
   "zt_vol_filter": 1.5,
   "sell_value": 0.1,
   "avg_ret": 0.03919891814225975,
   "trades": 20
  },
  "C": {
   "vol_shrink": 0.6,
   "shrink_win": 8,
   "break_up": 6,
   "break_strength": 0.02,
   "zt_vol_filter": 0.0,
   "sell_value": 0.12,
   "avg_ret": 0.06993279268316299,
   "trades": 30
  }
 },
 "zz500": {
  "B": {
   "vol_shrink": 0.7,
   "shrink_win": 3,
   "break_up": 8,
   "break_strength": 0.01,
   "zt_vol_filter": 0.0,
   "sell_value": 0.1,
   "avg_ret": 0.028444842660450866,
   "trades": 116
  },
  "C": {
   "vol_shrink": 0.6,
   "shrink_win": 3,
   "break_up": 6,
   "break_strength": 0.02,
   "zt_vol_filter": 3.0,
   "sell_value": 0.1,
   "avg_ret": 0.041098804840082964,
   "trades": 30
  }
 },
 "zz1000": {
  "B": {
   "vol_shrink": 0.5,
   "shrink_win": 3,
   "break_up": 8,
   "break_strength": 0.025,
   "zt_vol_filter": 1.5,
   "sell_value": 0.15,
   "avg_ret": 0.09733362996472913,
   "trades": 21
  },
  "C": {
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   "shrink_win": 3,
   "break_up": 8,
   "break_strength": 0.025,
   "zt_vol_filter": 3.0,
   "sell_value": 0.1,
   "avg_ret": 0.03152447483305258,
   "trades": 29
  }
 }
}