- split 2016-01-01, 10bps/side
| Rebalance | OOS Ret | OOS Sharpe | OOS MaxDD | turn/day |
|---|---|---|---|---|
| daily (H=1) | +735% | 1.03 | -36.2% | 0.296 |
| weekly (H=5) | +1914% | 1.39 | -33.9% | 0.091 |
| biweekly (H=10) | +2479% | 1.48 | -33.6% | 0.054 |
| monthly (H=21) | +4345% | 1.68 | -33.5% | 0.031 |
"Conviction cadence — rebalance frequency"
2026-09-28
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