Window: 2006-08-14 .. 2026-08-12 (5030 days) | assets: 20 stocks + 3 crypto + SPY | signal: SMA200+ROC60 | gross returns
| Variant | Ret | Sharpe | MaxDD | PF |
|---|---|---|---|---|
| SPY buy-and-hold | +507.73% | 0.68 | -56.47% | 1.12 |
| all-pass EW (trend ON) | +644.64% | 0.80 | -50.45% | 1.13 |
| top-3 | +1216.50% | 0.79 | -49.17% | 1.13 |
| top-5 | +875.72% | 0.79 | -50.45% | 1.13 |
| top-10 | +683.90% | 0.79 | -50.45% | 1.13 |
IS/OOS split at 2016-01-01
| Variant | Segment | Ret | Sharpe | MaxDD | PF | |---|---|---|---|---|---|---| | top-5 | IS SPY | +60.39% | 0.41 | -56.47% | 1.07 | | top-5 | IS top-5 | +55.23% | 0.43 | -50.45% | 1.07 | | top-5 | OOS SPY | +278.91% | 0.96 | -34.10% | 1.17 | | top-5 | OOS top-5 | +528.56% | 1.04 | -43.62% | 1.17 |
OOS significance
top-5 vs SPY: OOS dret +82.70%, bootstrap p=0.084
Top-5 asset class breakdown
- Stocks: 85.1% of top-5 slots on average
- Crypto: 3.0% of top-5 slots on average
- SPY: 0.2% of top-5 slots on average
Decision memo
Cross-asset momentum: combines stocks + crypto + SPY into one ranking. Tests whether cross-asset diversification helps.
- Adopt if: OOS Sharpe improves vs SPY, p<0.05.
- Otherwise: reject and ledger.