Window: 2022-12-01 .. 2026-07-31 (1339 days) | score: SMA200 distance x gate60 sign | top-k selection vs all-pass EW basket | gross returns
| Variant | Days | Ret | Sharpe | MaxDD | PF |
|---|---|---|---|---|---|
| baseline: all-pass EW | 1339 | +336.85% | 1.14 | -45.34% | 1.30 |
| top-1 | 1339 | +320.27% | 0.96 | -63.36% | 1.26 |
| top-2 | 1339 | +462.52% | 1.16 | -51.13% | 1.31 |
| top-3 | 1339 | +527.11% | 1.27 | -46.04% | 1.36 |
| top-4 | 1339 | +436.55% | 1.22 | -39.91% | 1.35 |
IS/OOS split at 2025-01-01
| Variant | Segment | Ret | Sharpe | MaxDD | PF | LongDays |
|---|---|---|---|---|---|---|
| top-2 | IS all-pass EW | +292.47% | 1.59 | -45.34% | 1.41 | 364 |
| top-2 | IS top-2 | +354.71% | 1.50 | -51.13% | 1.37 | 364 |
| top-2 | OOS all-pass EW | +11.31% | 0.37 | -28.08% | 1.10 | 185 |
| top-2 | OOS top-2 | +23.71% | 0.54 | -29.57% | 1.17 | 185 |
| top-3 | IS all-pass EW | +292.47% | 1.59 | -45.34% | 1.41 | 364 |
| top-3 | IS top-3 | +446.41% | 1.72 | -46.04% | 1.44 | 364 |
| top-3 | OOS all-pass EW | +11.31% | 0.37 | -28.08% | 1.10 | 185 |
| top-3 | OOS top-3 | +14.77% | 0.42 | -26.63% | 1.13 | 185 |
OOS significance
top-2 vs all-pass EW: OOS dret +11.53%, bootstrap p=0.241 top-3 vs all-pass EW: OOS dret +3.43%, bootstrap p=0.403
Per-year: all-pass EW vs top-3
| Year | All-pass EW | Top-3 |
|---|---|---|
| 2022 | +0.00% | +0.00% |
| 2023 | +124.28% | +141.12% |
| 2024 | +74.99% | +126.61% |
| 2025 | +11.31% | +14.77% |
| 2026 | +0.00% | +0.00% |
Basket concentration
- top-2: avg 0.8 coins per day (max possible 2)
- top-3: avg 1.1 coins per day (max possible 3)
Decision memo
Cross-section rotation is a classic momentum implementation; this test asks whether it adds anything beyond the existing all-pass EW basket.
- Adopt if: OOS Sharpe improves vs baseline, p<0.05, per-year consistent.
- Otherwise: reject and ledger.