8 majors x 33312 1h bars (2022-12-01..2026-09-18), 8760 bars/yr, OOS = last 40%.
Signals per horizon L: reversal (short past winners) and momentum (long past winners). Gross Sharpe, net Sharpe OOS at 15/25 bps (maker/taker) per side, per-bar turnover, bootstrap p(gross mean<=0).
| L(h) | rev full | rev OOS | rev p | rev net15 | rev net25 | rev turn | mom full | mom OOS | mom net15 | mom net25 |
|---|
| 1 | +1.36 | +0.96 | 0.003 | -91.45 | -142.11 | 2.99 | -1.36 | -0.96 | -94.16 | -145.79 |
| 2 | +1.33 | +1.97 | 0.005 | -65.35 | -101.23 | 2.17 | -1.33 | -1.97 | -69.22 | -104.98 |
| 3 | +0.44 | +1.08 | 0.194 | -54.99 | -85.10 | 1.82 | -0.44 | -1.08 | -57.12 | -87.17 |
| 6 | +0.20 | +0.51 | 0.352 | -40.20 | -62.78 | 1.34 | -0.20 | -0.51 | -41.33 | -64.05 |
| 12 | -0.38 | +1.29 | 0.770 | -29.64 | -47.15 | 0.97 | +0.38 | -1.29 | -32.25 | -49.78 |
| 24 | -0.86 | +1.39 | 0.958 | -20.71 | -33.68 | 0.69 | +0.86 | -1.39 | -23.44 | -36.32 |
| 48 | -0.87 | +1.03 | 0.956 | -15.63 | -25.61 | 0.50 | +0.87 | -1.03 | -17.65 | -27.55 |
| 72 | -0.66 | +2.04 | 0.901 | -12.32 | -21.10 | 0.41 | +0.66 | -2.04 | -16.22 | -24.73 |
| 168 | -0.85 | +0.92 | 0.953 | -8.44 | -14.27 | 0.27 | +0.85 | -0.92 | -10.24 | -16.01 |
| L(h) | rev full | rev OOS | rev p | rev net15 | rev net25 | rev turn | mom full | mom OOS | mom net15 |
|---|
| 1 | +1.36 | +0.96 | 0.003 | -91.45 | -142.11 | 2.990 | -1.36 | -0.96 | -94.16 |
| 2 | +0.70 | +0.54 | 0.091 | -42.69 | -59.67 | 1.494 | -0.70 | -0.54 | -43.04 |
| 3 | -0.20 | -0.02 | 0.646 | -29.46 | -41.55 | 0.998 | +0.20 | +0.02 | -29.24 |
| 6 | -0.82 | -0.12 | 0.945 | -15.82 | -23.22 | 0.495 | +0.82 | +0.12 | -15.73 |
| 12 | -1.59 | -0.85 | 0.999 | -8.60 | -12.84 | 0.244 | +1.59 | +0.85 | -7.00 |
| 24 | -1.47 | -1.71 | 0.999 | -5.68 | -8.02 | 0.123 | +1.47 | +1.71 | -2.34 |
| 48 | -0.04 | +0.88 | 0.540 | -1.27 | -2.64 | 0.063 | +0.04 | -0.88 | -3.01 |
| 72 | -0.05 | +0.65 | 0.529 | -0.80 | -1.74 | 0.042 | +0.05 | -0.65 | -2.09 |
| 168 | -0.71 | +0.16 | 0.923 | -0.45 | -0.85 | 0.017 | +0.71 | -0.16 | -0.77 |
| Year | rev1 | rev24 | rev168 |
|---|
| 2022 | +0.71 | -3.35 | -4.14 |
| 2023 | +1.30 | -1.83 | -2.43 |
| 2024 | +0.97 | -2.02 | -1.10 |
| 2025 | +2.36 | +0.74 | +0.13 |
| 2026 | +0.83 | +1.11 | +1.92 |
| L(h) | rev full | rev OOS | rev p | rev net15 | rev net25 | rev turn | mom full | mom OOS | mom net15 | mom net25 |
|---|
| 1 | +0.73 | -0.30 | 0.079 | -25.51 | -41.17 | 1.05 | -0.73 | +0.30 | -25.07 | -40.97 |
| 2 | +0.84 | +0.87 | 0.048 | -16.35 | -27.17 | 0.71 | -0.84 | -0.87 | -18.08 | -28.90 |
| 3 | +0.63 | +0.19 | 0.106 | -13.75 | -22.60 | 0.57 | -0.63 | -0.19 | -14.15 | -23.00 |
| 6 | -0.03 | -0.69 | 0.525 | -10.38 | -16.59 | 0.40 | +0.03 | +0.69 | -9.03 | -15.32 |
| 12 | -0.58 | -1.06 | 0.871 | -7.55 | -11.76 | 0.28 | +0.58 | +1.06 | -5.44 | -9.69 |
| 24 | +0.37 | +0.19 | 0.230 | -4.45 | -7.49 | 0.19 | -0.37 | -0.19 | -4.83 | -7.88 |
| 48 | -0.65 | -0.62 | 0.898 | -3.75 | -5.81 | 0.13 | +0.65 | +0.62 | -2.50 | -4.57 |
| 72 | -0.45 | +0.43 | 0.808 | -1.99 | -3.60 | 0.11 | +0.45 | -0.43 | -2.86 | -4.47 |
| 168 | -0.79 | -0.29 | 0.939 | -1.99 | -3.11 | 0.07 | +0.79 | +0.29 | -1.40 | -2.53 |
| Year | rev1 | rev24 | rev168 |
|---|
| 2022 | +3.48 | -2.78 | -2.76 |
| 2023 | +1.26 | +1.31 | -1.66 |
| 2024 | +1.61 | -0.00 | -0.95 |
| 2025 | -0.14 | +0.97 | -0.11 |
| 2026 | -0.03 | -0.98 | -0.49 |
Read: reversal (negative autocorrelation) shows as short-L rev>mom; momentum as long-L mom>rev. A real edge needs IS/OOS same sign AND net@15bps (maker)>0; at 15/25 bps per side (0.15%/0.25%) 8760 bars/yr makes the cost wall the binding constraint for any signal that turns over hourly.