- Universe: BTC, ETH, SOL, XRP, LINK, AVAX, DOGE, ADA
- Split (fixed): IS < 2025-07-01, OOS >= 2025-07-01
- Costs: 8 bps/side on |position change|
| Edge | Seg | Ret | Sharpe | MaxDD | PF | days |
|---|---|---|---|---|---|---|
| E1 TS-mom daily 20d/wk | IS | +108.0% | 0.89 | -56.5% | 1.18 | 943 |
| E1 TS-mom daily 20d/wk | OOS | -10.8% | -0.15 | -38.8% | 0.97 | 445 |
| E1 TS-mom daily 20d/wk | OOS boot p | 0.574 | ||||
| E2 XS-mom daily top2/wk | IS | +39.0% | 1.38 | -10.3% | 1.23 | 943 |
| E2 XS-mom daily top2/wk | OOS | -3.0% | -0.26 | -14.6% | 0.96 | 445 |
| E2 XS-mom daily top2/wk | OOS boot p | 0.625 | ||||
| E3 RSI2 daily rev 5d | IS | +89.0% | 0.73 | -38.7% | 1.13 | 943 |
| E3 RSI2 daily rev 5d | OOS | -39.2% | -0.48 | -61.9% | 0.93 | 445 |
| E3 RSI2 daily rev 5d | OOS boot p | 0.711 | ||||
| E4 SMA20/100 hourly | IS | +157.9% | 0.22 | -43.0% | 1.04 | 22632 |
| E4 SMA20/100 hourly | OOS | -33.6% | -0.16 | -60.8% | 0.97 | 10680 |
| E4 SMA20/100 hourly | OOS boot p | 0.812 | ||||
| E5 Bollinger daily rev 5d | IS | +50.3% | 0.72 | -17.7% | 1.29 | 943 |
| E5 Bollinger daily rev 5d | OOS | -15.2% | -0.38 | -32.0% | 0.87 | 445 |
| E5 Bollinger daily rev 5d | OOS boot p | 0.676 | ||||
| E6 XS-mom hourly top2/d | IS | +25.2% | 0.19 | -9.5% | 1.03 | 22632 |
| E6 XS-mom hourly top2/d | OOS | -4.9% | -0.10 | -18.9% | 0.98 | 10680 |
| E6 XS-mom hourly top2/d | OOS boot p | 0.715 |
Net Sharpe by calendar year (regime diagnostic)
| Edge | 2022 | 2023 | 2024 | 2025 | 2026 | full |
|---|---|---|---|---|---|---|
| E1 TS-mom daily 20d/wk | 0.00 | 1.85 | 0.55 | -0.03 | -0.43 | 0.61 |
| E2 XS-mom daily top2/wk | -2.93 | 2.25 | 1.56 | -0.07 | -0.57 | 0.90 |
| E3 RSI2 daily rev 5d | -4.84 | 1.33 | 0.57 | 0.13 | -0.22 | 0.33 |
| E4 SMA20/100 hourly | -1.56 | 0.37 | 0.37 | -0.16 | -0.18 | 0.11 |
| E5 Bollinger daily rev 5d | 2.30 | 0.61 | 0.69 | 1.01 | -1.16 | 0.37 |
| E6 XS-mom hourly top2/d | -1.31 | 0.27 | 0.29 | -0.08 | -0.06 | 0.11 |
Verdict bar: pooled OOS NET Sharpe > 0 (loose). IS shown only to expose IS-mirage; it is not a selection target.
Note: the OOS tail (2025-07+) was a crypto bear market (EW-8 buy&hold OOS Sharpe -0.18, 7/8 coins down). Every long-only edge was positive in 2023-24 and negative in 2025-26: these are long- crypto beta with a trend filter, not a market-neutral edge. Alpaca paper crypto is long-only, so a short leg is not tradable here.