- Universe: BTC, ETH, SOL, XRP, LINK, AVAX, DOGE, ADA
- Split (fixed): IS < 2025-07-01, OOS >= 2025-07-01
- Costs: 8 bps/side, lag-1, long/flat only
| Mechanism | Seg | Ret | Sharpe | MaxDD | PF | days | boot p |
|---|
| R1 Vol-managed EW8 | IS | +174.5% | 0.96 | -49.2% | 1.16 | 943 | nan |
| R1 Vol-managed EW8 | OOS | -28.7% | -0.17 | -69.9% | 0.97 | 445 | 0.587 |
| R2 Basket>50dMA | IS | +273.2% | 1.25 | -47.8% | 1.26 | 943 | nan |
| R2 Basket>50dMA | OOS | +6.4% | 0.33 | -44.0% | 1.07 | 445 | 0.366 |
| R4 Corr-regime EW8 | IS | +246.7% | 1.42 | -37.4% | 1.42 | 943 | nan |
| R4 Corr-regime EW8 | OOS | -23.7% | -0.26 | -54.5% | 0.95 | 445 | 0.613 |
| V1 VWAP-dislocation rev | IS | +49.5% | 0.58 | -40.7% | 1.11 | 943 | nan |
| V1 VWAP-dislocation rev | OOS | -34.8% | -0.66 | -47.7% | 0.88 | 445 | 0.775 |
| V2 Volume-climax rev | IS | +45.0% | 0.71 | -19.6% | 1.25 | 943 | nan |
| V2 Volume-climax rev | OOS | -30.8% | -0.90 | -36.7% | 0.71 | 445 | 0.854 |
| V3 Attention-mom top2 | IS | +45.6% | 1.49 | -9.1% | 1.26 | 943 | nan |
| V3 Attention-mom top2 | OOS | -3.9% | -0.35 | -14.5% | 0.95 | 445 | 0.652 |
| Mechanism | 2022 | 2023 | 2024 | 2025 | 2026 | full |
|---|
| R1 Vol-managed EW8 | 0.00 | 1.41 | 1.42 | -0.19 | -0.15 | 0.59 |
| R2 Basket>50dMA | 0.00 | 2.44 | 1.04 | -0.17 | 0.44 | 0.99 |
| R4 Corr-regime EW8 | 0.00 | 1.89 | 1.92 | -0.94 | 0.10 | 0.82 |
| V1 VWAP-dislocation rev | -2.34 | 1.78 | 0.63 | -0.63 | -0.53 | 0.19 |
| V2 Volume-climax rev | 2.30 | 0.56 | 1.18 | 0.17 | -1.58 | 0.13 |
| V3 Attention-mom top2 | -3.43 | 2.39 | 1.95 | -0.40 | -0.22 | 0.97 |
Multiple-testing note: this is the 3rd batch (6+4+6=16 trials).
A winner now needs a DSR/DSR-style haircut, not just a positive
OOS Sharpe, before it can be called real.