- 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, daily rebalance
- Funding window 2024-06-01..2026-09-18 (IS is short — stated, not hidden)
| Mechanism | Seg | Ret | Sharpe | MaxDD | PF | days | boot p |
|---|---|---|---|---|---|---|---|
| F1 Funding-crowd XS L/S | IS | -62.0% | -1.35 | -63.3% | 0.81 | 395 | nan |
| F1 Funding-crowd XS L/S | OOS | -37.5% | -0.93 | -53.0% | 0.87 | 445 | 0.844 |
| F2 Funding timer long-only | IS | +24.8% | 0.79 | -25.6% | 1.35 | 395 | nan |
| F2 Funding timer long-only | OOS | -22.3% | -0.73 | -34.7% | 0.79 | 445 | 0.796 |
| F3 Funding XS long-only | IS | -2.4% | -0.17 | -10.6% | 0.98 | 395 | nan |
| F3 Funding XS long-only | OOS | -7.8% | -0.76 | -16.5% | 0.89 | 445 | 0.807 |
Multiple-testing note: 4th batch (6+4+6+3 = 19 trials). Any positive OOS Sharpe now needs a DSR/multiplicity haircut.