Pre-reg: PRIMARY = 0.5x Sat/Sun, 1.0x weekdays. IS < 2025-01-01, OOS >= 2025-01-01. Costs per unit-notional flip. Control = 1.5x weekends (must lose).
Window: 2022-12-02 .. 2026-09-13 (1382 days).
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover |
|---|---|---|---|---|---|---|
| IS | baseline 1.0x | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | weekend 0.5x (PRIMARY) | 256 | +60.88% | +0.85 | +0.78 | 49 flips |
| IS | weekend 1.5x (control) | 256 | +114.65% | +1.15 | +1.08 | 57 flips |
| OOS | baseline 1.0x | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | weekend 0.5x (PRIMARY) | 121 | +59.07% | +1.04 | +0.99 | 28 flips |
| OOS | weekend 1.5x (control) | 121 | +72.10% | +1.12 | +1.06 | 32 flips |
| FULL | baseline 1.0x | 377 | +209.52% | +1.05 | +1.03 | 33 flips |
| FULL | weekend 0.5x (PRIMARY) | 377 | +155.92% | +0.93 | +0.87 | 76 flips |
| FULL | weekend 1.5x (control) | 377 | +269.42% | +1.13 | +1.07 | 88 flips |
OOS edge-accrual decomposition (reference, not a trial)
| Leg | Ret | Sharpe | Days |
|---|---|---|---|
| gate60 longs on weekends | +9.05% | +0.57 | 34 days |
| gate60 longs on weekdays | +52.03% | +0.96 | 87 days |
OOS verdict (PRIMARY, gross)
- lift -0.05, bootstrap p 0.769
- beta vs BH: -0.01 | corr: -0.14 | resid Sharpe -0.56 (ret -4.70%, maxDD -9.56%)
- DSR(K=2) 0.91 | haircut +0.72
Verdict: REJECT (lift -0.05 < +0.10; p 0.769 NOT < 0.05; resid -0.56; maxDD -18.42% vs base -18.42% (within +5pp); DSR(K=2) 0.91; control lift +0.02 >= PRIMARY)
Time: 2s. Calendar state only — nothing to go stale.