Universe: live 101-name sleeve universe. L/S deciles, hold=21, next-open, 10bps, sqrt(252). Split 2016-01-01. PASS bar: OOS Sharpe >= 0.50 AND bootstrap p < 0.05 AND residual Sharpe vs market > 0.
Arm Seg Ret Sharpe MaxDD CorrMkt ResidSh boot-p
B1 LT-reversal IS -0.333578 -0.344744 -0.439715 0.058407 NaN NaN B1 LT-reversal OOS -0.820059 -0.518065 -0.882956 -0.084207 -0.430025 0.9514 B2 volz-reversal IS -0.314388 -0.185618 -0.501726 0.118863 NaN NaN B2 volz-reversal OOS -0.708054 -0.629716 -0.749647 -0.047494 -0.579853 0.9810 B4 weekly-z-rev IS -0.735006 -0.725675 -0.742514 0.123376 NaN NaN B4 weekly-z-rev OOS -0.548947 -0.327896 -0.546572 0.048616 -0.380056 0.8588 B3 consec-red IS -0.542268 -0.420680 -0.563064 -0.648769 NaN NaN B3 consec-red OOS -0.590519 -0.437943 -0.609544 -0.083288 -0.350571 0.9174
ALL DONE
Reviewer note
- All four reversal arms REJECT (OOS resid <= 0). IS/OOS sign-stable negative for B1/B3.
- Read: 2016+ trending market + decile-basket turnover (two-sided L/S, 21d hold, 10bps) is hostile to every mean-reversion variant; the short leg (short winners) bleeds. Short-term reversal remains cost/regime-killed on the 101-name universe, consistent with the earlier Monday-open/intraday-reversal probes.
- No sleeve. Reversal family stays parked at the daily L/S decile horizon on this universe.