- raw-dev (contrarian): OOS ret -50.0%, SR -0.43, maxDD -65.9%, boot-p 0.919, turn 47x/yr
- z-dev (63d, contrarian): OOS ret -98.9%, SR -3.18, maxDD -98.9%, boot-p 1.000, turn 211x/yr
1-day L/S deciles, next-open, 10bps. Range 2020-07-27 00:00:00..2026-08-12 00:00:00.
ALL DONE
Verdict: REJECT
- Raw close-vs-daily-VWAP contrarian L/S: OOS -SR 0.43 with 47x/yr turnover.
- Z-dev reversion busts: -3.18 SR, 211x/yr turnover (framework cost law: daily-resample decile L/S at 10bps is structurally turnover-dead).
- Daily-VWAP-deviation reversion parked; crypto-VWAP sleeves continue to be the only live implementation of this family.