eqmom top-decile 126d momentum, OOS >= 2023-01-01. book = wall-fade skip(q) + thin half-size; C7 = stress SPY hedge (trend/beta63/cap). Base has neither.
base (no overlay): Sharpe 1.03, maxDD -27.5%, Calmar 0.89
| config | Sharpe | maxDD | Calmar |
|---|---|---|---|
| book q=0.70 | 1.30 | -26.7% | 1.23 |
| book q=0.70 + C7 60/0.3 | 1.30 | -22.6% | 1.39 |
| book q=0.70 + C7 60/0.5 | 1.28 | -21.1% | 1.44 |
| book q=0.70 + C7 60/0.7 | 1.26 | -21.1% | 1.40 |
| book q=0.70 + C7 40/0.5 | 1.18 | -22.0% | 1.21 |
| book q=0.80 | 1.25 | -26.4% | 1.16 |
| book q=0.80 + C7 60/0.3 | 1.25 | -22.3% | 1.31 |
| book q=0.80 + C7 60/0.5 | 1.23 | -20.9% | 1.35 |
| book q=0.80 + C7 60/0.7 | 1.20 | -20.9% | 1.30 |
| book q=0.80 + C7 40/0.5 | 1.12 | -21.2% | 1.16 |
| book q=0.90 | 1.21 | -27.7% | 1.09 |
| book q=0.90 + C7 60/0.3 | 1.21 | -23.7% | 1.22 |
| book q=0.90 + C7 60/0.5 | 1.20 | -21.2% | 1.32 |
| book q=0.90 + C7 60/0.7 | 1.17 | -19.1% | 1.41 |
| book q=0.90 + C7 40/0.5 | 1.09 | -22.8% | 1.06 |
Combined-config Calmar range across the grid: 1.06–1.44 (base 0.89); all 15/15 cells beat base on Calmar.
Reading
- A plateau of Calmar > base across parameters = deployable; a lone high cell = knife-edge. Component placebos already reported: book p=0.013 full / 0.16 OOS; C7 DD placebo p=0.006. Time 13s.