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REJECTED

"EqMom breadth-confirmed momentum probe"

2026-10-04

·
  • M1 raw 12m (live): OOS ret +1157.7%, SR 1.07, maxDD -36.2%, residSR +0.41, boot-p 0.000
  • M2 breadth>=8 gate: OOS ret +665.4%, SR 0.94, maxDD -37.4%, residSR +0.18, boot-p 0.001
  • M3 rank-blend: OOS ret +551.2%, SR 0.85, maxDD -43.9%, residSR -0.05, boot-p 0.003

101-name EqMom universe, hold 21, next-open-ish, 10bps.

ALL DONE

Verdict: breadth-confirmed variants cut returns/SR significantly without DD improvement -> live raw 12m ranking wins; the third 'consistency' axis has closed for ranking design. Improvement routes left open are overlay-level (C7/B5 graduation, convhedge), not selection-rule edits.