eqmom book, OOS >= 2023-01-01 (Sharpe/maxDD/Calmar). book = wall-fade skip + thin half-size; C7 = stress SPY hedge (60/63/0.5).
| variant | Sharpe | maxDD | Calmar |
|---|---|---|---|
| base | 1.03 | -27.5% | 0.89 |
| book | 1.25 | -26.4% | 1.16 |
| base+C7 | 1.01 | -20.7% | 1.09 |
| book+C7 | 1.23 | -20.9% | 1.35 |
C7 on the book — matched random-timing placebo
OOS book+C7 Sharpe 1.23 (null 1.21) p=0.379; maxDD -20.9% (null -25.7%) p(DD)=0.006.
Reading
- If book+C7 beats both alone on Calmar (book gives return, C7 gives DD), the two real overlays stack and are the best adoptable combined config. Time 9s.