Pre-reg: 208 liquid mid-caps (Alpaca backfill 2020-07+) + eqmom-101 BASE + 309 COMBINED; resid top-decile/H21 long-only next_open. Split IS<2023/OOS>=2023 (short IS, power caveat). Costs 10bps/25bps-stress. sqrt252. Survivorship bias favors MID/COMBINED (stated).
Grid 2018-01-18..2026-08-12 (1532 days).
Scoreboard (OOS net)
| Arm | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | CorrMkt |
|---|---|---|---|---|---|---|---|
| BASE-101 resid/H21 | +177.69% | 1.36 | -22.42% | 1.36 | 1.29 | 7.33 | 0.60 |
| MID-ONLY resid/H21 | +231.81% | 1.30 | -30.79% | 1.30 | 1.26 | 6.02 | 0.61 |
| COMBINED resid/H21 | +193.69% | 1.27 | -29.56% | 1.27 | 1.22 | 6.59 | 0.64 |
IS reference
| Arm | IS Sharpe |
|---|---|
| BASE-101 resid/H21 | 0.22 |
| MID-ONLY resid/H21 | -0.50 |
| COMBINED resid/H21 | -0.33 |
COMBINED verdict: REJECT (COMBINED lift -0.09 (need >=+0.10); p 0.3770 (need <0.05); resid -0.18 (need >0); IS lift -0.55 (need same sign); turnover 6.5 vs BASE 7.2/yr (need <2x); DSR(K=3) 0.99)
Time 11s.