Universe: 501 delisting-inclusive names, 2006-08-14..2026-08-12, top_k=50, next-open, cost 10bps one-way (decimal 0.001), sqrt(252). Split 2016-01-01. Look-ahead guard PASS.
| Variant | OOS Ret | OOS Sharpe | OOS MaxDD | Turn/yr | CorrMkt | CorrBase | ResidSh | p vs BASE |
|---|---|---|---|---|---|---|---|---|
| BASE L126/H21 raw | +942.19% | 1.07 | -38.77% | 8.57 | 0.77 | 1.00 | 0.45 | - |
| A2 L126/H42 | +961.55% | 1.05 | -38.17% | 5.99 | 0.80 | 0.97 | 0.40 | 0.4510 |
| A2 L126/H63 | +1126.30% | 1.08 | -38.37% | 4.71 | 0.80 | 0.95 | 0.45 | 0.2136 |
| A2 L126/H126 | +1047.56% | 1.09 | -38.69% | 3.18 | 0.84 | 0.91 | 0.44 | 0.3734 |
| B4 GRJMOM N=0.5 | +789.66% | 1.05 | -37.73% | 9.35 | 0.77 | 0.99 | 0.44 | 0.9616 |
| B4 GRJMOM N=1.0 | +566.14% | 1.00 | -37.37% | 10.04 | 0.78 | 0.96 | 0.35 | 0.9918 |
| B4 GRJMOM N=2.0 | +323.71% | 0.91 | -33.81% | 9.96 | 0.80 | 0.84 | 0.17 | 0.9946 |
| B6 iRMOM resid126/H21 | +1198.86% | 1.20 | -35.49% | 8.12 | 0.79 | 0.98 | 0.65 | 0.1088 |
| B5 volmng cap[0.25,1.0] | +268.01% | 1.01 | -23.41% | 5.17 | 0.73 | 0.96 | 0.40 | 0.9996 |
| B5 volmng cap[0.25,1.5] info | +267.74% | 1.01 | -23.41% | 5.21 | 0.73 | 0.96 | 0.40 | 0.9996 |
| C7 hedge dynBeta cap0.5 | +419.46% | 1.00 | -24.78% | 8.57 | 0.56 | 0.95 | 0.53 | 0.9974 |
| C7 hedge static0.3 | +593.35% | 1.05 | -30.12% | 8.57 | 0.67 | 0.99 | 0.50 | 0.9974 |
| C7 hedge stress-only | +785.14% | 1.12 | -30.10% | 8.57 | 0.62 | 0.96 | 0.62 | 0.8452 |
IS (pre-2016) reference
| Variant | IS Ret | IS Sharpe | IS MaxDD |
|---|---|---|---|
| BASE L126/H21 raw | +232.45% | 0.67 | -55.43% |
| A2 L126/H63 | +191.60% | 0.60 | -56.51% |
| B4 GRJMOM N=1.0 | +181.27% | 0.63 | -54.57% |
| B6 iRMOM resid126/H21 | +188.83% | 0.56 | -64.48% |
| B5 volmng cap[0.25,1.0] | +133.62% | 0.79 | -25.49% |
25bps cost stress (OOS Sharpe net@25 vs net@10)
| B6 iRMOM resid126/H21 | 1.20 @10 | (see cost-frontier note) | | C7 hedge stress-only | 1.12 @10 | (see cost-frontier note) |
Verdict rules: adopt requires OOS p<0.05 vs BASE (or structural risk case: DD cut >=5pp with Sharpe within -0.10), turnover/yr not exploding, resid audit sane. Vol-managed uncapped row is information-only (leverage not allowed live).