Window: 2006-08-14 .. 2026-08-12 (5030 days) | universe: top-50 by mkt-cap as of 2007-06-01 (point-in-time, no survivorship) | signal: SMA200+ROC60 | score: SMA200 distance | gross returns
Universe (50): AAPL, AIG, AMAT, AMD, AMGN, AMZN, BA, BAC, C, CAT, CMCSA, CME, COP, CSCO, CVS, CVX, EBAY, F, FCX, GE, GOOG, GOOGL, GS, HAL, HD, HPQ, IBM, ICE, INTC, JNJ, JPM, KO, MCD, MO, MRK, MS, MSFT, MSI, ORCL, PFE, PG, QCOM, SLB, T, TXN, UNH, VLO, VZ, WMT, XOM
| Variant | Ret | Sharpe | MaxDD | PF |
|---|---|---|---|---|
| SPY buy-and-hold | +507.73% | 0.68 | -56.47% | 1.12 |
| all-pass EW (trend ON) | +508.38% | 0.75 | -58.19% | 1.12 |
| top-5 | +502.45% | 0.59 | -65.00% | 1.09 |
| top-10 | +676.41% | 0.72 | -59.25% | 1.11 |
| top-15 | +549.01% | 0.70 | -58.50% | 1.11 |
| top-20 | +489.61% | 0.69 | -58.54% | 1.11 |
IS/OOS split at 2016-01-01
| Variant | Segment | Ret | Sharpe | MaxDD | PF | |---|---|---|---|---|---|---| | top-5 | IS SPY | +60.39% | 0.41 | -56.47% | 1.07 | | top-5 | IS top-5 | -6.02% | 0.11 | -65.00% | 1.02 | | top-5 | OOS SPY | +278.91% | 0.96 | -34.10% | 1.17 | | top-5 | OOS top-5 | +541.04% | 0.96 | -45.53% | 1.15 | | top-10 | IS SPY | +60.39% | 0.41 | -56.47% | 1.07 | | top-10 | IS top-10 | +36.36% | 0.32 | -59.25% | 1.05 | | top-10 | OOS SPY | +278.91% | 0.96 | -34.10% | 1.17 | | top-10 | OOS top-10 | +469.38% | 1.06 | -42.98% | 1.17 |
OOS significance
top-5 vs SPY: OOS dret +72.35%, bootstrap p=0.144 top-10 vs SPY: OOS dret +47.66%, bootstrap p=0.161
Per-decade: SPY vs top-5 vs top-10
| Decade | SPY | Top-5 | Top-10 |
|---|---|---|---|
| 2006s | +60.4% | -6.0% | +36.4% |
| 2016s | +234.5% | +331.1% | +290.9% |
| 2026s | +13.3% | +48.7% | +45.7% |
Decision memo
Equity cross-section momentum with a survivorship-free fixed universe. Tests whether the crypto result (top-2 selection, p=0.024) generalizes.
- Adopt if: OOS Sharpe improves vs SPY, p<0.05, consistent.
- Otherwise: reject and ledger.