Long top-N / short bottom-N by combined (OOS walk-forward scores, ml_active only).
Costs: 0.100%/side slippage on turnover, 0.50%/yr borrow.
Gross 1x, dollar-neutral, weekly/fortnightly rebalance, fills at next-day close-to-close.
| N | rebal | total | CAGR | vol | Sharpe | MaxDD | PF | beta(SPY) | corr(SPY) |
|---|---|---|---|---|---|---|---|---|---|
| 20 | 5 | -33.0% | -2.00% | 6.30% | -0.29 | -52.5% | 0.94 | 0.06 | 0.17 |
| 20 | 10 | -34.8% | -2.10% | 5.80% | -0.34 | -47.0% | 0.94 | 0.04 | 0.14 |
| 50 | 5 | -51.4% | -3.60% | 4.00% | -0.88 | -57.0% | 0.85 | 0.03 | 0.12 |
| 50 | 10 | -39.5% | -2.50% | 3.70% | -0.66 | -45.7% | 0.89 | 0.01 | 0.06 |
Year by year (base cell N=20, weekly)
| year | return |
|---|---|
| 2006 | +0.00% |
| 2007 | +0.00% |
| 2008 | +0.00% |
| 2009 | +16.93% |
| 2010 | +10.23% |
| 2011 | -6.80% |
| 2012 | +0.48% |
| 2013 | -9.95% |
| 2014 | -2.43% |
| 2015 | -8.15% |
| 2016 | +0.86% |
| 2017 | -10.39% |
| 2018 | -0.65% |
| 2019 | -3.36% |
| 2020 | -3.19% |
| 2021 | -3.07% |
| 2022 | -12.67% |
| 2023 | +0.44% |
| 2024 | -1.30% |
| 2025 | -9.92% |
| 2026 | +5.34% |
ALL DONE
Cost decomposition (N=20, weekly)
| variant | CAGR | Sharpe | PF |
|---|---|---|---|
| gross of costs (0 slip, no borrow) | +2.67% | 0.45 | 1.09 |
| net of 10bps/side + 50bps/yr borrow | -2.00% | -0.29 | 0.95 |
Verdict
REJECTED as stat arb. A faint raw cross-sectional spread exists (gross Sharpe ~0.45) but it is an order of magnitude below realistic trading costs at weekly rebalance turnover. The book IS market-neutral (beta ~0.03-0.06 across cells; random-rank control confirms machinery). Consistent with the 446-name expansion result: the walk-forward scores carry little broad rank discrimination. Note: an earlier version of this study reported +467% total - that was a weight-persistence bug (replace(0,nan)+ffill resurrecting stale positions, ~8.7x accidental gross leverage); fixed and re-run. Do not deploy.