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"ETF flow robustness"

2026-09-22

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IS < 2025-01-01 <= OOS | net 10bps/switch | no-trade band holds last position until |z| exceeds band

BTC — Sharpe grid (IS / OOS)

z-look \ bandband 0.0band 0.5band 1.0
10+0.30 / +1.20-0.47 / +2.52-0.05 / +1.58
30+0.27 / +1.27+1.28 / +2.21+1.43 / -0.07
60+0.38 / +0.37+1.01 / +1.40+1.25 / +0.52

BTC — flow_z correlation with existing signals (OOS)

signalcorr with flow_z
premium+0.129
mom5+0.361
mom21+0.228
bvol+0.032

ETH — Sharpe grid (IS / OOS)

z-look \ bandband 0.0band 0.5band 1.0
10+2.90 / +0.24+1.24 / +0.82+3.72 / +1.05
30-0.09 / +0.75+0.87 / +1.77+2.19 / +1.82
60+3.10 / +1.16+1.56 / +1.76+1.97 / +0.60

ETH — flow_z correlation with existing signals (OOS)

signalcorr with flow_z
premium+0.183
mom5+0.468
mom21+0.435
bvol+0.149