variant cagr sharpe maxdd cal val
V0 baseline inv-vol 1x 0.054 0.644 -0.264 0.729 0.544 V1 vt10% cap2 0.073 0.719 -0.240 0.899 0.964 V2 gross 1.5x 0.078 0.644 -0.375 1.213 0.867 V3 top-8 strongest 0.060 0.507 -0.346 0.442 1.060 V4 top-8 + vt12% 0.060 0.503 -0.293 0.515 0.972
Costs 5bps/side; vt uses 20d realized vol of the strategy stream itself. ALL DONE