Realized equal-weight dual(200/60): CAGR +4.22%, Sharpe 0.66, MaxDD -12.3%
Permutation nulls (1000 reps, seed 20260823)
- NULL-R (positions fixed, asset returns circular-shifted): null mean Sharpe 0.57, max 2.81, p = 0.208
- NULL-S (whole sleeve streams shuffled): null mean 0.66, max 0.78, p = 0.536
Rule neighbors (portfolio rebuilt per cell)
| rule | CAGR | Sharpe | MaxDD | cal | val |
|---|---|---|---|---|---|
| dual 200/60 | +4.20% | 0.66 | -12.3% | +35.2% | +60.8% |
| dual 200/120 | +5.50% | 0.78 | -9.8% | +46.6% | +87.1% |
| dual 100/60 | +4.30% | 0.63 | -12.0% | +35.8% | +62.1% |
| ma 200 | +5.60% | 0.75 | -12.5% | +42.4% | +95.6% |
| roc 60 | +4.90% | 0.66 | -17.4% | +41.7% | +72.5% |
Leave-one-out Sharpe range: [0.63, 0.68] over 28 drops
Weighting variants
| variant | CAGR | Sharpe | MaxDD | cal | val |
|---|---|---|---|---|---|
| equal-weight | +4.20% | 0.66 | -12.3% | +35.2% | +60.8% |
| inverse-vol(60) | +3.60% | 0.75 | -8.4% | +40.1% | +38.4% |
| inv-vol vt10% | +5.80% | 0.72 | -15.2% | +63.7% | +77.1% |
ALL DONE