Formation L = signal lookback (bars); hold H = bars between refreshes; M = momentum, R = reversal. Net SR is OOS only, one-way bps. b/e = gross mean / turnover (bps/side).
| L | H | sign | turn/bar | gross SR | OOS SR | b/e bps | @0.5bp | @1bp | @2bp | boot p |
|---|---|---|---|---|---|---|---|---|---|---|
| 3 | 4 | M | 0.76 | -0.24 | +0.85 | -0.72 | +0.66 | +0.48 | +0.10 | 0.093 |
| 3 | 6 | M | 0.76 | -0.24 | +0.85 | -0.72 | +0.66 | +0.48 | +0.10 | 0.093 |
| 1 | 4 | M | 0.75 | -0.09 | +0.85 | -0.27 | +0.66 | +0.47 | +0.09 | 0.099 |
| 1 | 6 | M | 0.75 | -0.09 | +0.85 | -0.27 | +0.66 | +0.47 | +0.09 | 0.099 |
| 2 | 4 | M | 0.76 | -0.28 | +0.71 | -0.85 | +0.53 | +0.34 | -0.04 | 0.135 |
| 2 | 6 | M | 0.76 | -0.28 | +0.71 | -0.85 | +0.53 | +0.34 | -0.04 | 0.135 |
| 1 | 3 | R | 1.53 | +1.22 | +1.14 | 1.32 | +0.72 | +0.30 | -0.55 | 0.039 |
| 6 | 2 | M | 0.88 | -0.20 | +0.52 | -0.53 | +0.30 | +0.09 | -0.33 | 0.202 |
| 3 | 2 | M | 1.14 | -0.30 | +0.62 | -0.62 | +0.34 | +0.07 | -0.48 | 0.156 |
| 2 | 3 | R | 1.42 | +0.83 | +0.80 | 1.31 | +0.42 | +0.05 | -0.69 | 0.109 |
| 4 | 4 | M | 0.75 | +0.04 | +0.43 | 0.09 | +0.24 | +0.05 | -0.34 | 0.239 |
| 4 | 6 | M | 0.75 | +0.04 | +0.43 | 0.09 | +0.24 | +0.05 | -0.34 | 0.239 |
| 6 | 4 | M | 0.59 | +0.03 | +0.22 | 0.09 | +0.07 | -0.07 | -0.37 | 0.370 |
| 6 | 6 | M | 0.59 | +0.03 | +0.22 | 0.09 | +0.07 | -0.07 | -0.37 | 0.370 |
| 4 | 2 | M | 1.06 | -0.51 | +0.34 | -1.13 | +0.09 | -0.17 | -0.68 | 0.288 |
| 6 | 3 | M | 0.88 | -0.34 | +0.25 | -0.92 | +0.04 | -0.18 | -0.60 | 0.330 |
| 1 | 1 | R | 3.05 | +1.54 | +1.49 | 0.83 | +0.63 | -0.22 | -1.94 | 0.012 |
| 6 | 1 | M | 1.22 | -0.40 | +0.36 | -0.77 | +0.07 | -0.23 | -0.82 | 0.271 |
| 4 | 3 | M | 1.07 | -0.37 | +0.29 | -0.82 | +0.02 | -0.24 | -0.77 | 0.321 |
| 2 | 1 | R | 2.18 | +0.91 | +0.86 | 0.93 | +0.29 | -0.29 | -1.44 | 0.095 |
| 3 | 3 | R | 1.38 | +0.72 | +0.38 | 1.22 | +0.04 | -0.30 | -0.99 | 0.287 |
| 3 | 1 | R | 1.75 | +0.90 | +0.50 | 1.20 | +0.07 | -0.37 | -1.25 | 0.231 |
| 2 | 2 | R | 1.52 | +0.54 | +0.32 | 0.84 | -0.06 | -0.44 | -1.20 | 0.321 |
| 1 | 2 | M | 1.51 | -0.18 | +0.28 | -0.27 | -0.11 | -0.50 | -1.28 | 0.314 |
| 4 | 1 | M | 1.44 | -0.51 | +0.17 | -0.84 | -0.18 | -0.54 | -1.25 | 0.378 |
| 6 | 4 | R | 0.59 | +0.06 | -0.28 | 0.18 | -0.43 | -0.58 | -0.87 | 0.665 |
| 6 | 6 | R | 0.59 | +0.06 | -0.28 | 0.18 | -0.43 | -0.58 | -0.87 | 0.665 |
| 6 | 3 | R | 0.88 | +0.33 | -0.36 | 0.91 | -0.57 | -0.78 | -1.20 | 0.731 |
| 4 | 3 | R | 1.07 | +0.37 | -0.31 | 0.82 | -0.58 | -0.84 | -1.36 | 0.699 |
| 4 | 1 | R | 1.44 | +0.59 | -0.16 | 0.97 | -0.52 | -0.87 | -1.58 | 0.621 |
| 4 | 6 | R | 0.75 | -0.02 | -0.49 | -0.05 | -0.68 | -0.88 | -1.26 | 0.781 |
| 4 | 4 | R | 0.75 | -0.02 | -0.49 | -0.05 | -0.68 | -0.88 | -1.26 | 0.781 |
| 6 | 1 | R | 1.22 | +0.48 | -0.36 | 0.93 | -0.65 | -0.95 | -1.54 | 0.730 |
| 6 | 2 | R | 0.87 | +0.28 | -0.56 | 0.74 | -0.77 | -0.99 | -1.41 | 0.811 |
| 4 | 2 | R | 1.06 | +0.46 | -0.54 | 1.02 | -0.78 | -1.03 | -1.53 | 0.805 |
| 3 | 2 | R | 1.14 | +0.39 | -0.49 | 0.81 | -0.76 | -1.04 | -1.58 | 0.794 |
| 2 | 2 | M | 1.52 | -0.42 | -0.29 | -0.64 | -0.67 | -1.05 | -1.80 | 0.666 |
| 3 | 3 | M | 1.38 | -0.69 | -0.37 | -1.17 | -0.71 | -1.05 | -1.74 | 0.703 |
| 1 | 2 | R | 1.51 | +0.24 | -0.32 | 0.36 | -0.72 | -1.11 | -1.90 | 0.715 |
| 1 | 4 | R | 0.75 | +0.14 | -0.76 | 0.44 | -0.95 | -1.14 | -1.52 | 0.877 |
| 1 | 6 | R | 0.75 | +0.14 | -0.76 | 0.44 | -0.95 | -1.14 | -1.52 | 0.877 |
| 2 | 4 | R | 0.76 | +0.32 | -0.81 | 0.97 | -1.00 | -1.18 | -1.56 | 0.896 |
| 2 | 6 | R | 0.76 | +0.32 | -0.81 | 0.97 | -1.00 | -1.18 | -1.56 | 0.896 |
| 3 | 6 | R | 0.76 | +0.30 | -0.81 | 0.92 | -1.00 | -1.19 | -1.56 | 0.898 |
| 3 | 4 | R | 0.76 | +0.30 | -0.81 | 0.92 | -1.00 | -1.19 | -1.56 | 0.898 |
| 3 | 1 | M | 1.75 | -0.80 | -0.48 | -1.07 | -0.92 | -1.36 | -2.25 | 0.761 |
| 2 | 3 | M | 1.42 | -0.80 | -0.85 | -1.26 | -1.22 | -1.59 | -2.33 | 0.905 |
| 2 | 1 | M | 2.18 | -0.77 | -0.86 | -0.79 | -1.44 | -2.01 | -3.16 | 0.908 |
| 1 | 3 | M | 1.53 | -1.24 | -1.22 | -1.33 | -1.65 | -2.07 | -2.91 | 0.971 |
| 1 | 1 | M | 3.05 | -1.44 | -1.55 | -0.77 | -2.41 | -3.27 | -4.99 | 0.992 |
Cells net-positive OOS @1bp: 12 / 50
| L | H | sign | turn/bar | b/e bps | @1bp | @2bp | p |
|---|---|---|---|---|---|---|---|
| 3 | 4 | M | 0.76 | -0.72 | +0.48 | +0.10 | 0.093 |
| 3 | 6 | M | 0.76 | -0.72 | +0.48 | +0.10 | 0.093 |
| 1 | 4 | M | 0.75 | -0.27 | +0.47 | +0.09 | 0.099 |
| 1 | 6 | M | 0.75 | -0.27 | +0.47 | +0.09 | 0.099 |
| 2 | 4 | M | 0.76 | -0.85 | +0.34 | -0.04 | 0.135 |
| 2 | 6 | M | 0.76 | -0.85 | +0.34 | -0.04 | 0.135 |
| 1 | 3 | R | 1.53 | 1.32 | +0.30 | -0.55 | 0.039 |
| 6 | 2 | M | 0.88 | -0.53 | +0.09 | -0.33 | 0.202 |
| 3 | 2 | M | 1.14 | -0.62 | +0.07 | -0.48 | 0.156 |
| 2 | 3 | R | 1.42 | 1.31 | +0.05 | -0.69 | 0.109 |
| 4 | 4 | M | 0.75 | 0.09 | +0.05 | -0.34 | 0.239 |
| 4 | 6 | M | 0.75 | 0.09 | +0.05 | -0.34 | 0.239 |
Read: a cell is viable only if its break-even clears the name-level spread (Roll half-spread median ~4.5 bps) AND net SR stays positive at 2 bps. The best cell is a max over 50 trials — treat any single winner as multiple-testing-inflated; require a stable sign across the grid instead.