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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 6 | R | 0.67 | +1.80 | +1.63 | 1.36 | +1.05 | +0.46 | -0.71 | 0.004 |
| 2 | 4 | R | 0.90 | +1.77 | +1.94 | 1.00 | +1.16 | +0.38 | -1.17 | 0.000 |
| 1 | 4 | R | 0.93 | +1.97 | +2.04 | 1.04 | +1.17 | +0.30 | -1.44 | 0.001 |
| 6 | 6 | R | 0.64 | +1.15 | +1.38 | 0.93 | +0.81 | +0.24 | -0.91 | 0.016 |
| 3 | 4 | R | 0.89 | +1.64 | +1.75 | 1.23 | +0.96 | +0.17 | -1.41 | 0.001 |
| 3 | 6 | R | 0.66 | +1.39 | +1.33 | 1.40 | +0.74 | +0.15 | -1.04 | 0.015 |
| 6 | 4 | R | 0.70 | +1.09 | +1.21 | 0.82 | +0.60 | -0.01 | -1.23 | 0.028 |
| 1 | 6 | R | 0.70 | +1.79 | +1.30 | 1.25 | +0.64 | -0.01 | -1.33 | 0.025 |
| 4 | 6 | R | 0.65 | +1.09 | +1.14 | 0.86 | +0.55 | -0.03 | -1.20 | 0.035 |
| 4 | 4 | R | 0.89 | +1.41 | +1.43 | 0.82 | +0.64 | -0.15 | -1.73 | 0.012 |
| 2 | 3 | R | 1.13 | +2.15 | +1.80 | 0.97 | +0.81 | -0.17 | -2.14 | 0.001 |
| 6 | 3 | R | 0.81 | +1.21 | +1.13 | 0.78 | +0.41 | -0.31 | -1.75 | 0.041 |
| 6 | 2 | R | 0.95 | +1.35 | +1.26 | 0.75 | +0.43 | -0.41 | -2.07 | 0.025 |
| 3 | 3 | R | 1.13 | +1.63 | +1.56 | 0.97 | +0.56 | -0.45 | -2.45 | 0.005 |
| 4 | 3 | R | 0.93 | +1.27 | +1.06 | 0.71 | +0.24 | -0.58 | -2.22 | 0.044 |
| 4 | 2 | R | 1.16 | +1.42 | +1.44 | 0.64 | +0.42 | -0.60 | -2.64 | 0.009 |
| 2 | 2 | R | 1.60 | +2.29 | +2.12 | 0.73 | +0.74 | -0.64 | -3.40 | 0.000 |
| 3 | 2 | R | 1.29 | +1.65 | +1.61 | 0.86 | +0.47 | -0.67 | -2.93 | 0.004 |
| 1 | 3 | R | 1.16 | +2.30 | +1.49 | 0.96 | +0.40 | -0.69 | -2.87 | 0.006 |
| 1 | 2 | R | 1.62 | +2.55 | +2.34 | 0.76 | +0.80 | -0.73 | -3.79 | 0.000 |
| 3 | 1 | R | 1.80 | +2.28 | +2.28 | 0.85 | +0.70 | -0.89 | -4.06 | 0.000 |
| 2 | 1 | R | 2.18 | +3.32 | +2.85 | 0.78 | +0.97 | -0.90 | -4.65 | 0.000 |
| 6 | 1 | R | 1.28 | +1.75 | +1.30 | 0.73 | +0.19 | -0.91 | -3.13 | 0.022 |
| 4 | 1 | R | 1.57 | +1.90 | +1.56 | 0.63 | +0.19 | -1.18 | -3.93 | 0.003 |
| 4 | 6 | M | 0.65 | -0.93 | -1.04 | -0.73 | -1.63 | -2.22 | -3.38 | 0.955 |
| 6 | 4 | M | 0.70 | -0.94 | -1.16 | -0.71 | -1.77 | -2.39 | -3.60 | 0.969 |
| 6 | 3 | M | 0.81 | -1.03 | -1.02 | -0.66 | -1.75 | -2.47 | -3.91 | 0.951 |
| 6 | 6 | M | 0.64 | -0.98 | -1.35 | -0.80 | -1.92 | -2.50 | -3.64 | 0.979 |
| 3 | 6 | M | 0.66 | -1.32 | -1.37 | -1.34 | -1.96 | -2.55 | -3.71 | 0.988 |
| 1 | 6 | M | 0.70 | -1.61 | -1.27 | -1.12 | -1.92 | -2.57 | -3.86 | 0.979 |
| 4 | 3 | M | 0.93 | -1.15 | -1.01 | -0.64 | -1.84 | -2.66 | -4.30 | 0.950 |
| 1 | 1 | R | 3.03 | +3.75 | +2.77 | 0.60 | -0.04 | -2.86 | -8.49 | 0.000 |
| 6 | 2 | M | 0.95 | -1.21 | -1.25 | -0.67 | -2.09 | -2.93 | -4.60 | 0.974 |
| 2 | 6 | M | 0.67 | -1.69 | -1.77 | -1.27 | -2.35 | -2.93 | -4.08 | 0.999 |
| 4 | 4 | M | 0.89 | -1.26 | -1.37 | -0.73 | -2.17 | -2.96 | -4.53 | 0.985 |
| 3 | 4 | M | 0.89 | -1.55 | -1.80 | -1.17 | -2.58 | -3.36 | -4.91 | 0.999 |
| 4 | 2 | M | 1.16 | -1.28 | -1.34 | -0.57 | -2.37 | -3.39 | -5.44 | 0.985 |
| 3 | 3 | M | 1.13 | -1.53 | -1.52 | -0.91 | -2.52 | -3.51 | -5.48 | 0.995 |
| 1 | 3 | M | 1.16 | -2.09 | -1.42 | -0.88 | -2.50 | -3.58 | -5.71 | 0.991 |
| 2 | 4 | M | 0.90 | -1.67 | -2.07 | -0.94 | -2.84 | -3.61 | -5.13 | 1.000 |
| 6 | 1 | M | 1.28 | -1.64 | -1.39 | -0.68 | -2.51 | -3.63 | -5.88 | 0.986 |
| 1 | 4 | M | 0.93 | -1.78 | -1.94 | -0.94 | -2.80 | -3.66 | -5.36 | 0.999 |
| 2 | 3 | M | 1.13 | -2.04 | -1.84 | -0.91 | -2.81 | -3.79 | -5.71 | 1.000 |
| 3 | 2 | M | 1.29 | -1.57 | -1.62 | -0.82 | -2.75 | -3.88 | -6.12 | 0.996 |
| 4 | 1 | M | 1.57 | -1.73 | -1.47 | -0.58 | -2.86 | -4.24 | -7.00 | 0.993 |
| 2 | 2 | M | 1.60 | -2.15 | -2.17 | -0.68 | -3.54 | -4.91 | -7.63 | 1.000 |
| 1 | 2 | M | 1.62 | -2.35 | -2.26 | -0.70 | -3.78 | -5.30 | -8.31 | 1.000 |
| 3 | 1 | M | 1.80 | -2.19 | -2.33 | -0.82 | -3.91 | -5.49 | -8.66 | 1.000 |
| 2 | 1 | M | 2.18 | -3.16 | -2.87 | -0.74 | -4.74 | -6.61 | -10.34 | 1.000 |
| 1 | 1 | M | 3.03 | -3.48 | -2.62 | -0.56 | -5.43 | -8.24 | -13.86 | 1.000 |
Cells net-positive OOS @1bp: 6 / 50
| L | H | sign | turn/bar | b/e bps | @1bp | @2bp | p |
|---|---|---|---|---|---|---|---|
| 2 | 6 | R | 0.67 | 1.36 | +0.46 | -0.71 | 0.004 |
| 2 | 4 | R | 0.90 | 1.00 | +0.38 | -1.17 | 0.000 |
| 1 | 4 | R | 0.93 | 1.04 | +0.30 | -1.44 | 0.001 |
| 6 | 6 | R | 0.64 | 0.93 | +0.24 | -0.91 | 0.016 |
| 3 | 4 | R | 0.89 | 1.23 | +0.17 | -1.41 | 0.001 |
| 3 | 6 | R | 0.66 | 1.40 | +0.15 | -1.04 | 0.015 |
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.