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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 6 | R | 0.88 | +1.69 | +1.68 | 1.85 | +1.27 | +0.87 | +0.05 | 0.005 |
| 1 | 3 | R | 1.30 | +1.85 | +1.75 | 1.35 | +1.13 | +0.52 | -0.72 | 0.002 |
| 1 | 2 | R | 1.73 | +1.86 | +1.96 | 1.02 | +1.15 | +0.33 | -1.29 | 0.002 |
| 3 | 6 | R | 0.79 | +0.91 | +1.00 | 1.13 | +0.62 | +0.25 | -0.50 | 0.060 |
| 2 | 6 | R | 0.81 | +0.92 | +0.91 | 1.09 | +0.52 | +0.14 | -0.64 | 0.082 |
| 3 | 3 | R | 1.22 | +1.06 | +1.23 | 0.85 | +0.64 | +0.06 | -1.12 | 0.027 |
| 4 | 4 | R | 0.84 | +0.71 | +0.78 | 1.11 | +0.39 | +0.00 | -0.77 | 0.112 |
| 3 | 2 | R | 1.33 | +1.01 | +1.15 | 0.74 | +0.51 | -0.12 | -1.39 | 0.035 |
| 6 | 4 | M | 0.64 | -0.40 | +0.36 | -0.84 | +0.09 | -0.17 | -0.70 | 0.285 |
| 4 | 6 | R | 0.77 | +0.73 | +0.51 | 1.22 | +0.15 | -0.20 | -0.91 | 0.219 |
| 4 | 3 | R | 0.98 | +0.90 | +0.63 | 1.18 | +0.17 | -0.28 | -1.19 | 0.166 |
| 4 | 2 | R | 1.21 | +0.87 | +0.84 | 0.93 | +0.27 | -0.29 | -1.42 | 0.096 |
| 2 | 3 | R | 1.24 | +0.90 | +0.88 | 0.70 | +0.29 | -0.30 | -1.49 | 0.082 |
| 3 | 1 | R | 1.81 | +1.35 | +1.42 | 0.73 | +0.56 | -0.30 | -2.03 | 0.012 |
| 2 | 2 | R | 1.68 | +1.30 | +1.30 | 0.75 | +0.49 | -0.31 | -1.92 | 0.027 |
| 2 | 4 | M | 0.86 | -0.17 | +0.47 | -0.25 | +0.07 | -0.32 | -1.11 | 0.240 |
| 6 | 3 | R | 0.87 | +0.71 | +0.39 | 1.09 | +0.01 | -0.37 | -1.13 | 0.265 |
| 6 | 2 | R | 0.97 | +0.80 | +0.45 | 1.10 | +0.02 | -0.40 | -1.25 | 0.234 |
| 6 | 6 | R | 0.75 | +0.65 | +0.21 | 1.17 | -0.11 | -0.44 | -1.10 | 0.368 |
| 6 | 1 | R | 1.21 | +0.92 | +0.51 | 1.02 | -0.02 | -0.55 | -1.61 | 0.203 |
| 1 | 1 | R | 3.05 | +2.44 | +2.21 | 0.76 | +0.79 | -0.63 | -3.48 | 0.000 |
| 4 | 1 | R | 1.56 | +0.94 | +0.73 | 0.78 | +0.01 | -0.71 | -2.16 | 0.128 |
| 3 | 4 | M | 0.86 | -0.37 | -0.03 | -0.55 | -0.42 | -0.82 | -1.61 | 0.502 |
| 2 | 1 | R | 2.20 | +1.34 | +1.26 | 0.59 | +0.22 | -0.83 | -2.92 | 0.021 |
| 3 | 4 | R | 0.86 | +0.45 | -0.04 | 0.67 | -0.43 | -0.83 | -1.62 | 0.532 |
| 1 | 4 | M | 0.86 | -0.05 | -0.02 | -0.06 | -0.43 | -0.84 | -1.66 | 0.535 |
| 1 | 4 | R | 0.86 | +0.11 | -0.10 | 0.12 | -0.51 | -0.93 | -1.76 | 0.552 |
| 6 | 6 | M | 0.75 | -0.62 | -0.29 | -1.10 | -0.61 | -0.94 | -1.60 | 0.675 |
| 6 | 4 | R | 0.64 | +0.45 | -0.42 | 0.95 | -0.68 | -0.95 | -1.48 | 0.747 |
| 6 | 3 | M | 0.87 | -0.58 | -0.35 | -0.90 | -0.74 | -1.12 | -1.88 | 0.710 |
| 4 | 6 | M | 0.77 | -0.69 | -0.49 | -1.15 | -0.85 | -1.20 | -1.90 | 0.777 |
| 6 | 2 | M | 0.97 | -0.68 | -0.43 | -0.93 | -0.86 | -1.28 | -2.13 | 0.756 |
| 2 | 4 | R | 0.86 | +0.22 | -0.63 | 0.32 | -1.03 | -1.42 | -2.22 | 0.821 |
| 4 | 4 | M | 0.84 | -0.59 | -0.71 | -0.92 | -1.10 | -1.48 | -2.25 | 0.867 |
| 4 | 3 | M | 0.99 | -0.81 | -0.63 | -1.06 | -1.08 | -1.53 | -2.44 | 0.828 |
| 6 | 1 | M | 1.21 | -0.80 | -0.55 | -0.89 | -1.08 | -1.61 | -2.67 | 0.818 |
| 2 | 6 | M | 0.81 | -0.91 | -1.00 | -1.08 | -1.39 | -1.78 | -2.54 | 0.936 |
| 3 | 6 | M | 0.79 | -0.88 | -1.03 | -1.09 | -1.41 | -1.78 | -2.53 | 0.940 |
| 4 | 2 | M | 1.21 | -0.77 | -0.85 | -0.81 | -1.42 | -1.98 | -3.10 | 0.912 |
| 2 | 3 | M | 1.24 | -0.83 | -0.97 | -0.65 | -1.57 | -2.16 | -3.34 | 0.933 |
| 4 | 1 | M | 1.56 | -0.84 | -0.74 | -0.70 | -1.46 | -2.18 | -3.62 | 0.870 |
| 3 | 2 | M | 1.33 | -0.89 | -1.15 | -0.65 | -1.78 | -2.41 | -3.67 | 0.965 |
| 3 | 3 | M | 1.22 | -0.96 | -1.30 | -0.77 | -1.88 | -2.47 | -3.64 | 0.982 |
| 1 | 6 | M | 0.88 | -1.72 | -1.82 | -1.87 | -2.23 | -2.63 | -3.42 | 0.998 |
| 2 | 2 | M | 1.68 | -1.18 | -1.36 | -0.68 | -2.16 | -2.97 | -4.57 | 0.978 |
| 1 | 3 | M | 1.31 | -1.83 | -1.93 | -1.32 | -2.55 | -3.16 | -4.37 | 0.999 |
| 3 | 1 | M | 1.81 | -1.28 | -1.47 | -0.69 | -2.33 | -3.19 | -4.92 | 0.990 |
| 2 | 1 | M | 2.19 | -1.23 | -1.30 | -0.55 | -2.35 | -3.40 | -5.49 | 0.978 |
| 1 | 2 | M | 1.73 | -1.81 | -2.15 | -0.99 | -2.96 | -3.76 | -5.36 | 1.000 |
| 1 | 1 | M | 3.05 | -2.38 | -2.39 | -0.74 | -3.81 | -5.23 | -8.07 | 1.000 |
Cells net-positive OOS @1bp: 7 / 50
| L | H | sign | turn/bar | b/e bps | @1bp | @2bp | p |
|---|---|---|---|---|---|---|---|
| 1 | 6 | R | 0.88 | 1.85 | +0.87 | +0.05 | 0.005 |
| 1 | 3 | R | 1.30 | 1.35 | +0.52 | -0.72 | 0.002 |
| 1 | 2 | R | 1.73 | 1.02 | +0.33 | -1.29 | 0.002 |
| 3 | 6 | R | 0.79 | 1.13 | +0.25 | -0.50 | 0.060 |
| 2 | 6 | R | 0.81 | 1.09 | +0.14 | -0.64 | 0.082 |
| 3 | 3 | R | 1.22 | 0.85 | +0.06 | -1.12 | 0.027 |
| 4 | 4 | R | 0.84 | 1.11 | +0.00 | -0.77 | 0.112 |
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.