| Signal | IS Sharpe | OOS Sharpe | OOS MaxDD |
|---|---|---|---|
| M1h mom | 1.26 | 1.61 | -11.3% |
| M2h mom | 1.77 | -0.55 | -33.6% |
| M3h mom | 1.58 | -1.24 | -40.0% |
| M6h mom | 1.46 | -0.64 | -35.3% |
| M12h mom | 1.13 | -1.27 | -36.8% |
| M24h mom | 1.28 | -2.14 | -48.1% |
| R1h rev | 0.48 | -1.17 | -49.0% |
| R3h rev | 0.29 | 1.77 | -13.8% |
| R6h rev | 0.21 | 0.80 | -24.0% |
| R12h rev | 0.79 | 1.29 | -15.7% |
Best = R3h rev: sub-period + placebo
- first half SR 0.85, second half SR 1.21
- shuffle placebo: mean 0.00, p95 1.42, p(SR >= 1.77) = 0.025
Caveat: 1 year, 1 regime, RTH only; L/S borrow cost unmodelled; 0 bps is unattainable in reality (spread exists).