feeds ('prem', 'etf', 'comb') | primary ('comb', 30, 0.5) | IS < 2025-01-01 <= OOS
BTC — primary config cost ladder
| cost bps | IS Sharpe | OOS Sharpe | OOS ret | OOS maxDD | switches/yr |
|---|---|---|---|---|---|
| 0 | +0.30 | +0.94 | +69.7% | -28.1% | 66 |
| 2 | +0.27 | +0.91 | +66.0% | -28.3% | 66 |
| 5 | +0.23 | +0.87 | +60.6% | -28.5% | 66 |
| 10 | +0.16 | +0.79 | +52.0% | -28.9% | 66 |
| 25 | -0.05 | +0.56 | +28.8% | -30.4% | 66 |
yearly net @10bps: 2020:-59%, 2021:-26%, 2022:-18%, 2023:+88%, 2024:+14%, 2025:+3%, 2026:+47%
ETH — primary config cost ladder
| cost bps | IS Sharpe | OOS Sharpe | OOS ret | OOS maxDD | switches/yr |
|---|---|---|---|---|---|
| 0 | +1.08 | +0.42 | +9.1% | -54.8% | 66 |
| 2 | +1.05 | +0.40 | +6.7% | -55.1% | 66 |
| 5 | +1.02 | +0.37 | +3.2% | -55.6% | 66 |
| 10 | +0.96 | +0.33 | -2.4% | -56.3% | 66 |
| 25 | +0.79 | +0.19 | -17.5% | -58.4% | 66 |
yearly net @10bps: 2020:-29%, 2021:+278%, 2022:+108%, 2023:-36%, 2024:+194%, 2025:-40%, 2026:+63%
Deflated Sharpe (primary config, OOS, net 10bps)
- trial configs K = 54
- observed Sharpe +0.49
- expected-null Sharpe +1.36
- DSR 0.055 (PSR vs 0 0.817)
- reason:
House bar: DSR > 0.95 to promote. Yearly table shows regime dependence — the edge is post-2023, not all six years.