Equal-weight L/S, intraday hold, next-bar fill. Sharpe annualised x sqrt(3276). IS < 2025-08-13, OOS 2025-08-13..2026-06-01, HOLD >= 2026-06-01 (sealed).
Base config k=1, thr=3, vmin=2, hold=3, one-way cost
cost per unit traded; an event round trip trades 2 units, so the round-trip cost is 2x the column. 0 = gross.
| one-way bps | IS Sharpe | OOS Sharpe | HOLD Sharpe | OOS mean bp/bar | active OOS bars |
|---|---|---|---|---|---|
| 0 | 0.32 | 2.89 | 2.83 | +2.56 | 1905 |
| 0.5 | -0.06 | 2.45 | 2.46 | +2.17 | 1905 |
| 1 | -0.44 | 2.01 | 2.10 | +1.78 | 1905 |
| 2 | -1.21 | 1.13 | 1.36 | +1.00 | 1905 |
| 5 | -3.51 | -1.52 | -0.84 | -1.35 | 1905 |
| 10 | -6.93 | -5.87 | -4.48 | -5.25 | 1905 |
Placebo (shuffled confirmation), OOS net Sharpe @2bps: -3.54
Parameter perturbation — OOS net Sharpe @5bps
| thr\vmin | 1.0 | 2.0 | 3.0 |
|---|---|---|---|
| 2.5 | -3.39 | -2.35 | -2.38 |
| 3.0 | -1.97 | -1.52 | -1.97 |
| 3.5 | -0.89 | -1.15 | -0.92 |
Hold sweep (k=1, thr=3, vmin=2), OOS net @5bps
| hold | OOS Sharpe |
|---|---|
| 2 | -1.31 |
| 3 | -1.52 |
| 6 | -0.17 |
Tiered (dollar-vol quintile) round-trip cost 2/3/5/8/12 bps: OOS net Sharpe -2.76
Reading
- Positive OOS and HOLD net Sharpe after realistic cost is the bar. A high gross that dies after cost = FAILED.
- Flat 2bps is the realistic big-cap band; 5-10bps is conservative.