Split 2016-01-01; midterms [2010, 2014, 2018, 2022]; Sept-Oct dummy vs Sept-Oct placebo vs rest. Sector 1Min history from 2020 (truncated).
| Asset | Seg | midterm mean_bps/d | placebo mean_bps/d | rest mean_bps/d | dummy-placebo p | N_mt |
|---|---|---|---|---|---|---|
| SPY | IS | +15.8 | +2.3 | +3.4 | 0.0900 | 86 |
| SPY | OOS | -9.1 | +1.0 | +7.6 | 0.7570 | 84 |
| XLK | IS | n/a | n/a | n/a | n/a | 0 |
| XLK | OOS | -9.7 | +0.7 | +7.0 | 0.6390 | 42 |
| XLE | IS | n/a | n/a | n/a | n/a | 0 |
| XLE | OOS | +29.9 | -5.2 | +1.9 | 0.1735 | 42 |
| XLF | IS | n/a | n/a | n/a | n/a | 0 |
| XLF | OOS | +9.3 | -2.9 | +6.0 | 0.3535 | 42 |
| XLI | IS | n/a | n/a | n/a | n/a | 0 |
| XLI | OOS | +5.3 | -3.5 | +6.6 | 0.3850 | 42 |
| EqMom_BASE | IS | +21.4 | +4.3 | +5.8 | 0.0945 | 86 |
| EqMom_BASE | OOS | -1.5 | +2.4 | +11.4 | 0.6000 | 84 |
Per-midterm Sept-Oct SPY check (consistency >=3/4 required)
- 2010 Sept-Oct: n=42 mean +29.7 bps/d, cum +13.12%.
- 2014 Sept-Oct: n=44 mean +2.5 bps/d, cum +0.94%.
- 2018 Sept-Oct: n=42 mean -15.1 bps/d, cum -6.36%.
- 2022 Sept-Oct: n=42 mean -3.1 bps/d, cum -1.87%.
PROMOTE bar
OOS dummy-placebo mean>0 p<0.05 AND same sign IS AND >=3/4 years agree → Phase-2. Else KILL.
Verdict: KILL unless bar above is met (prior: seasonal REJECT).
ALL DONE