- RTH 1m bars, 655287 bars, k=20, dollar-neutral
- Split (fixed): IS < 2024-01-04, OOS >=
GROSS (bps ignored)
| Mech | Seg | Ret | Sharpe | MaxDD | Break-even bps/side |
|---|---|---|---|---|---|
| M1 1m momentum | IS | -100.0% | -13.06 | -100.0% | -0.20 |
| M1 1m momentum | OOS | -99.5% | -14.38 | -99.5% | -0.20 |
M1 1m momentum: mean turnover/bar 1.369 (~134,505x gross/yr); break-even -0.20 bps/side.
| R1 1m reversal | IS | +33442065.5% | 13.54 | -22.1% | 0.21 | | R1 1m reversal | OOS | +27298.2% | 15.16 | -7.8% | 0.21 |
R1 1m reversal: mean turnover/bar 1.368 (~134,486x gross/yr); break-even 0.21 bps/side.
NET sweep (full sample, bps one-way)
| Mech | bps | Ret | Sharpe | MaxDD |
|---|---|---|---|---|
| M1 1m momentum | 0 | -100.0% | -13.04 | -100.0% |
| M1 1m momentum | 0.5 | -100.0% | -46.12 | -100.0% |
| M1 1m momentum | 1 | -100.0% | -78.81 | -100.0% |
| M1 1m momentum | 2 | -100.0% | -142.09 | -100.0% |
| R1 1m reversal | 0 | +9162549269.2% | 13.61 | -22.1% |
| R1 1m reversal | 0.5 | -100.0% | -19.46 | -100.0% |
| R1 1m reversal | 1 | -100.0% | -52.42 | -100.0% |
| R1 1m reversal | 2 | -100.0% | -117.08 | -100.0% |
Verdict: gross edge (if any) is dwarfed by 1m turnover x any real spread. Do NOT wire minute into start_bots.py unless the net sweep is positive at a plausible cost.