Universe = top-100 names by listing persistence (liquid proxy). Long-only top-decile trailing-126d momentum, hold 21d, lag=1. IS/OOS 2016-01-01.
- IS Sharpe: 0.76 (ret +226.3%, maxDD -50.2%)
- OOS Sharpe: 1.25 (ret +1064.9%, maxDD -41.4%)
- OOS bootstrap p: 0.0008
Verdict
PASS — edge survives on liquid names; adoptable.
If PASS, this is the production-ready spec: equal-weight top-decile 6-month winners, monthly rebalance, long-only, no shorting. Costs still need explicit modeling but the signal is robust on tradeable names.