IS < 2021-01-01 <= OOS | 2015+ | 90d z | forward returns in bps
| signal | h(d) | IS IC | IS spread | OOS IC | OOS spread | n OOS |
|---|---|---|---|---|---|---|
| NVT | 1 | -0.058 | -58.6 | +0.020 | +13.2 | 2082 |
| NVT | 5 | -0.075 | -183.3 | +0.034 | +55.3 | 2078 |
| NVT | 21 | -0.109 | -559.8 | -0.004 | -6.5 | 2062 |
| NVT | 60 | -0.052 | -486.9 | +0.005 | +32.2 | 2023 |
| ADDR | 1 | +0.065 | +49.0 | +0.012 | +0.6 | 2079 |
| ADDR | 5 | +0.078 | +153.1 | +0.017 | +5.9 | 2075 |
| ADDR | 21 | +0.071 | +320.9 | +0.023 | -13.9 | 2059 |
| ADDR | 60 | +0.062 | +567.3 | -0.007 | -235.3 | 2027 |
| PUELL | 1 | +0.113 | +98.3 | +0.081 | +46.3 | 2054 |
| PUELL | 5 | +0.155 | +319.2 | +0.091 | +117.2 | 2054 |
| PUELL | 21 | +0.189 | +1004.3 | +0.122 | +373.5 | 2054 |
| PUELL | 60 | +0.264 | +2545.9 | +0.136 | +570.6 | 2031 |
| FEE | 1 | +0.063 | +47.5 | +0.012 | +8.9 | 2083 |
| FEE | 5 | +0.060 | +165.8 | -0.009 | +6.1 | 2079 |
| FEE | 21 | +0.063 | +365.0 | +0.015 | +22.1 | 2063 |
| FEE | 60 | +0.145 | +1107.4 | +0.070 | +348.2 | 2031 |
| HASH | 1 | +0.008 | +8.0 | +0.020 | +3.6 | 2080 |
| HASH | 5 | +0.047 | +65.1 | +0.046 | +50.4 | 2076 |
| HASH | 21 | +0.021 | -28.5 | +0.044 | +89.3 | 2060 |
| HASH | 60 | -0.040 | -522.1 | -0.012 | -88.3 | 2028 |
primary = PUELL (best |OOS fwd21 IC|); daily sign(sig) next-day
- trial configs K = 5
- observed Sharpe +0.31 | null +0.32 | DSR 0.486
- reason:
Sign convention: NVT/PUELL high -> rich/selling (expect low returns); ADDR/HASH/FEE high -> growth/demand.